• 제목/요약/키워드: value at risk

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The Distribution of Mismatches in Government Policy Response against COVID-19 in Terms of Risk Communication and its Implications

  • BAE, Suk-Kyeong;CHOI, Choongik
    • 유통과학연구
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    • 제19권12호
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    • pp.91-101
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    • 2021
  • Purpose: This study aims to explore the effects of government's value intervention messages on the prevention and control of infectious disease in the risk communication process in terms of goveremnt policy response to COVID-19 from the mismatch message perspective, and draws the relevant implicaitons. Due to the infeciton spread, some people point out that depression caused by COVID-19 is because of wrong signals of the government and infectious disease prevention and control authorities, namely value intervention messsages. Research design, data and methodology: This study examined the epidcmic situation through message deails regarding the effects of government's mismatch messages on prevention and control of infectious disease and the resulting phenomena. Results: People's lives are under serious threat overall, so the declaration of the end of COVID-19 is almost impossible unlike MERS. Economic downturn due to foreced prevention and control regulaitons of COVID-19, mistruct of social distancing, fatigue on mismatch messages, and moral hazard on the awareness of prevention and control of infectious disease are negative phenomena to risk communiaiton on COVID-19. Conclusions: This study investigated the government authorities' policy sending wrong signals due to mismatching of the reality at this point in time for infectious disease prevention and control from the risk communicaiton perspectrive.

성근 바인 코풀라 모형을 이용한 고차원 금융 자료의 VaR 추정 (Value at Risk calculation using sparse vine copula models)

  • 안광준;백창룡
    • 응용통계연구
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    • 제34권6호
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    • pp.875-887
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    • 2021
  • 최대예상손실액(VaR)은 위험관리수단으로 금융에서 시장위험을 측정하는 대표적인 값이다. 본 논문에서는 다양한 자산으로 이루어진 고차원 금융자료에서 자산들 간의 의존성 구조를 잘 설명할 수 있는 성근 바인 코풀라를 이용한 VaR 추정에 대해서 논의한다. 성근 바인 코풀라는 정규 바인 코풀라 모형에 벌점화를 적용한 방법으로 추정하는 모수의 개수를 벌점화를 통해 축소하는 방법이다. 모의 실험 결과 성근 바인 코풀라를 이용한 VaR 추정이 더 작은 표본 외 예측오차를 줌을 살펴볼수 있었다. 또한 최근 5년간의 코스피 60개 종목을 바탕으로 실시한 실증 자료 분석에서도 성근 바인 코풀라 모형이 더 좋은 예측 성능을 보임을 확인할 수 있었다.

Spatial Distribution of the Population at Risk of Cholangiocarcinoma in Chum Phaung District, Nakhon Ratchasima Province of Thailand

  • Kaewpitoon, Soraya J;Rujirakul, Ratana;Loyd, Ryan A;Matrakool, Likit;Sangkudloa, Amnat;Kaewthani, Sarochinee;Khemplila, Kritsakorn;Eaksanti, Thawatchai;Phatisena, Tanida;Kujapun, Jirawoot;Norkaew, Jun;Joosiri, Apinya;Kaewpitoon, Natthawut
    • Asian Pacific Journal of Cancer Prevention
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    • 제17권2호
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    • pp.719-722
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    • 2016
  • Background: Cholangiocarcinoma (CCA) is a serious health problem in Thailand, particularly in northeastern and northern regions, but epidemiological studies are scarce and the spatial distribution of CCA remains to be determined. A database for the population at risk is required for monitoring, surveillance and organization of home health care. This study aim was to geo-visually display the distribution of CCA in northeast Thailand, using a geographic information system and Google Earth. Materials and Methods: A cross-sectional survey was carried out in 9 sub-districts and 133 villages in Chum Phuang district, Nakhon Ratchasima province during June and October 2015. Data on demography, and the population at risk for CCA were combined with the points of villages, sub-district boundaries, district boundaries, and points of hospitals in districts, then fed into a geographical information system. After the conversion, all of the data were imported into Google Earth for geo-visualization. Results: A total of 11,960 from 83,096 population were included in this study. Females and male were 52.5%, and 47.8%, the age group 41-50 years old 33.3%. Individual risk for CCA was identifed and classified by using the Korat CCA verbal screening test as low (92.8%), followed by high risk (6.74%), and no (0.49%), respectively. Gender ($X^2$-test=1143.63, p-value= 0.001), age group ($X^2$-test==211.36, p-value=0.0001), and sub-district ($X^2$-test=1471.858, p-value=0.0001) were significantly associated with CCA risk. Spatial distribution of the population at risk for CCA in Chum Phuang district was viewed with Google Earth. Geo-visual display followed Layer 1: District, Layer 2: Sub-district, Layer 3: Number of low risk in village, Layer 4: Number of high risk in village, and Layer 5: Hospital in Chum Phuang District and their related catchment areas. Conclusions: We present the first risk geo-visual display of CCA in this rural community, which is important for spatial targeting of control efforts. Risk appears to be strongly associated with gender, age group, and sub-district. Therefor, spatial distribution is suitable for the use in the further monitoring, surveillance, and home health care for CCA.

코퓰러과 극단치이론을 이용한 위험척도의 추정 및 성과분석 (Estimation and Performance Analysis of Risk Measures using Copula and Extreme Value Theory)

  • 여성칠
    • 응용통계연구
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    • 제19권3호
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    • pp.481-504
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    • 2006
  • 금융위험의 측정 및 관리를 위한 도구로서 분포의 꼬리 부분과 관련한 위험척도로 VaR가 현재 널리 활용되고 있다. 특히 VaR의 정확한 추정을 위해 정규분포를 가정한 기존의 방법보다는 극단치이론을 이용한 방법이 최근 관심을 끌고 있다. 지금까지 극단치이론을 이용한VaR의 추정에 관한 연구는 대부분 단변량의 경우에 대해 이루어졌다. 본 논문에서는 코퓰러를 극단치이론에 결부시켜 다변량 극단치분포를 모형화하여 포트폴리오 위험측정을 다루고 있다. 특히 본 연구에서는 포트폴리오 위험 척도로 VaR와 더불어 ES에 대한 추정 방법도 함께 논의하였다. 포트폴리오 위험측정을 위한 방법으로 본 논문에서 논의한 코퓰러-극단치이론에 의한 접근방법이 기존의 분산-공분산 방법보다 상대적으로 우수한지를 실증자료에 대한 사후검증을 통해 살펴보았다.

Health risk assessment by CRPS and the numerical model for toluene in residential buildings

  • Choi, Haneul;Kim, Hyungkeun;Kim, Taeyeon
    • KIEAE Journal
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    • 제17권5호
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    • pp.33-41
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    • 2017
  • Purpose: Indoor air quality in residential buildings needs to be evaluated over the long term. In previous research, there has been an attempt to perform the health risk assessment of pollutants by using numerical models as a method of long-term evaluation. However, the numerical model of this precedent study has limitations that do not reflect the actual concentration distribution. Therefore, this study introduces the CRPS index, constructs a numerical model that can reflect the concentration distribution, and then presents a more accurate health risk assessment method using it. At this time, the pollutants are toluene, which is a typical material released from building materials. Method: CRPS index was applied to existing numerical model to reflect concentration distribution. This was used to calculate concentrations at adult breathing area and to use them for exposure assessment in a health risk assessment. After that, we entered adult data and conducted a health risk assessment of toluene. Results: The non-carcinogenic risk of toluene was calculated to be 0.0060. This is 5% smaller than the existing numerical model, meaning that it is more accurate to predict the pollutant risks. This value is also lower than the US EPA reference value of 1. Therefore, under the conditions of this study, long-term exposure of adults to toluene has no impact on health.

미래의 사망가능성 감소에 대한 지불의사금액과 통계적 인간생명의 가치 측정 -환경적 피해와 환경정책의 평가를 위한 통계적 인간생명의 가치- (Estimating the Willingness-to-Pay and the Value of a Statistical Life for Future Mortality Risk Reduction : The Value of a Statistical Life for Assessing Environmental Damages and Policies)

  • 신영철;조승헌
    • 자원ㆍ환경경제연구
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    • 제12권1호
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    • pp.49-74
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    • 2003
  • This study used a slightly modified version of contingent valuation questionnaire designed and developed by Krupnick et al.(2000) to estimate the value of mortality risk reduction for environmental policy. Because that environmental policy, especially air pollution policy with some latency main effect on mortality risk reduction of old people with some latency period, respondents were asked about their current WTP for 5/1,000 mortality risk reduction being to take place beginning at 70 over the course of ten years. The annual mean WTP is 233,370 won (standard error 32,570 won) in spike/continuous/interval data model. The implied VSL is 466 million won. The 95% confidence interval is 339 million won~594 million won.

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정신건강의학과 입원 환자를 위한 낙상 위험 사정도구 (Edmonson Psychiatric Fall Risk Assessment Tool)의 타당도 평가: 후향적 연구 (Validation of the Edmonson Psychiatric Fall Risk Assessment Tool for Psychiatric Inpatients: A Retrospective Study)

  • 김경영;손영선;이유지;김지은;김미경;이영희
    • 임상간호연구
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    • 제28권3호
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    • pp.270-276
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    • 2022
  • Purpose: The purpose of this study was to validate the Edmonson psychiatric fall risk assessment tool (EPFRAT) for psychiatric inpatients. Methods: Data from retrospective study were collected from 670 adult inpatients in two departments of mental health medicine of a tertiary general hospital by reviewing their electronic medical records. There were 41 patients who experienced falls and 629 patients who did not experience falls during the period from January to December 2019. Data were analyzed by sensitivity, specificity, positive predictive value, negative predictive value, and a receiver-operating characteristic curve (ROC) for validity assessment using the IBM SPSS/WIN 26.0 program. Results: Factors affecting falls were the participant's age, guardian's residence, high-risk determination at the time of admission, and comorbidity. At the 85 points where the point of sum of the sensitivity and specificity was largest, the sensitivity, specificity, positive predictive value, and negative predictive value of EPFRAT were 92.7%, 79.7%, 22.9%, and 99.4%, respectively. The area under the ROC to assess the overall validity of the tool was .92 (95% CI 0.89~0.94). Conclusion: The EPFRAT was proved to be valid and reasonable for predicting falls in psychiatric inpatients. Based on the results of this study, it could be used for the assessment of high-risk patients for falls in psychiatric units.

경영자과신이 주가급락위험에 미치는 영향 (The Effect of Managerial Overconfidence on Crash Risk)

  • 유혜영
    • 산경연구논집
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    • 제8권5호
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    • pp.87-93
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    • 2017
  • Purpose - This paper investigates whether managerial overconfidence is associated with firm-specific crash risk. Overconfidence leads managers to overestimate the returns of their investment projects, and misperceive negative net present value projects as value creating. They even use voluntary disclosures to convey their optimistic beliefs about the firms' long-term prospects to the stock market. Thus, the overconfidence bias can lead to managerial bad news hoarding behavior. When bad news accumulates and crosses some tipping point, it will come out all at once, resulting in a stock price crash. Research design, data and methodology - 7,385 firm-years used for the main analysis are from the KIS Value database between 2006 and 2013. This database covers KOSPI-listed and KOSDAQ-listed firms in Korea. The proxy for overconfidence is based on excess investment in assets. A residual from the regression of total asset growth on sales growth run by industry-year is used as an independent variable. If a firm has at least one crash week during a year, it is referred to as a high crash risk firm. The dependant variable is a dummy variable that equals 1 if a firm is a high crash risk firm, and zero otherwise. After explaining the relationship between managerial overconfidence and crash risk, the total sample was divided into two sub-samples; chaebol firms and non-chaebol firms. The relation between how I overconfidence and crash risk varies with business group affiliation was investigated. Results - The results showed that managerial overconfidence is positively related to crash risk. Specifically, the coefficient of OVERC is significantly positive, supporting the prediction. The results are strong and robust in non-chaebol firms. Conclusions - The results show that firms with overconfident managers are likely to experience stock price crashes. This study is related to past literature that examines the impact of managerial overconfidence on the stock market. This study contributes to the literature by examining whether overconfidence can explain a firm's future crashes.

문신용 염료에 들어 있는 유해화학물질(페놀)의 인체 위해성 평가 (Health Risk Assessment of Toxic Chemicals (Phenol) in Tattoo Inks)

  • 조삼래;김경희;최재욱
    • 한국환경보건학회지
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    • 제45권1호
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    • pp.9-17
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    • 2019
  • Objectives: This study examined the safety of tattoo ink by analyzing the phenol contents in tattoo inks and its risk assessment of selected phenol. Methods: A sample of 30 tattoo inks was purchased, the phenol contents were analyzed, and a risk assessment on dermal exposure from tattooing was carried out. Hazard identification was collected from toxicity data on systemic effects caused by dermal exposure to phenol, and the most sensitive toxicity value was adopted. Exposure assessment ($Exposure_{phenol}$) was calculated by applying phenol contents and standard exposure factors, while dose-response assessment was based on the collected toxicity data and skin absorption rate of phenol, assessment factors (AFs) for derived no-effect level ($DNEL_{demal}$). In addition, the risk characterization was calculated by comparing the risk characterization ratio (RCR) with $Exposure_{phenol}$ and $DNEL_{dermal}$ Results: The phenol concentration in the 30 products was from 1.4 to $649.1{\mu}g/g$. The toxicity value for systemic effects of phenol was adopted at 107 mg/kg. $Exposure_{phenol}$ in tattooing was from 0.000087 to 0.040442 mg/kg. $DNEL_{dermal}$ was calculated at 0.0072 mg/kg (=toxicity value 107 mg/kg ${\div}$ AFs 650 ${\times}$ skin absorption rate 4.4%). Thirteen out of 30 products showed an RCR between 1.02 and 5.62. The RCR of all red inks was above 1. Conclusions: Phenol was detected in all of the 30 tattoo inks, and the RCR of 13 products above 1 indicates a high level of risk concern, making it necessary to prepare safety management standards for phenol in tattoo inks.

화학플랜트에서의 화학물질 누출사고에 대한 배상책임 위험도 산정 (Estimation of the Liability Risk for Release of Chemicals at Chemical Plant)

  • 문정만;박달재
    • Korean Chemical Engineering Research
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    • 제58권3호
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    • pp.438-449
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    • 2020
  • 본 연구는 화학 및 석유화학 플랜트 등의 장치산업에서 사업장 외부로 유해화학물질이 누출·확산되어 발생할 수 있는 배상책임 위험도에 대한 산정 방식을 개선하고자 하였다. 이를 위해 환경부 사고대비 물질(14종)에 대해 누출·확산 시뮬레이션, 화학물질 누출사고 사례 분석, 식물피해 영향 자료 분석 등을 통하여 화학물질 누출사고 배상책임 위험도와의 상관관계인자를 도출하였고, 도출된 결과를 바탕으로 화학물질 배상 책임 위험도 산정 방법을 수정·보완하였다. 14종의 화학물질의 Probit 값과 EURAM 배상책임 위험도의 상관계수는 -0.526로 나타났고, 수정된 화학물질 누출사고 배상책임 위험도와의 상관계수는 0.319로 상관성이 있는 것으로 분석되었다. 수정된 산정 방법론으로 97종에 대한 배상책임 위험도와 ERPG-2 값의 상관계수는 -0.494로 분석되었고, 이는 기존 배상책임 위험도와의 상관관계보다 약 19배 높은 상관관계를 보였고, 부식위험도 값과의 상관계수는 0.91로 분석되었다. 위험도의 증가와 감소에 영향을 미친 상관관계 인자의 표준화 회귀계수(β) 값은 Corrosion Index (0.713), ERPG-2 (0.400), NFPA_Health Index (0.068) 크기 순서로 도출되었다. 이러한 연구결과는 기존과 신규 화학물질의 합리적인 배상책임 위험도 산정이 가능하게 하고, 사업장에서 정량적인 배상책임 위험관리 지표로 활용하는데 도움이 되리라 판단된다.