• Annual Conference of KIPS
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• 2023.05a
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• pp.145-146
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• 2023

최근 결제 시스템은 인간 친화적이며 다양한 디지털 기술들의 발전으로 간편화되고 있다. 특히 핀테크의 일종인 간편 결제 시스템은 효율성과 간편성을 강조하면서 금융 시장에서 크게 화두 되는 시스템이다. 그러나 효율성과 간편성에 집중하다 보니 보안성이 낮아지는 단점을 가지고 있다. 특히, 간편 결제 시스템의 핵심인 토큰 시스템의 취약점은 가장 큰 문제를 발생할 수 있다. 이에 대응하기 위해, 이 논문에서는 기존 결제 시스템 방식에 비대칭 암호화 방식을 추가하여 간편 결제 시스템의 보안성을 높여 토큰 취약점 대응 시스템을 제안한다.

• Korea Trade Review
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• v.47 no.1
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• pp.181-198
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• 2022

This paper investigates the arbitrage effect by the covered interest parity (CIP) deviation, as well as other push or pull factor effect on capital inflows and ouflows in the Korean bond market, by utilizing OLS, TSLS, IRF and VDC in EC model. The sample period covers February 2002 to December 2020. It is found that, the swap basis reflecting the CIP deviations have the significant effects on both debt investment inflows and debt investment outflows. Also, it is found that, the Korean risk factors have decreasing effects on foreigner's investment in the Korean bonds, while the global risk factors have decreasing effects on Korean resident's investment in the foreign bonds.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.16 no.1
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• pp.308-316
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• 2015

The purpose of this study is to verify TOM(turn-of-the-month) effect in the Kosdaq market, and that to compare to TOM effect of KOSPI for supporting degree of identification and to find new features. For this study, as the study basis sample, we used the daily data of the KOSDAQ from January 1996 to December 2013 and verified the TOM effect through yearly, monthly, classification by event as financial crisis, different period of TOM in order to clarify the effect of the KOSPI and KOSDAQ. As a result, We find that the TOM effect in KOSDAQ is always present uniformly in yearly, monthly, event-specific, which unlike TOM period also in KOSPI and generally TOM effect in KOSDAQ market which has larger volatility was appeared more pronouncedly than KOSPI market, and particularly TOM effect of KOSDAQ was larger than that of KOSPI on financial crisis occasion. But TOM effect of KOSDAQ was less stable than KOSPI.

• The Journal of the Korea Contents Association
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• v.14 no.6
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• pp.367-384
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• 2014

This study addresses an empirical issue which has been received little attention in the contemporary finance literature: To identify any financial determinants of the profitability indices for the firms belonging to the Korean chaebol. Three hypotheses of concern were postulated and tested for the sample firms covering the periods of the pre-and post-financial global crises. Regarding the results on the 1st hypothesis test of characterizing any financial profiles for the firms (belonging to the chaebols) by estimating a legitimate panel data model: the present study found the statistically significant relationships of the explanatory variables (BVLEVl, MVLEVl, MV/BV, RISK, FCFF and FOS) with the book-value based profitability ratio: while the market-valued profitability index was explained only by BVLEV2. Regarding the 2nd hypothesis test for the profitability of the sample firms at the industry level: the chaebol firms in the chemical and the food industries overall positioned themselves into the top ranks in order, which was tested by the ANCOVA and the Tukey multiple comparison procedure. Finally: on the 3rd hypothesis test for the 'adjusted' Dupont system, only two such as the 'operating margin' and the 'asset turnover' showed their significant effects between the chaebol firms and their counterparts in both the (parametric) independent samples t-test and the (nonparametric) Wilcoxon-Mann-Whitney statistics.

• 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.

• Proceedings of the Korean Institute Of Construction Engineering and Management
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• 2007.11a
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• pp.513-518
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• 2007

Domestic construction companies are interested in finding a larger market abroad because of declining the amount of orders placed and competing the amount of orders received. Recently, the Development project including the finance offer by builder is becoming more common and broad in the flow of the world market in construction from underdeveloped countries to the advanced countries. If the construction companies revitalized because of being active in the Middle East market don't appropriately cope with the situation, they will be probably depressed. The support policies helped revitalization of the development project are examined in this study. The purpose of this study is basic data how to be influenced by the situation of market abroad, policies revitalized development project and extending market. The policies revitalized development project and the relationship of many variables near the market abroad are analyzed applying the System Dynamics as hopeful market abroad which have a circumstance finding a larger market.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.18 no.9
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• pp.251-257
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• 2017

Private banking, which is a part of the financial services industry, is an investment advisory business targeting high-net-worth individuals (HNWIs). The demand for asset management services, which isexpanding in the world market as well as in the Asia-Pacific region, is rapidly increasing in Korea as the low-growth, low-interest environment has stabilized. In Korea, the private banking business is ahead of growth, and the evaluation and compensation system of playing institutions remains a challenge. While the aging of the population increases the demand for services, the increasing competition and regulations have decreased the profit margins in the industry. In this paper, a business model is derived from a professional service quality model. Modular advisory services, value-proposition through sophisticated services, and investment expertise with increased clarity would help wealth management firms pursue their opportunities. By interviewing the experts of wealth management banks, this study constructsa business model with elements derived from a relevant literature review. The contribution of this research is to enable these institutions to understand the key factors affecting their financial performances, in order to improve them. This study is limited by one of the research models, and it will be necessary to conduct an empirical test in the future.

• Journal of the Korean Data and Information Science Society
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• v.26 no.4
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• pp.791-799
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• 2015

In random walk hypothesis, we assume that current change of financial time series is independent of past values. It is interpreted as an existency of a unit root in ARMA models and many researches have been focused on whether ${\rho}$ < 1 or not. If some financial data are generated from an explosive autoregressive model, the chance of a bubble economy increases. We have to find the symptoms of it in advance. Since some well-known parameter estimators contain the parameter itself and other statistic is constructed under a specific parameter structure assumption, those are difficut to be adopted. In this paper we investigate a test for explosive autoregressive models using slope signs. We found the properties of the slope sign test statistic under both independent error and correlated error conditions, mainly by simulations.

• Journal of the Korean Data and Information Science Society
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• v.20 no.6
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• pp.1049-1060
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• 2009

The expansion of volatility in Korean Stock Market made it more difficult for the individual to invest directly and increased the weight of indirect investment through a fund. The purpose of this study is to construct the EIF(enhanced index fund) model achieves an excessive return among several types of fund. For this purpose, this paper propose portfolio optimization model to manage an index fund by using GA(genetic algorithm), and apply the trading amount and the closing price of standard index to earn an excessive return add to index fund return. The result of the empirical analysis of this study suggested that the proposed model is well represented the trend of KOSPI 200 and the new investment strategies using this can make higher returns than Buy-and-Hold strategy by an index fund, if an appropriate number of stocks included.

• Communications for Statistical Applications and Methods
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• v.15 no.6
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• pp.925-937
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• 2008

In this study, we considered the clustering analysis for stock return traded in the stock market. Most of financial time-series data, for instance, stock price and exchange rate have conditional heterogeneous variability depending on time, and, hence, are not properly applied to the autoregressive moving-average(ARMA) model with assumption of constant variance. Moreover, the variability is font and center for stock investors as well as academic researchers. So, this paper focuses on the generalized autoregressive conditional heteroscedastic(GARCH) model which is known as a solution for capturing the conditional variance(or volatility). We define the metrics for similarity of unconditional volatility and for homogeneity of model structure, and, then, evaluate the performances of the metrics. In real application, we do clustering analysis in terms of volatility and structure with stock return of the 11 Korean companies measured for the latest three years.