• Korean Journal of Construction Engineering and Management
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• v.13 no.2
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• pp.102-109
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• 2012

One of key success factors in PPI(Public Private Investment) is the structure of risk sharing between the public and the private, and the determination mechanism of fair return to private participants relative to the risk that private participants undertake. In Korea, two basic types of PPI exist. One is BTO and the other is BTL. In BTO, most risks are taken by the private whereas the opposite is the case in BTL. No intermediate form exists. As a result, BTO type projects had difficulty in attracting private participants because of the excessive risks. In this study, one intermediate form is studied where demand risk is shared between the public and the private. In the setting where the public authority takes all the project revenues and then pays ladder type payments to private participants depending upon the level of project revenues, appropriate level of fixed payments is endogenously derived using the real option pricing model. From the fixed payments, expected investment returns are calculated based upon a certain distributional assumption. The results of this study is expected to help introducing diverse forms of PPI in Korea.

• Journal of the Korean Society of Marine Environment & Safety
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• v.12 no.1 s.24
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• pp.33-38
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• 2006

In marine salvage, extreme tide heights and tidal currents are necessary to anchor an accidental ship. In order to meet this requirement, a simple scheme was developed which yields the spatial informations on the extreme tide from the distribution of approximate highest astronomical tide heights using a relationship between extreme and highest astronomical tides at the standard port. This method is the inference method based on horizontally homogeneity of tide. This scheme was applied to estimate extreme tide heights and tidal currents in the Namhae (southern sea of Korea). The highest astronomical tide heights are computed by amplitude of four major constituents (M2, S2, K1, O1 tide). The estimated extreme tide heights are ranged from 70 to 260 cm for return period 50 years and from 80 to 270cm for return period 100 years, respectively. For return period 100 years, extreme tidal currents show value of 1.55 times as strong as those of normal state.

• Korean Journal of Occupational Health Nursing
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• v.14 no.1
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• pp.16-23
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• 2005

Purpose: The Purpose of the study was to suggest how the health manager use to be easy return-to-work of injured workers. Method: The data were collected by the health managers working at the 103 companies over medium size in Incheon, Gyoung-gi and Seoul through interview and report by themselves and analyzed by SAS V8 through t-test. Result: 1. The health managers are consisted of 2 kinds, one is health manager such as physician(10%) or nurse(81%) and the other is safety manager. The former works at the manufacturing company(62.9%), the latter at the service one(42.4%). 2. Management and counseling of occupational and non-occupational diseases, and high risk workers, health education, emergency care, worksite rounding, guidance of personal protector use, and health promotion services were highly performed by health managers. Comparing to these, safety managers performed guidance of job safety, safety management. The difference of two kinds of manager was significant statistically not only the aspect of general job but also related job to the workers of return-to-work after accident. Conclusion: This result shows that health manager can function as a care manager to the workers after return-to-work for adaptation to their job and rehabilitation bio-psycho-socially. But health managers don't have any regulations of encouraging injured workers to get their job again officially.

• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.29-43
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• 2012

Financial data such as stock index returns and exchange rates have the properties of heavy tail and asymmetry compared to normal distribution. When we estimate VaR using the GARCH model (with the conditional return distribution of normal) it shows the tendency of the lower estimation and clustering in the losses over the estimated VaR. In this paper, we argue that this problem can be resolved through the adaptation of the unbounded Johnson distribution as that of the condition return. We also compare this model with the GARCH with the conditional return distribution of normal and student-t. Using the losses exceed the ex-ante VaR, estimates, we check the validity of the GARCH models through the failure proportion test and the clustering test. We nd that the GARCH model with conditional return distribution of unbounded Johnson provides an appropriate estimation of the VaR and does not occur the clustering of violations.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.12 no.4
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• pp.129-134
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• 1992

This paper presents the relation between risk and safety factor for optimal storm sewer design in urban area. For reliability analysis of the storm sewer, uncertainty of the various parameters of constituting equation determining the capacity and load of storm" sewer is considered and risk is determined. In this study, reliability analysis method is applied to Seongsan detention reservoir basin which area is $381,000m^2$ Darcy-Weisbach equation is used for determining capacity of the storm sewer and rational formula is used for determining load. Safety factor representing ratio of the sewer capacity and design flowrate is calculated, and relating with risk. Then risk and safety factor with return period is obtained and it is used for optimal design of storm sewer.

• Journal of the Korean Institute of Gas
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• v.15 no.4
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• pp.1-6
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• 2011

Risk-based inspection (RBI) is a inspection technique suggesting inspection plan, such as inspection interval and inspection method, of the pressurized facilities based on its risk in the petrochemical, refinery and gas industries. Therefore, we can intensively and cost-effectively maintain, repair and manage the high-risk facilities through RBI technology. This paper reviews RBI technology, such as principle and implemental procedure of RBI, management of risks and facilities and return of investment through RBI, RBI technology at present and its application in domestic industries. In addition, some improvement directions of RBI are also proposed.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.1
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• pp.143-152
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• 2022

This paper examines the relationship between investor sentiment and the risk of a stock price crash at the firm level. Our dataset includes 131 firms listed on the Saudi stock exchange (Tadawul) from 2011 to 2019, as well as 953 firm-year observations. To evaluate crash risk, we employ two distinct proxies and propose an index for measuring firm-level sentiment which we use for the first time in our study. The average turnover rate, price-earnings ratio, and overnight return are the three sentiment proxies we utilize in our index. Our findings show that high levels of investor emotion increase managers' proclivity to withhold unfavorable news from investors, which aggravates the risk of a stock price crash. We undertake cross-sectional regressions by sector to ensure the robustness of our findings, and our findings are confirmed. After accounting for any endogeneity issues with the GMM technique, the results remain the same. Furthermore, we analyze the liquidity effect by dividing our sample into subsamples with better and worse liquidity and find that firms with worse liquidity have a considerably greater positive impact of investor mood. Overall, our findings help investors and regulators recognize the significance of this downside risk and how to manage it in the stock market.

• Korean Journal of Construction Engineering and Management
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• v.10 no.2
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• pp.121-131
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• 2009

This study will estimate the fair return on private participants' investments on BTO type PPI (Private Public Infrastructure) projects using the data from past BTO projects in Korea. In the past, the real returns of $6%\sim9%$ were provided to private participants. The results of this study show that those returns were too high compared with the estimated fair returns, especially for projects with the minimum revenue guarantee (MRG) by the government. Moreover, the excess portion of the return over the fair return becomes even larger when there is a demand forecast bias. In reality, most of the BTO projects have far lower actual revenues than the initial forecasted revenue in concession agreements. This phenomenon implies that BTO projects have a tendency of overly forecasting revenues. If so, the value of the minimum revenue guarantee becomes larger, and therefore, the fair return to private participants should decrease. It is hoped that this study helps future BTO projects' concession agreements between the government and private participants to become more fair from the perspectives of risk and return profiles.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.9
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• pp.39-49
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• 2020

This study empirically examines herd behavior for fast moving consumer goods (FMCG) sector stocks under varied market return conditions and the period during the global financial crisis and its aftermath. We examine the sample of stocks trading on the Nifty FMCG Index of the Indian equity market from January 2008 up to December 2018 using the dispersion measure of cross sectional absolute deviation and examine its relationship with the market return to explore herd phenomenon. Quantile regression estimate is used and the results of the study validate rational asset pricing models as the sector does not display herding. In contrast, anti-herd behavior at lower and median quantile values is observed. A possible reason can be the non-cyclical nature of the industry where investors rely more on the fundamentals rather than crowd chasing. We also findthe absence of herd phenomenon during the market asymmetries of bull and bear phases, extreme movements, the period of the global financial crisis, and afterward. We further examine herding under the impact of the information technology (IT) industry and conclude that significant return movements in IT sector impact dispersions in the FMCG industry. Also, there is a co-varying risk between the two sectors confirming the spillover in an integrated market.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.22 no.1
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• pp.103-110
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• 2022

This paper deals with portfolio optimization problem that you could lower the total risk of an investment portfolio by adding risky assets to the mix than the minimum risk of single asset. Popular Markowitz's mean-variance(MV) model construct the portfolio with the point in the efficient frontier using principle of domination where the variance is minimized for a given mean return. While this paper suggest the portfolio with minimum risk asset with non-positive(negative and uncorrelated) correlation assets to it. As a result of experiments, the proposed method shows lower risk(standard deviation) than MV.