• Management & Information Systems Review
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• v.30 no.4
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• pp.359-383
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• 2011

One of the representative prudential regulations is the capital regulation. The current regulation and international criteria are just simply adding up the market risk and credit risk. According to the portfolio theory due to diversification effect the total risk is less than the summation of market and credit risk. This paper investigates to verify the existence of diversification effect in measuring the integrated risk of financial firm by the copula function, which is combine the different distribution maintain their propriety. The result of the test shows that in measuring the integrated risk not only the correlation and but also the proprieties of market and credit risk distribution are very important. And the tail of risk distribution is important when measuring the economic capital, especially the external impact to the financial market. This paper's contribution is that the empirical evidence in considering the relationship between market and credit risk the integrated risk is less than sum of them.

• Korean Journal of Environment and Ecology
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• v.31 no.2
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• pp.152-165
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• 2017

The greater long-tail hamster, Tscherskia triton, is widely distributed in Northern China, Korea and adjacent areas of Russia. Except for its distribution, biological characteristics related to life history, behavior, and ecological influences for this species are rarely studied in Korea. This study was conducted to obtain biological information on breeding, growth and development that are basic to species-specific studies. The study adopted laboratory management of a breeding programme for T. triton collected in Jeju Island from March, 2015 to December, 2016. According to the study results, the conception rate was 31.67% and the mice in the large cages had a higher rate of conception than those in the small cages (56.7 vs. 6.7%). The gestation period was $22{\pm}1.6days$ (ranges from 21 to27 days), and litter size ranged from 2 to 7, with a mean of $4.26{\pm}1.37$ in the species. The minimum age for weaning was between $19.2{\pm}1.4days$ (range of 18-21 days). There were no significant differences by sex between mean body weight and external body measurements at birth. However, a significant sexual difference was found from the period of weaning (21 days old) in head and body length, as well as tail length (HBL-weaning, $106.50{\pm}6.02$ vs. $113.34{\pm}4.72mm$, p<0.05; HBL-4 months, $163.93{\pm}5.42$ vs. $182.83{\pm}4.32mm$, p<0.05; TL-4 months, $107.23{\pm}3.25$ vs. $93.95{\pm}2.15mm$, p<0.05). Gompertz and Logistic growth curves were fitted to data for body weight and lengths of head and body, tail, ear, and hind foot. In two types of growth curves, males exhibited greater asymptotic values ($164.840{\pm}7.453$ vs. $182.830{\pm}4.319mm$, p<0.0001; $163.936{\pm}5.415$ vs. $182.840{\pm}4.333mm$, p<0.0001), faster maximum growth rates ($1.351{\pm}0.065$ vs. $1.435{\pm}0.085$, p<0.05; $2.870{\pm}0.253$ vs. $3.211{\pm}0.635$, p<0.05), and a later age of maximum growth than females in head and body length ($5.121{\pm}0.318$ vs. $5.520{\pm}0.333$, p<0.05; $6.884{\pm}0.336$ vs. $7.503{\pm}0.453$, p<0.05). However, females exhibited greater asymptotic values ($105.695{\pm}5.938$ vs. $94.150{\pm}2.507mm$, p<0.001; $111.609{\pm}14.881$ vs. $93.960{\pm}2.150mm$, p<0.05) and longer length of inflection ($60.306{\pm}1.992$ vs. $67.859{\pm}1.330mm$, p<0.0001; $55.714{\pm}7.458$ vs. $46.975{\pm}1.074mm$, p<0.05) than males in tail length. These growth rate constants, viz. the morphological characters and weights of the males and females, were similar to each other in two types of growth curves. These results will be used as necessary data to study species specificity of T. triton with biological foundations.

• The Journal of Fisheries Business Administration
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• v.40 no.2
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• pp.49-70
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• 2009

This study proviedes GARCH model(Bollerslev, 1986) to analyze the structural characteristics of price volatility in domestic aquacultural fish market of Korea. As a case study, flatfish and rock-fish are analyzed as major species with relatively high portion in an aspect of production volume among fish captured in Korea. For analyzing, this study uses daily market data (dating from Jan 1 2000 to June 30, 2008) published by the Noryangjin Fisheries Wholesale Market which is located in Seoul of Korea. This study performs normality test on trading volume and price volatility of flatfish and rock-fish as an advanced empirical approach. The normality test adopted is Jarque-Bera test statistic. As a result, first, a null hypothesis that "an empirical distribution follows normal distribution" was rejected in both fishes. The distribution of daily market data of them were not only biased toward positive(+) direction in terms of kurtosis and skewness, but also characterized by leptokurtic distribution with long right tail. Secondly, serial correlations were found in data on market trading volume and price volatility of two species during very long period. Thirdly, the results of unit root test and ARCH-LM test showed that all data of time series were very stationary and demonstrated effects of ARCH. These statistical characteristics can be explained as a reasonable ground for supporting the fitness of GARCH model in order to estimate conditional variances that reveal price volatility in empirical analysis. From empirical data analysis above, this study drew the following conclusions. First of all, from an empirical analysis on potential effects of seasonality and the day of week on price volatility of aquacultural fish, Monday effects were found in both species and Thursday and Friday effects were also found in flatfish. This indicates that Monday is effective in expanding price volatility of aquacultural fish market and also Monday has higher effects upon the price volatility of fish than other days of week have since it has more new information for weekend. Secondly, the empirical analysis led to a common conclusion that there was very high price volatility of flatfish and rock-fish. This points out that the persistency parameter($\lambda$), an index of possibility for current volatility to sustain similarly in the future, was higher than 0.8-equivalently nearly to 1-in both flatfish and rock-fish, which presents volatility clustering. Also, this study estimated and compared and model that hypothesized normal distributions in order to determine fitness of respective models. As a result, the fitness of GARCH(1, 1)-t model was better than model where the distribution of error term was hypothesized through-distribution due to characteristics of fat-tailed distribution, was also better than model, as described in the results of basic statistic analysis. In conclusion, this study has an important mean in that it was introduced firstly in Korea to investigate in price volatility of Korean aquacultural fishery products, although there was partially a limited of official statistic data. Therefore, it is expected that the results of this study will be useful as a reference material for making and assessing governmental policies. Also, it is looked forward that the results will be helpful to build a fishery business plan as and aspect of producer, and also to take timely measures to potential price fluctuations of fishery products in market. Hence, it is advisable that further studies related to such price volatility in fishery market will extend and evolve into a wider variety of articles and issues in near future.

• Membrane Journal
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• v.14 no.4
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• pp.304-311
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• 2004

The poly(1-trimethylsilyl-1-propyne) (PTMSP) and silica-filled PTMSP membranes were prepared by casting from a toluene solution on porous polyetherimide (PEI). FT-IR spectrum, GPC and SEM pictures have been taken to characterize the membranes. The particle size of membrane decreases as silica content of the membrane increases from 23 to 60 wt%, and a uniform distribution of the silica is observed. The separation properties of the gas mixture (32 mol% $H_2$/ 68 mol% $N_2$) through the composite membranes were studies as a function of pressure and percentage of silica. Selectivity values of $H_2$/$N_2$ increased as the pressure of permeation cell and silica content of the membrane increased. The real separation factor($\alpha$), head separation factor($\beta$), and tail separation factor((equation omitted)) of PTMSP-PEI composite membrane were 2.28, 1.58, and 1.44 respectively at $\Delta$P 30 psi and $25^{\circ}C$. $\alpha$, $\beta$, and (equation omitted) of PTMSP-Silica-PEI composite membrane for 60 wt% silica were 3.34, 1.95, 1.72 at $\Delta$P 30 psi and $25^{\circ}C$.

• Wind and Structures
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• v.27 no.4
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• pp.213-221
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• 2018

In the desert and Gobi regions with strong wind and large sediment discharge, sand transporting engineering is more effective than sand blocking and sand fixing measures in sand prevention. This study uses the discrete phase model of 3D numerical simulation to study the motion trail, motion state and distribution rule of sand particles with different grain diameters when the included angle between the main shaft of the feather-row lateral transportation sand barrier and the wind direction changes, and conducts a comparison in combination with the wind tunnel test and the flow field rule of common sand barrier. According to the comparison, when wind-sand incoming flow passes through a feather-row sand barrier, sand particles slow down and deposit within the deceleration area under the resistance of the feather-row sand barrier, move along the transportation area formed by the transportation force, and accumulate as a ridge at the tail of the engineering. With increasing wind speed, the eolian erosion of the sand particles to the ground and the feather-row sand barrier is enhanced, and the sand transporting quantity and throw-over quantity of the feather-row sand barrier are both increased. When sand particles with different grain diameters bypass the feather-row sand barrier, the particle size of the infiltrating sands will increase with the included angle between the main shaft of the feather-row sand barrier and the wind direction. The obtained result demonstrates that, at a constant wind speed, the flow field formed is most suitable for the lateral transportation of the wind-drift flow when the included angle between the main shaft of the feather-row sand barrier lateral transportation engineering and the wind speed is less than or equal to $30^{\circ}$.

• The Bulletin of The Korean Astronomical Society
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• v.40 no.2
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• pp.53.2-53.2
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• 2015

We present preliminary results from a series of observations toward G108.8-00.8, which is one of Planck Cold Clumps and a promising candidate of massive prestellar cores. In the integrated intensity map of SCUBA 850 micron dust continuum emission, highly fragmented structures appear. These are distributed along one long filamentary structure seen in the CO 1-0 and 13CO 1-0 integrated intensity maps obtained with the PMO 13.7 m telescope. The northern part of the filament is divided into two parts, as seen in the CO 2-1, 13CO 2-1, and C18O 2-1 integrated intensity maps obtained with the CSO 10 m telescope. The observations of HCO+ 1-0, N2H+ 1-0, and HCN 1-0 with the IRAM 30 m telescope focus on the northern part of the CSO maps, which show a head-tail structure. NH3 (1,1) also shows similar distribution with IRAM maps. The depletion factors, derived by the comparison between the dust continuum and C18O 2-1 emission, varies from 1.5 to 6 over the region, suggesting different evolutionary status of each component. To study the chemical and physical environments of G108.8-00.8, more detailed analysis is in progress.

• Journal of the Korean Data and Information Science Society
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• v.28 no.5
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• pp.959-970
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• 2017

In this study, we propose bivariate skewness and kurtosis statistics and suggest a surface plot that can visually implement bivariate data containing the correlation coefficient. The skewness statistic is expressed in the form of a paired real values because this represents the skewed directions and degrees of the bivariate random sample. The kurtosis has a positive value which can determine how thick the tail part of the data is compared to the bivariate normal distribution. Moreover, the surface plot implements bivariate data based on the quantile vectors. Skewness and kurtosis are obtained and surface plots are explored for various types of bivariate data. With these results, it has been found that the values of the skewness and kurtosis reflect the characteristics of the bivariate data implemented by the surface plots. Therefore, the skewness, kurtosis and surface plot proposed in this paper could be used as one of valuable descriptive statistical methods for analyzing bivariate distributions.

• 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.

• The Korean Journal of Applied Statistics
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• v.20 no.2
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• pp.291-311
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• 2007

With a series of unexpected huge losses in the financial markets around the world recently, especially in the insurance market with extreme loss cases such as catastrophes, there is an increasing demand for risk management for extreme loss exposures due to high unpredictability of those risks. For extreme risk management, to make a maximum use of the information concerning the tail part of a loss distribution, EVT(Extreme Value Theory) modelling nay be the best to analyze extreme values. The Extreme Value Theory is widely used in practice and, especially in financal markets, EVT modelling is getting popular to analyBe the effects of extreme risks. This study is to review the significance of the Extreme Value Theory in risk management and, focusing on analyzing insurer's risk capital, extreme risk is measured using the real fire loss data and insurer's specific amount of risk capital is figured out to buffer the extreme risk.

• Journal of radiological science and technology
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• v.24 no.1
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• pp.5-9
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• 2001

Over-density of pancreatic duct tail part on the endoscopic retrograde pancreatogram results from patient's position and inserted air during the study. The aim of this paper is to decide the filter angle to obtain an uniform density. Endoscopic retrograde pancreatography was performed to 234 patients, and angled wedge filter was used differently. They are $10^{\circ}$ (47), $20^{\circ}$ (45), $30^{\circ}$ (50), and $40^{\circ}$ (50). We also did not use wedge filter to 42 patients. We decided reliance degree in 95%. The statistical difference was p<0.05. The patients' sex rate was 1.8 : 1 between 18 and 87 years old(average age 58 years). Their body girth was 18.71 cm on the average. Of total 234 patients, difference of right and left average density was 0.01 by $30^{\circ}$ wedge filter, -0.08 $40^{\circ}$ wedge filter and 0.27 non-wedge filter. These average values of difference density were very significant statistically, and standard deviation also was close to regular distribution. In conclusion, there is a usefulness of angled wedge filter for increasing diagnostic value of pancreatic duct tall part on the endoscopic retrograde pancreatogram.