• 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.

• 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.

• 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.

• Korean Journal of Construction Engineering and Management
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• v.3 no.1 s.9
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• pp.74-82
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• 2002

The performance testing system of temporary construction equipment and materials are a previous inspect institution to produce only goods beyond the limited-performance, be certificated through a previous test, the purpose of which is to prevent an illegal goods from spreading abroad. The formal certification not only pass the test in an ordinary means but also isn't the term of validity on a certificated goods. Because of the above two reasons, an accident doesn't reduce, and a illegal goods become to be circulated. So, in this study, we analysis the problem of the follow-up service based on the formal certification and we suggest the improvement through comparative study on the follow-up of domestic and foreign.

• The Korean Journal of Applied Statistics
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• v.34 no.6
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• pp.863-874
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• 2021

In this paper, we propose a post-selection inference procedure for the fused lasso signal approximator (FLSA). The FLSA finds underlying sparse piecewise constant mean structure by applying total variation (TV) semi-norm as a penalty term. However, it is widely known that this convex relaxation can cause asymptotic inconsistency in change points detection. As a result, there can remain false change points even though we try to find the best subset of change points via a tuning procedure. To remove these false change points, we propose a post-selection inference for the FLSA. The proposed procedure applies a permutation test based on CUSUM statistic. Our post-selection inference procedure is an extension of the permutation test of Antoch and Hušková (2001) which deals with single change point problems, to multiple change points detection problems in combination with the FLSA. Numerical study results show that the proposed procedure is better than naïve z-tests and tests based on the limiting distribution of CUSUM statistics.

• The Korean Journal of Applied Statistics
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• v.12 no.2
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• pp.605-619
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• 1999

본 논문은 회귀분석에서 오차항의 1차 자기상관 존재 여부 및 그 값을 검정하는 방법을 베이지안 접근법으로 제안하였다. 이 방법은 모수공간의 다중분할로 인해 얻어진 여러 가설들에 대한 다중결정문제를 다중 베이즈요인에 관한 이론과 일반화 Savage-Dickey 밀도비를 이용한 사후확률 추정법을 합성하여 개발되었다. 이 방법은 기존의 검정법들에서 가능한 검정 뿐 아니라 이들이 해결할 수 없는 자기상관에 대한 다중결정문제에도 사용이 가능한데 그 효용성이 있다. 모의실험을 통하여 제안된 검정법의 유효성을 평가하였다.

• Proceedings of the Korean Society of Disaster Information Conference
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• 2022.10a
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• pp.155-157
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• 2022

기존의 안전교육 교수방법은 강의 방식으로 전달하고 있어 근로자의 참여를 이끌어내는데 한계점이 있으며, 불안전한 행동에 의한 안전사고를 예방하기 위해서는 스마트 체험식 안전교육으로 패러다임을 전환할 필요성이 있다. [연구배경/목적]:스마트 체험식 안전교육은 건설현장에서 근로자들이 보다 더 빠르게 위험을 인지하고 여기에 맞는 안전작업 이행과 위험발생 시 응급대처 능력 등을 향상시키므로 사전사후 학습전이의 효과성을 검정할 수 있다. 이러한 관점에서 안전사고를 예방하기 위한 본 연구는 안전교육의 체험학습방법과 참여방법, 교육콘텐츠 접근방법을 통하여 근로자의 안전행동 유도와 불안전행동 감소에 미치는 영향검증이 목적이다. [연구방향/범위]:실제 건설현장과 동일하게 작업환경을 구성해 놓은 스마트 체험식 안전교육시설에서 추락체험, 낙하물체험, 장비협착체험, 화재, 감전재해 등의 실제 사고를 체험해 볼 수 있도록 만들어진 체험학습 방법과 가상(VR, AR, 메타버스)공간에서 간접경험 할 수 있는 참여방법을 다룰 것이다. 그리고 안전체험교육 사전사후의 분석을 통하여 안전 학습전이 성과를 분석한다. [연구 분석방법]:연구의 주요 변인으로는 Human-Error, 안전행동요인, 불안전행동요인, 위험감수성, 조직특성, 조직의 안전문화, 조직의 역량, 안전교육특성, 교육콘텐츠 변화가 사전사후 분석을 통하여 현장 작업 시 안전 학습전이의 효과성을 검정하였다.

• Journal of Music and Human Behavior
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• v.15 no.1
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• pp.25-49
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• 2018

This study examined the effects of song-based group music therapy on the exercise stress and positive psychological capital of youth soccer players. Eighty youth soccer players were assigned to either a song-based music therapy group or a control group. For the analysis of the effects of song-based group music therapy, the Exercise Stress scale and the Athlete Positive Psychological Capital scale were administered before and after the intervention. The collected data were analyzed using an independent sample t test and paired t test. The results were as follows. First, the experimental group showed a significantly lower posttest score on the exercise stress measure than the control group (p < .01). The control group showed a significant increase from pretest to posttest on the exercise stress measure (p < .05). Second, the experimental group scored significantly higher at posttest than the control group on the positive psychological capital measure (p < .01). The control group demonstrated a statistically significant decrease from pretest to posttest on the positive psychological capital scale (p < .05). The results suggest that song-based group music therapy is an effective treatment method that lowers exercise stress and raises positive psychological capital of youth soccer players.

• Journal of the Korean Data and Information Science Society
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• v.24 no.6
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• pp.1241-1251
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• 2013

The purpose of this study was to investigate and compare the effects of aerobic and complex exercise on body composition and blood lipids in the middle-aged women. Sixteen women whose ages ranged in 40 to 50 years were included in the sample of the study. The sample was divided into two groups: (a) aerobic exercise group (n = 8) and (b) combined exercise training group (n = 8). The aerobic exercise program consisted of bicycle ergometer, stepper, and treadmill, whereas; the combined exercise program was designed to improve muscular strength and aerobic capacity. Both programs took place 4 times a week for 12 weeks with the gradual increase of intensity (HRmax 60% 75% and 1 RM 60% 80%). Data were analyzed by nonparametric methods for pre-post within group mean differences (Wilcoxon signed rank test) and for between group mean differences (Wilcoxon rank sum test). Results indicated that there were statistically significant differences in BMI, body fat mass, and triglyceride within the sample of combined exercise; whereas, no significance existed in any variables within the aerobic exercise group. Results also revealed that statistical significance did exist in body fat mass between the combined and aerobic exercise group. These results implies that the combined exercise may be superior to aerobic only excercise for the body composition and blood lipid of the middle-aged women.

• The Journal of the Korea Contents Association
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• v.19 no.9
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• pp.558-566
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• 2019

The purpose of this study is to fine out whether melodic percussion playing group program affects the team cohesion and team efficacy of youth soccer players. In this study fifty seven middle school soccer players were participated. The participants were assigned to either a melodic percussion playing group or a control group. In order to identify the effectiveness of music program, assessments were conducted using the team cohesion and team efficacy scales before and after the program. The results of comparison analysis through t-test are as follows. First, in the posttest of team cohesion between groups, the experimental group showed a significant difference over the control group. In the pretest and posttest examinations within a experimental group, the group also showed a significant difference. Second, in the posttest of team efficacy between groups, the experimental group showed a significant difference over the control group. In the pretest and posttest examinations within a experimental group, the group also showed a significant difference. These results of this study suggest that melodic percussion playing group program may be an effective intervention tool to improve team cohesion and team efficacy of youth soccer players.