• Title/Summary/Keyword: 사후검정

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VAR를 이용한 금융위험 측정

  • Yu, Il-Seong;Lee, Yu-Tae
    • The Korean Journal of Financial Studies
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    • v.10 no.1
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    • pp.191-214
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    • 2004
  • VaR에 의한 금융위험의 측정은 국제결제은행 바젤위원회의 내부모델 허용에 힘입어 금융산업에서 표준방식으로 확고한 입지를 차지하고 있다. 본 연구에서는 한국주식시장포트폴리오를 거래투자자산으로 보유한 경우의 VaR를 극단치이론에 입각하여 측정하고 이의 성과를 RiskMetrics의 성과와 비교하여 검토하였다. GPD의 모수적 추정에 의한 VaR의 사후검정결과는 표본내 사후검정이나 표본외 사후검정에서 어떤 신뢰수준에서도 기대되는 범위와 크게 벗어나지 않은 안정된 결과를 보였다. RiskMetrics의 EWMA방식도 역시 표본내와 표본외 사후검정 어느 경우에나 기대되는 범위에서 크게 벗어나지 않았지만 높은 신뢰수준에서는 그 성과가 GPD VaR에 비하여 상대적으로 불안정하였으며 위험의 과소평가 성향을 확인할 수 있었다. 비모수적 GEV추정에 입각한 VaR의 경우에는 위험을 과대평가하고 지나치게 보수적인 성향을 나타내었다. GPD의 모수적 접근에 의한 VaR 측정은 다양한 신뢰수준에서 정확한 검정결과를 보여주고 있으며, 시간적 흐름에 따르는 VaR의 행태도 지나친 변동성을 보이지 않아 외부규제 및 내부통제를 위한 금융위험의 측정지표로서 실용적인 가치가 있음을 확인할 수 있다.

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Estimation of VaR Using Extreme Losses, and Back-Testing: Case Study (극단 손실값들을 이용한 VaR의 추정과 사후검정: 사례분석)

  • Seo, Sung-Hyo;Kim, Sung-Gon
    • The Korean Journal of Applied Statistics
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    • v.23 no.2
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    • pp.219-234
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    • 2010
  • In index investing according to KOSPI, we estimate Value at Risk(VaR) from the extreme losses of the daily returns which are obtained from KOSPI. To this end, we apply Block Maxima(BM) model which is one of the useful models in the extreme value theory. We also estimate the extremal index to consider the dependency in the occurrence of extreme losses. From the back-testing based on the failure rate method, we can see that the model is adaptable for the VaR estimation. We also compare this model with the GARCH model which is commonly used for the VaR estimation. Back-testing says that there is no meaningful difference between the two models if we assume that the conditional returns follow the t-distribution. However, the estimated VaR based on GARCH model is sensitive to the extreme losses occurred near the epoch of estimation, while that on BM model is not. Thus, estimating the VaR based on GARCH model is preferred for the short-term prediction. However, for the long-term prediction, BM model is better.

Comparison of semiparametric methods to estimate VaR and ES (조건부 Value-at-Risk와 Expected Shortfall 추정을 위한 준모수적 방법들의 비교 연구)

  • Kim, Minjo;Lee, Sangyeol
    • The Korean Journal of Applied Statistics
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    • v.29 no.1
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    • pp.171-180
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    • 2016
  • Basel committee suggests using Value-at-Risk (VaR) and expected shortfall (ES) as a measurement for market risk. Various estimation methods of VaR and ES have been studied in the literature. This paper compares semi-parametric methods, such as conditional autoregressive value at risk (CAViaR) and conditional autoregressive expectile (CARE) methods, and a Gaussian quasi-maximum likelihood estimator (QMLE)-based method through back-testing methods. We use unconditional coverage (UC) and conditional coverage (CC) tests for VaR, and a bootstrap test for ES to check the adequacy. A real data analysis is conducted for S&P 500 index and Hyundai Motor Co. stock price index data sets.

Influence of External Pressure to Abdominal Area on Abdominal and Lumbar Muscle Fatigue Index During Upper Extremity Exercise: A Pilot Study (상지운동 시 복부에 적용된 외부압력이 요부와 복부 근육 피로지수에 미치는 영향)

  • Ko, Eun-Hye;Cynn, Heon-Seock;Choi, Houng-Sik
    • Physical Therapy Korea
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    • v.10 no.4
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    • pp.23-31
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    • 2003
  • 본 연구는 상지운동 동안에 복부에 적용된 압력이 요부와 복부의 근피로도에 미치는 영향을 알아보았다. 연구대상자는 성인 남자 5명이었다. 연구대상자가 10 repetitions maximun (RM) 무게의 아령을 이용하여 1분 동안 상지운동을 수행 시 0 mmHg, 저압(30 mmHg), 중압(70 mmHg), 고압(100 mmHg)의 외부 압력이 복부에 적용되었고, 복직근, 외복사근, 내복사근, 척추기립근에서 근전도 자료가 수집되었다. 주파수 분석을 통하여 적용된 압력에 따라 각각의 근육에서 초기 10초 구간과 말기 10초 구간의 중앙주파수로 피로지수를 측정하였다. 통계학적 분석방법은 반복측정된 이요인 분산분석 ($4{\times}4$)과 사후검정을 이용하였다. 그 결과 압력의 차이에 의한 주효과가 나타났으며, 사후검정결과 0 mmHg 압력에 비해 30 mmHg, 100 mmHg에서 각각 피로지수가 유의하게 낮았다(p=.04, p=.015). 본 연구의 결과를 통하여 복부에 적용된 압력 (30 mmHg, 100 mmHg)이 근육의 피로도를 감소시킬 수 있음이 나타났다. 요부벨트를 이용하여 작업을 수행할 때, 고유수용성 감각 입력을 증가시키고 재손상을 방지하는 목적이외에도 근피로도를 감소시킬 수 있다는 가능성을 알 수 있었다.

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일 대학생의 성의식과 생명윤리의식이 성 태도에 미치는 영향

  • Gwon, Su-Bin;Kim, So-Yeon;Kim, Yeon-Gyeong;Baek, Seol;Seo, Seung-Ji;Hong, Ji-Yeon
    • Proceedings of the Korea Contents Association Conference
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    • pp.311-312
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    • 2016
  • 본 연구는 일 대학생의 성의식과 생명윤리의식이 성 태도에 미치는 영향을 파악하기 위해 실시되었다. 연구대상은 K시에 위치한 일 대학교의 재학생 386명으로 324명의 자료가 분석에 사용되었다. 연구결과 성의식은 학과 및 성별에 따라 유의한 차이를 보였고(p<.001) 성 태도는 성별(p<.001)과 성지식 경로(p<.01)에 따라 유의한 차이를 보였다. 사후검정 결과 성의식 정도는 보건계열학과 학생이 관광계열학과와 스포츠계열학과 학생보다 유의하게 높았으며, 성 태도 점수는 남성이 여성보다 유의하게 높았다. 성의식과 성 태도는 음(-)의 상관관계가 있었으며, 대학생의 성 태도에 영향을 미치는 요인은 성의식(p<.001), 성별(p<.01), 성지식 경로(p<.001)이었다. 본 연구결과를 토대로 대학 내에서는 대학생들의 성의식을 함양시키기 위해 현실적이고 체계적이며, 실천가능한 성교육 프로그램을 마련해야 할 것이다.

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Nursing Ethics Values of Nursing Students (간호대학생의 간호윤리 가치관)

  • Kim, Mi-Hwa
    • The Journal of the Convergence on Culture Technology
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    • v.5 no.1
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    • pp.59-66
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    • 2019
  • This study was to investigate the effect of deontology and utilitarianism on the ethical values of nursing students and to provide basic data. Data collection was conducted from May 14 to June 1, 2018 in 180 students of a university nursing student in Daegu who explained their research and agreed to the study. The collected data were analyzed using the SPSS 21.0 program. In order to confirm the difference between the subjects' demographic characteristics and nursing-related characteristics, the independent t-test and ANOVA were used, and the post-test was conducted using the $Sch{\acute{e}}ffe$ post-test. The ethical values of the nursing students were $97.51{\pm}8.96$ out of 150, indicating that they were inclined toward the position of deontology. The first grade students were more dominant, and the higher the grade, the more inclined toward utilitarianism. It is necessary to develop education to establish ethical values so that ethical decision making can be done through philosophical thinking when various nursing dilemma situations in the clinical field are based on the results.

A Study on the Selection of Parameter Values of FUSION Software for Improving Airborne LiDAR DEM Accuracy in Forest Area (산림지역에서의 LiDAR DEM 정확도 향상을 위한 FUSION 패러미터 선정에 관한 연구)

  • Cho, Seungwan;Park, Joowon
    • Journal of Korean Society of Forest Science
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    • v.106 no.3
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    • pp.320-329
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    • 2017
  • This study aims to evaluate whether the accuracy of LiDAR DEM is affected by the changes of the five input levels ('1','3','5','7' and '9') of median parameter ($F_{md}$), mean parameter ($F_{mn}$) of the Filtering Algorithm (FA) in the GroundFilter module and median parameter ($I_{md}$), mean parameter ($I_{mn}$) of the Interpolation Algorithm (IA) in the GridSurfaceCreate module of the FUSION in order to present the combination of parameter levels producing the most accurate LiDAR DEM. The accuracy is measured by the residuals calculated by difference between the field elevation values and their corresponding DEM elevation values. A multi-way ANOVA is used to statistically examine whether there are effects of parameter level changes on the means of the residuals. The Tukey HSD is conducted as a post-hoc test. The results of the multi- way ANOVA test show that the changes in the levels of $F_{md}$, $F_{mn}$, $I_{mn}$ have significant effects on the DEM accuracy with the significant interaction effect between $F_{md}$ and $F_{mn}$. Therefore, the level of $F_{md}$, $F_{mn}$, and the interaction between two variables are considered to be factors affecting the accuracy of LiDAR DEM as well as the level of $I_{mn}$. As the results of the Tukey HSD test on the combination levels of $F_{md}{\ast}F_{mn}$, the mean of residuals of the '$9{\ast}3$' combination provides the highest accuracy while the '$1{\ast}1$' combination provides the lowest one. Regarding $I_{mn}$ levels, the mean of residuals of the both '3' and '1' provides the highest accuracy. This study can contribute to improve the accuracy of the forest attributes as well as the topographic information extracted from the LiDAR data.

Effects of Neurofeedback Training and Computer-Assisted Cognitive Rehabilitation on Cognition and Upper Extremity Function in PostStroke. (신경되먹임 뇌파 훈련과 컴퓨터보조 인지 재활훈련이 뇌졸중 환자의 인지와 상지기능에 미치는 영향)

  • Jung, Min-Woo;Shim, Sun-Hwa
    • Therapeutic Science for Rehabilitation
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    • v.1 no.1
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    • pp.57-70
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    • 2012
  • Objective : This study was to evaluate the effects of a Neurofeedback(NFB) and Computer Assisted Cognitive Rehabilitation(CACR) training to improve on cognition and affected arm function in stroke subjects. Methods : Participants were randomly allocated to three groups: NFB(n=14), CACR(n=14) and control(n=16). All groups received occupational therapy and physical therapy for 5 session 30 minutes per week during 6 weeks. Also NFB and CACR group practiced additional NeuroComp training and RehaCom training for 30 sessions 30 minutes during 6 weeks. Results were evaluated by cognition, affected arm function. Results : There were significantly increased by CACR training that outcomes of MMSE-K(p<.05). And there weren't significantly difference by NFB and CACR training that outcomes of the affected arm function. And a difference between three groups wasn't found. Conclusion : The NFB and CACR training improves cognitive function. These results suggest that NFB and CACR training is feasible and suitable for individuals with stroke.

Shear bond strength analysis of non beryllium PFM metal with degassing and opaque firing techniques (도재용착용 Non beryllium 합금의 degassing과 opaque의 소성술식에 따른 결합강도 분석)

  • Im, Joong-Jae;Lee, Sang-Houck
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.16 no.7
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    • pp.4357-4363
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    • 2015
  • This study is to compare the differences of bonding strength based on the Degassing temperatures and various opaque materials for Ni-Cr alloy specimen which does not contain beryllium(Be). Numerous comparison tests have been performed to measure the bonding strength by experimenting 3-point flexural rigidity tests in order to find out ways of stabilization and enhancement of bonding strength between metal and porcelain. AVOVA, surface component observation experiment by SAM/EDS, and Tukey's HSAD posteriori tests results are as follows: First, The bonding strength in all groups has exceeded the minimum (25MPa) of ISO9693 bonding strength regulation for dental mental-porcelain specimen. Second, The bonding strength of Group V1 was $32.37{\pm}1.91MPa$, $38.25{\pm}1.38MPa$ in Group V2, $46.43{\pm}2.14MPa$ in Group V3 and $47.21{\pm}1.72MPa$ Group V4. The difference has been statistically meaningful. Tukey's HSAD posteriori tests results have shown that the bonding strength in Group V4 was higher than that of Group V1. Third, the bonding strength between metal and porcelain without degassing process was higher than that of with degassing process, and the bonding strength of powder opaque was higher than that of paste opaque. Fourth, Group V4 has ranked the highest on the comparison table of metal and porcelain bonding strength.

The Ability of Auditory Stimuli to Mask Siren Sounds in a Vehicle Graphic Simulator (자동차 그래픽 시뮬레이터에서 사이렌 소리 자극에 따른 청각 자극의 마스킹 효과)

  • Park, Jung-Sun;Kim, Gyu-Beom;Jo, Hyeong-Seok;Kim, Gyeong-Rae;Kim, Jun-Hyeong;Min, Byeong-Chan
    • Science of Emotion and Sensibility
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    • v.22 no.3
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    • pp.47-54
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    • 2019
  • We examined previous studies of the correlation analysis of heart rate variability as a method to reduce the stress caused by outside noise during driving, and we investigated whether there are electrocardiographic changes when drivers play music, which provides a stable sound source amid the noise. Because the number of cars increases every year, drivers and passengers show an increase in stress caused by outside noise. The stress from outside noise while a person is driving can cause several disorders, such as anxiety, immunosuppression, depression, and heart disease. Subjects in this study operated a vehicle simulator to reduce the stress from outside noise and were given different auditory stimuli, and we studied the drivers' responses to the stimuli. Repeated-measures analysis of variance revealed a significant differences between subjects exposed to different auditory stimuli (ρ < 0.05). Through post hoc analyses, we examined these differences. We found significant differences between factor 1 (stability) and factor 2 (simulation driving), between factor 1 (stability) and factor 3 (driving + police siren), and between factor 1 (stability) and factor 4 (driving + police siren + music). In addition, the factor that produced the highest level of sympathetic nervous system activity was factor 4 (driving + police siren + music), followed by factor 3 (driving + police siren), factor 2 (driving), and factor 1 (stability). In conclusion, even when a police siren was heard during driving, there were no significant differences on electrocardiograms (ECGs). In addition, even when the siren was heard over the music, there was no difference on the ECGs (ρ < 0.01). In future studies, investigators should determine which types of music help stabilize the heart rate during driving.