• Journal of Distribution Science
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• v.13 no.5
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• pp.71-82
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• 2015

Purpose - The purpose of this study is to investigate risk price implied from the pricing kernel of Korean stock distribution market. Recently, it is considered that the quantitative easing programs of major developed countries are contributing to a reduction in global uncertainty caused by the 2007~2009 financial crisis. If true, the risk premium as compensation for global systemic risk or economic uncertainty should show a decrease. We examine whether the risk price in the Korean stock distribution market has declined in recent years, and attempt to provide practical implications for investors to manage their portfolios more efficiently, as well as academic implications. Research design, data and methodology - To estimate the risk price, we adopt a non-parametric method; the minimum norm pricing kernel method under the LOP (Law of One Price) constraint. For the estimation, we use 17 industry sorted portfolios provided by the KRX (Korea Exchange). Additionally, the monthly returns of the 17 industry sorted portfolios, from July 2000 to June 2014, are utilized as data samples. We set 120 months (10 years) as the estimation window, and estimate the risk prices from July 2010 to June 2014 by month. Moreover, we analyze correlation between any of the two industry portfolios within the 17 industry portfolios to suggest further economic implications of the risk price we estimate. Results - According to our results, the risk price in the Korean stock distribution market shows a decline over the period of July 2010 to June 2014 with statistical significance. During the period of the declining risk price, the average correlation level between any of the two industry portfolios also shows a decrease, whereas the standard deviation of the average correlation shows an increase. The results imply that the amount of systematic risk in the Korea stock distribution market has decreased, whereas the amount of industry-specific risk has increased. It is one of the well known empirical results that correlation and uncertainty are positively correlated, therefore, the declining correlation may be the result of decreased global economic uncertainty. Meanwhile, less asset correlation enables investors to build portfolios with less systematic risk, therefore the investors require lower risk premiums for the efficient portfolio, resulting in the declining risk price. Conclusions - Our results may provide evidence of reduction in global systemic risk or economic uncertainty in the Korean stock distribution market. However, to defend the argument, further analysis should be done. For instance, the change of global uncertainty could be measured with funding costs in the global money market; subsequently, the relation between global uncertainty and the price of risk might be directly observable. In addition, as time goes by, observations of the risk price could be extended, enabling us to confirm the relation between the global uncertainty and the effect of quantitative easing. These topics are beyond our scope here, therefore we reserve them for future research.

• The Korean Journal of Applied Statistics
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• v.19 no.3
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• pp.481-504
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• 2006

VaR, a tail-related risk measure is now widely used as a tool for a measurement and a management of financial risks. For more accurate measurement of VaR, recently we are particularly concerned about the approach based on extreme value theory rather than the traditional method based on the assumption of normal distribution. However, many studies about the approaches using extreme value theory was done only for the univariate case. In this paper, we discuss portfolio risk measurements with modelling multivariate extreme value distributions by combining copulas and extreme value theory. We also discuss the estimation of ES together with VaR as portfolio risk measures. Finally, we investigate the relative superiority of EVT-copula approach than variance-covariance method through the back-testing of an empirical data.

• Magazine of the Korean Society of Agricultural Engineers
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• v.28 no.3
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• pp.69-78
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• 1986

This studies were established to find out the characteristics of frequency distributiom for the number of occurrence and magnitude, probable flood flows according to the return periods, design floods, and design frequency factors for the studying basins in relation to the risk levels which can be correlated with design return period and the life of structure in the non-annual exceedance series. Eight watersheds along Han, Geum, Nak Dong and Seom Jin river basin were selected as studying basins. The results were analyzed and summarized as follows. 1. Poisson distribution and Exponential distribution were tested as a good fitted distributions for the number of occurrence and magnitude for exceedance event, respectively,at selected watersheds along Han, Geum, Nak Dong and Seom Jin river basin. 2.Formulas for the probable flood flows and probable flood flows according to the return periods were derivated for the exponential distribution at the selected watersheds along Han, Geum, Nak Dong, and Seom Jin river basin. 3.Analysis for the risk of failure was connected return period with design life of structure in the non-annual exceedance series. 4.Empirical formulas for the design frequency factors were derivated from under the condition of the return periods identify with the life of structure in relation to the different risk levels in the non-annual exceedance series. 5.Design freguency factors were appeared to be increased in proportion to the return periods while those are in inverse proportion to the levels of the risk of failure. Numerical values for the design frequency factors for the non-annual exceedance series ware appeared generally higher than those of annual maximum series already published by the first report. 6. Design floods according to the different risk levels could be derivated by using of formulas of the design frequency factors for all studying watersheds in the nor-annual exceedance series.

• Earthquakes and Structures
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• v.17 no.6
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• pp.557-566
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• 2019

The evaluation of the seismic hazard for a given site is to estimate the seismic ground motion at the surface. This is the result of the combination of the action of the seismic source, which generates seismic waves, the propagation of these waves between the source and the site, and site local conditions. The aim of this work is to evaluate the sensitivity of dynamic response of extended structures to spatial variable ground motions (SVGM). All factors of spatial variability of ground motion are considered, especially local site effect. In this paper, a method is presented to simulate spatially varying earthquake ground motions. The scheme for generating spatially varying ground motions is established for spatial locations on the ground surface with varying site conditions. In this proposed method, two steps are necessary. Firstly, the base rock motions are assumed to have the same intensity and are modelled with a filtered Tajimi-Kanai power spectral density function. An empirical coherency loss model is used to define spatial variable seismic ground motions at the base rock. In the second step, power spectral density function of ground motion on surface is derived by considering site amplification effect based on the one dimensional seismic wave propagation theory. Several dynamics analysis of a curved viaduct to various cases of spatially varying seismic ground motions are performed. For comparison, responses to uniform ground motion, to spatial ground motions without considering local site effect, to spatial ground motions with considering coherency loss, phase delay and local site effects are also calculated. The results showed that the generated seismic signals are strongly conditioned by the local site effect. In the same sense, the dynamic response of the viaduct is very sensitive of the variation of local geological conditions of the site. The effect of neglecting local site effect in dynamic analysis gives rise to a significant underestimation of the seismic demand of the structure.

• Journal of Energy Engineering
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• v.28 no.4
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• pp.48-60
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• 2019

After the Paris Agreement in 2015, the government has been promoting various policies such as 'Hydrogen-Economy Roadmap(2019)' to supply hydrogen. As part of this, the government announced the goal of building 310 hydrogen refueling stations(HRS) until 2022. To this end, special case standard for the introduction of complex, packaged, and mobile hydrogen refueling stations(MHRS) have been enacted and promulgated. The MHRS has the advantage of being able to supply hydrogen to multiple regions. However, due to the movement and close distance between facilities, it is necessary to secure proper installation standards and operational safety through safety analysis. In this study, the possibility of introduction was investigated by designing a standard model and quantitative risk assessment(QRA). As a result of QRA, personal and social risk were acceptable, and the empirical test direction and implications were derived.

• Korean Journal of Construction Engineering and Management
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• v.14 no.4
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• pp.73-83
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• 2013

Recently, not only around Korea but also other countries shows a pattern of arising high-rise building construction project which was delayed or aborted during global economic crises and recession. Although the market starts to stretch, It is getting competitive to win a contract in high-rise construction project between contractors due to lack of competitive advantage especially to Korea contractors. To get that, Korean contractors needs lifting equipment plan. But currently, they depend on the empirical methods and that cause schedule delay, not controlled cost management problem. Therefore, this research is to improve the accuracy of Lifting plan by analyzing the current issues of Lifting plan system and deducing the types of failures with planning factors, as well as analyzing the impact on schedule and cost control and safety management by each failure mode. Also, by analyzing detail risk factors per Lifting Equipment with FMEA, to infer the critical risk factor on high-rise construction project.

• Journal of Convergence for Information Technology
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• v.9 no.11
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• pp.125-133
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• 2019

In this paper, probabilistic flood risk maps were produced for levee break caused by possible flood scenarios. The results of the previous studies were employed for flood stages corresponding to hydrological extreme event quantified uncertainties and then predicted the location of a levee breach. The breach width was estimated by combining empirical equation considered constant width and numerical modeling considered uncertainties on compound geotechnical component. Accordingly, probabilistic breach outflow was computed and probabilistic inundation map was produced by 100 runs of 2D inundation simulation based on reliability analysis. The final probabilistic flood risk map was produced by combining probabilistic inundation map based on flood hazard mapping methodology. The outcomes of the study would be effective in establishing specified emergency actin plan (EAP) and expect to suggest more economical and stable design index.

• Journal of the Korea Society of Computer and Information
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• v.29 no.7
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• pp.53-71
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• 2024

Generative Artificial Intelligence (AI) has become the focus of societal attention due to its wide range of applications and profound impact. This paper constructs a comprehensive theoretical model based on the Unified Theory of Acceptance and Use of Technology 2 (UTAUT2), integrating variables such as Personal Innovativeness and Perceived Risk to study the key factors influencing enterprises' adoption of Generative AI. We employed Structural Equation Modeling (SEM) to verify the hypothesized paths and used the Bootstrapping method to test the mediating effect of Behavioral Intention. Additionally, we explored the moderating effect of Perceived Risk through Hierarchical Regression Analysis. The results indicate that Performance Expectancy, Effort Expectancy, Social Influence, Price Value, and Personal Innovativeness have significant positive impacts on Behavioral Intention. Behavioral Intention plays a significant mediating role between these factors and Use Behavior, while Perceived Risk negatively moderates the relationship between Behavioral Intention and Use Behavior. This study provides theoretical and empirical support for how enterprises can effectively adopt Generative AI, offering important practical implications.

• Journal of Distribution Science
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• v.16 no.11
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• pp.21-27
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• 2018

Purpose - This study investigates the financial ratio of savings banks and the effect of the ratio having influence upon bankruptcy by quantitative empirical analysis of forecast model to give material of better management and objective evidence of management strategy and way of advancement and risk control. Research design, data, and methodology - The author added two growth indexes, three fluidity indexes, five profitability indexes, and four activity indexes CAMEL rating to not only the balance sheets but also the income statement of thirty savings banks that suspended business from 2011 to 2015 and collected fourteen financial ratio indexes. IBMSPSS VER. 21.0 was used. Results - Variables having influence upon bankruptcy forecast models included total asset increase ratio and operating income increase ratio of growth index and sales to account receivable ratio, and tangible equity ratio and liquidity ratio of liquidity ratio. The study selected total asset operating ratio, and earning and expenditure ratio from profitability index, and receivable turnover ratio of activity index. Conclusions - Financial supervising system should be improved and financial consumers should be protected to develop saving bank and to control risk, and information on financial companies should be strengthened.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.37 no.4
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• pp.245-250
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• 2014

The purpose of this study is to introduce a empirical study of using Taguchi Method for the Entrepreneurial Orientation and Financial Performance. In this study, three factors of Entrepreneurial Orientation, innovation, pro-activity and risk taking, are used of the control factors and an element, period of establishment, is chosen as a noise factor. In order to carry out this research, we obtained 200 survey sheets and performed the reliability and validity analysis of the questionnaires and then the experiment was conducted by Taguchi's experimental design. To improve Financial Performance under the noise factor of period of establishment, optimal condition are as follows; the two factors of Entrepreneurial Orientation, innovation, pro-activity should be maintained to a high level. Also, other factor, risk taking should be performed as the level that the company has maintained. Through this paper, we find out that Taguchi method is applicable for analysis of questionnaire.