• Communications for Statistical Applications and Methods
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• v.13 no.2
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• pp.389-407
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• 2006

Extreme value theory has been used widely in many areas of science and engineering to deal with the assessment of extreme events which are rare but have catastrophic consequences. The potential of extreme value theory has only been recognized recently in finance area. In this paper, we provide an overview of extreme value theory for estimating and assessing value at risk and expected shortfall which are the methods for modelling and measuring the extreme financial risks. We illustrate that the approach based on extreme value theory is very useful for estimating tail related risk measures through backtesting of an empirical data.

• Journal of the Korea Institute of Military Science and Technology
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• v.12 no.2
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• pp.199-205
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• 2009

A simple and effective analysis method is presented for predicting the best infiltration area. Based on geospatial information, numerical estimation barometer for degree of infiltration risk has been derived. The dominant geospatial features influencing infiltration risk have been found to be area altitude, degree of surface gradient, relative direction of surface gradient to the surveillance line, degree of surface gradient repetition, regional forest information. Each feature has been numerically expressed corresponding to the degree of infiltration risk of that area. Four different detection probability maps of infiltration risk for the surveillance area are drawn on the actual map with respect to the numerically expressed five dominant factors of infiltration risks. By combining the four detection probability maps, the complete picture of thr best infiltration area has been drawn. By using the map and the analytic method the effectiveness of surveillance operation can be improved.

• Structural Monitoring and Maintenance
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• v.5 no.3
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• pp.363-377
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• 2018

The proper functioning of critical points on transport infrastructure is decisive for the entire network. Tunnels and bridges certainly belong to the critical points of the surface transport network, both road and rail. Risk management should be a holistic and dynamic process throughout the entire life cycle. However, the level of risk is usually determined only during the design stage mainly due to the fact that it is a time-consuming and costly process. This paper presents a simplified quantitative risk analysis method that can be used any time during the decades of a tunnel's lifetime and can estimate the changing risks on a continuous basis and thus uncover hidden safety threats. The presented method is a decision support system for tunnel managers designed to preserve or even increase tunnel safety. The CAPITA method is a deterministic scenario-oriented risk analysis approach for assessment of mortality risks in road tunnels in case of the most dangerous situation - a fire. It is implemented through an advanced risk analysis CAPITA SW. Both, the method as well as the resulting software were developed by the authors' team. Unlike existing analyzes requiring specialized microsimulation tools for traffic flow, smoke propagation and evacuation modeling, the CAPITA contains comprehensive database with the results of thousands of simulations performed in advance for various combinations of variables. This approach significantly simplifies the overall complexity and thus enhances the usability of the resulting risk analysis. Additionally, it provides the decision makers with holistic view by providing not only on the expected risk but also on the risk's sensitivity to different variables. This allows the tunnel manager or another decision maker to estimate the primary change of risk whenever traffic conditions in the tunnel change and to see the dependencies to particular input variables.

• Journal of the Korea Institute of Building Construction
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• v.19 no.1
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• pp.77-86
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• 2019

Due to the increasing demand for and complexity of plant construction projects, unpredictable risk factors are on the consequent increase. For that reason, the quantitative risk analysis is being called for, in order for the development of a risk assessment model using risk indicators for the plant construction projects. This study used the claim payout data collected at a global insurance company to reflect the actual financial losses in plant construction projects as dependent variables in the risk assessment model. In terms of independent variables, the geographic information, i. e., landform, and the construction information including test-run, schedule rate, total cost and duration are adopted. In addition, this study suggests that the regression model containing such independent variables that are statistically significant can be applied to as a foundational guideline for the plant construction project risk analysis during the phase of construction and commissioning.

• International Journal of Computer Science & Network Security
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• v.22 no.6
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• pp.390-399
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• 2022

Cyber security and resilience are phrases that describe safeguards of ICTs (information and communication technologies) from cyber-attacks or mitigations of cyber event impacts. The sole purpose of Risk models are detections, analyses, and handling by considering all relevant perceptions of risks. The current research effort has resulted in the development of a new paradigm for safeguarding services offered online which can be utilized by both service providers and users. customers. However, rather of relying on detailed studies, this approach emphasizes task selection and execution that leads to successful risk treatment outcomes. Modelling intelligent CSGs (Cyber Security Games) using MLTs (machine learning techniques) was the focus of this research. By limiting mission risk, CSGs maximize ability of systems to operate unhindered in cyber environments. The suggested framework's main components are the Threat and Risk models. These models are tailored to meet the special characteristics of online services as well as the cyberspace environment. A risk management procedure is included in the framework. Risk scores are computed by combining probabilities of successful attacks with findings of impact models that predict cyber catastrophe consequences. To assess successful attacks, models emulating defense against threats can be used in topologies. CSGs consider widespread interconnectivity of cyber systems which forces defending all multi-step attack paths. In contrast, attackers just need one of the paths to succeed. CSGs are game-theoretic methods for identifying defense measures and reducing risks for systems and probe for maximum cyber risks using game formulations (MiniMax). To detect the impacts, the attacker player creates an attack tree for each state of the game using a modified Extreme Gradient Boosting Decision Tree (that sees numerous compromises ahead). Based on the findings, the proposed model has a high level of security for the web sources used in the experiment.

• Journal of Korea Port Economic Association
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• v.34 no.1
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• pp.99-110
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• 2018

This study empirically examines simple methodology to quantify the risk resulted from the uncertainty of bunker price and foreign exchange rate, which cause main resources of the cost in shipping industry during the periods between $1^{st}$ of January 2010 and $31^{st}$ of January 2018. To shed light on the risk measurement in cash flows we tested GBM(Geometric Brownian Motion) frameworks such as the model with conditional heteroskedasticity and jump diffusion process. The main contribution based on empirical results are summarized as following three: first, the risk analysis, which is dependent on a single variable such as freight yield, is extended to analyze the effects of multiple factors such as bunker price and exchange rate return volatility. Second, at the individual firm level, the need for risk management in bunker price and exchange rate is presented as cash flow. Finally, based on the scale of the risk presented by the analysis results, the shipping companies are required that there is a need to consider what is appropriate as a means of risk management.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.6
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• pp.351-363
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• 2020

The objective of this paper is to explore how board gender diversity affects corporate sustainability performance. Therefore, this paper examines the direct association between board gender diversity with corporate sustainability performance and the mediation effect of enterprise risk management (ERM) on this association. The study employed a cross-sectional survey method. Data were collected from annual reports, websites, and through the questionnaires that were distributed to Chief Financial Officers (CFOs) of all the listed companies of Dhaka Stock Exchange, Bangladesh. The partial least square technique of Structural Equation Modelling (SEM) approach was employed for data analysis. The result did not find support for the direct association between board gender diversity and sustainability performance in Bangladesh context. This implies that contextual factors, such as, male-dominant board, appointment of female directors based on family ties, lack of education and expertise etc. may discount gender diversity direct influence on sustainability performance. However, the study finds strong support for the mediating role of ERM use within the corporate structure. Further analysis of indirect effect suggests that ERM use mediates the relationship of board gender diversity and sustainability performance in full. This implies that in the Bangladesh context effective use of ERM is highly recommended.

• Korean Journal of Construction Engineering and Management
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• v.2 no.2 s.6
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• pp.90-97
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• 2001

The paper considers non-deterministic methods of analysing the risk exposure in a cost estimate. The method(referred to as the 'Monte Carlo simulation' method) interprets cost data indirectly, to generate a probability distribution for total costs from the deficient elemental experience cost distribution. The Monte Carlo method is popular method for incorporating uncertainty relative to parameter values in risk assessment modelling. Non-deterministic methods, they are here presented as possibly effective foundation on which to risk management in cost estimating. The objectives of this research is to develop a computerized algorithms to forecast the probabilistic total construction cost and the elemental work cost at the planning stage.

• Journal of Information Technology Applications and Management
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• v.31 no.3
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• pp.71-92
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• 2024

This study investigates the contribution of customer knowledge to customer intention to adopt mobile banking by evaluating the interaction among knowledge, perceived risk and trust, and behavioral intentions. Analysis is conducted through structural equation modelling using SPSS and AMOS and data from 783 customers representing the seven largest banks in Vietnam. Our study is the first one to find the existence of the bidirectional perspective between objective and subjective knowledge. The study further shows that the attenuation effect in the heuristic-systematic model could be used to explain the stronger influence of objective knowledge on intention compered to subjective knowledge. Our findings suggest that customer knowledge, perceived risk and trust impact the intention of mobile banking users in different manners and to different degrees. Particularly, objective customer knowledge is the most influential predictor of mobile banking adoption. Having a greater understanding of these relationships can help firms in deciding the kind of intervention that is most likely to convince customers to adopt a service.

• 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.