• The Korean Journal of Financial Management
• /
• v.18 no.1
• /
• pp.107-128
• /
• 2001

금융기관이 직면하는 시장위험관리와 관련된 연구는 이자율과 주식가격 변동위험, 또는 환율과 이자율 변동위험만을 고려한 자산배분모델이므로 그 모형의 정교성에도 불구하고 국제금융기관의 시장위험관리 모형으로 이용하기에는 부족한 점이 있다. 시장위험인 VAR를 측정하는 방법 중 포트폴리오 VAR 측정방법인 델타-노말 방법을 응용하여 금융기관이 시장위험을 종합적으로 관리하는 한편, 기대수익을 최대화시키는 자산-부채의 최적배분에 대한 모형을 유도할 수 있다. 본 논문은 포트폴리오 접근법을 이용하여 금융기관의 시장위험을 종합적으로 관리할 수 있는 모형을 개발하는 동시에 미국, 일본, 영국, 독일의 주요 금융자산의 가격변동자료를 바탕으로 실증적 분석을 시도하였다. 이론적 모형과 관련하여 국제금융기관이 시장위험을 통제하는 한편 목표수익을 달성하는데 필요한 $m_1$ 종류의 국내자산과 부채의 규모, $m_2$ 종류의 외화자산과 부채의 규모를 동시적으로 결정할 수 있는 모델을 개발하였다. 이 모형은 금융기관의 위험포지션과 목표수익이 변동함에 따라 재구성되어야 할 국내외 자산과 부채의 포트폴리오에 대한 종류와 규모를 구체적으로 파악할 수 있게 한다. 실증분석을 위해 미국에 본점을 두고 미국, 일본, 영국, 독일에서 영업활동을 하는 국제금융기관이 16개의 국내외 금융자산을 이용 가능한 것으로 가정하였다. 1995년 1월부터 1999년 6월까지 이들 금융자산의 월별자료와 각 국 통화의 대 U.S. 달러 환율을 이용하여 목표이익 10,000천 달러를 실현하는 한편 이자율과 환율 위험을 최소화시키는 자산, 부채의 적정구성에 관한 결과를 제시하였다.구의 성과로는 특정 투자자 집단이 주가의 움직임에 따라 매매를 하는 수동적 전략의 의미보다는 적극적으로 주가를 움직이는 주체로서 외국인투자자와 일부 기관투자자의 존재를 확인할 수 있었다는 점이며, 주가 움직임에 따른 개인투자자와 일부 기관 투자자의 수동적 매매 스타일과 기관투자자 사이의 투자스타일의 이질성을 통계적으로 확인할 수 있었다는 데에 있다.남아 각국과 우리나라간에는 주가변동에 시차가 없는 것으로 나타났다. 그러나 각국간 표준시차 및 거래소 거래시간을 고려하면 미국, 영국, 독일의 경우에도 그 시차는 1일이내이거나 거의 시차가 없는 것으로 판단된다. 발견되어 선물의 선도효과가 지배적임을 발견하였다.적 일정하게 하는 소비행동을 목표로 삼고 소비와 투자에 대한 의사결정을 내리고 있음이 실증분석을 통하여 밝혀졌다. 투자자들은 무위험 자산과 위험성 자산을 동시에 고려하여 포트폴리오를 구성하는 투자활동을 행동에 옮기고 있다.서, Loser포트폴리오를 매수보유하는 반전거래전략이 Winner포트폴리오를 매수보유하는 계속거래전략보다 적합한 전략임을 알 수 있었다. 다섯째, Loser포트폴리오와 Winner포트폴리오를 각각 투자대상종목으로써 매수보유한 반전거래전략과 계속거래 전략에 대한 유용성을 비교검증한 Loser포트폴리오와 Winner포트폴리오 각각의 1개월 평균초과수익률에 의하면, 반전거래전략의 Loser포트폴리오가 계속거래전략의 Winner포트폴리오보다 약 5배정도의 높은 1개월 평균초과수익률을 실현하였고, 반전거래전략의 유용성을 충분히 발휘하기 위하여 장단기의 투자기간을 설정할 경우에 6개월에서 36개월로 이동함에 따라 6개월부터 24개월까지는 초과수익률이 상승하지만,

• Information Systems Review
• /
• v.25 no.1
• /
• pp.75-91
• /
• 2023

Thanks to information technologies, sharing economy services offer a new way of consumption. Carsharing appeared as a novel type of service that transformed the conventional way of personal transportation, from owning a vehicle to using an on-demand service. Allowing users to use a vehicle without owning a car, carsharing provides various social benefits such as the reduction of resource allocation inefficiencies and the alleviation of transportation problems. To strengthen such positive aspects of carsharing service, it is essential to understand an individual's service usage pattern and reveal factors that affect users' reuse behavior. This study investigates the factors that have an influence on carsharing reuse of users applying RFMC (Recency, Frequency, Monetary, and Clumpiness) model, the popular model for understanding the reuse likelihood of customers. Using data from a leading carsharing service provider in South Korea, we empirically analyze the effect of RFMC on carsharing reuse behavior. The findings show that recency and monetary values are negatively related to reuse while frequency is positively related to carsharing service reuse. Moreover, the impact of recency and monetary value are more salient whereas the impact of frequency is smaller among users with higher clumpiness. Based on these findings, this study elaborates on theoretical and practical implications.

• Korean Journal of Agricultural and Forest Meteorology
• /
• v.8 no.2
• /
• pp.86-96
• /
• 2006

Ecoclimap-1, a new complete surface parameter global database at a 1-km resolution, was previously presented. It is intended to be used to initialize the soil-vegetation- atmosphere transfer schemes in meteorological and climate models. Surface parameters in the Ecoclimap-1 database are provided in the form of a per-class value by an ecoclimatic base map from a simple merging of land cover and climate maps. The principal objective of this ecoclimatic map is to consider intra-class variability of life cycle that the usual land cover map cannot describe. Although the ecoclimatic map considering land cover and climate is used, the intra-class variability was still too high inside some classes. In this study, a new strategy is defined; the idea is to use the information contained in S10 NDVI SPOT/VEGETATION profiles to split a land cover into more homogeneous sub-classes. This utilizes an intra-class unsupervised sub-clustering methodology instead of simple merging. This study was performed to provide a new ecolimatic map over Northeast Asia in the framework of Ecoclimap-2 global database construction for surface parameters. We used the University of Maryland's 1km Global Land Cover Database (UMD) and a climate map to determine the initial number of clusters for intra-class sub-clustering. An unsupervised classification process using six years of NDVI profiles allows the discrimination of different behavior for each land cover class. We checked the spatial coherence of the classes and, if necessary, carried out an aggregation step of the clusters having a similar NDVI time series profile. From the mapping system, 29 ecosystems resulted for the study area. In terms of climate-related studies, this new ecosystem map may be useful as a base map to construct an Ecoclimap-2 database and to improve the surface climatology quality in the climate model.

• Progress in Medical Physics
• /
• v.16 no.4
• /
• pp.214-219
• /
• 2005

As part of Korean retinal prosthesis project, we have provided preliminary experimental results regarding voltage parameters for the stimulation of chemically degenerated rabbit retina. Since our APB-treated chemically degenerated retina is only ON-pathway blocked, now we switch our experiments to more appropriate retinal degeneration model, genetically degenerated retina model (RD mouse: rd/rd (C3H/HeJ)). Before studying with RD mouse, we started control experiments with normal SD rat to understand characteristics of retinal ganglion ceil activity with postnatal maturation in rodents. Ganglion cell activities were recorded with 8${\times}$8 multi-electrode array. Moving spontaneous bursts appeared until postnatal day of 15. During pre-eye opening period, no light evoked response appeared. After postnatal day of 2 weeks (post-eye opening period), ON-, OFF- and ON/OFF response appeared. The fractional distributions of ON, OFF, and ON/OFF ganglion cell is about $40\%,\;50\%$, and $5\%$. The percentage ($\%$) of light evoked response in each dorso-temporal, ventral, and dorso-nasal area of eye is about $50\%,\;37.5\%$ and $12.5\%$, respectively. We concluded that the optimal period for experiment in rodent is about postnatal day of 2${\~}$3 weeks.

• Korean Journal of Psychosomatic Medicine
• /
• v.28 no.1
• /
• pp.20-28
• /
• 2020

Objectives : The aim of this study was to compare psychosocial characteristics of the functional gastrointestinal disorders FGID group, non-FGID group, and control group and determine factors affecting the QOL of patients with FGID. Methods : 135 patients diagnosed with FGID were selected. 79 adults had no observable symptoms of FGID (control group) and 88 adults showed symptoms of FGID (non-FGID group). Demographic factors were investigated. The Korean-Beck Depression Inventory-II, Korean-Beck Anxiety Inventory, Korean-Childhood Trauma Questionnaire, Multidimensional Scale of Perceived Social Support, Connor-Davidson Resilience Scale, Patient Health Questionnaire-15 and WHO Quality of Life Assessment Instrument Brief Form were used to assess psychosocial factors. A one-way ANOVA was used to compare differences among groups. Pearson correlation test was performed to analyze the correlation of psychosocial factors and QOL of the FGID group. Further, a hierarchical regression analysis was conducted to determine factors affecting the QOL of the FGID group. Results : Between-group differences were not significant in demographic characteristics. Depression (F=48.75, p<0.001), anxiety (F=14.48, p<0.001), somatization (F=24.42, p<0.001) and childhood trauma (F=12.71, p<0.001) were significantly higher in FGID group than in other groups. Social support (F=39.95, p<0.001) and resilience (F=17.51, p<0.001) were significantly lower in FGID group than in other groups. Resilience (β=0.373, p<0.01) was the most important explanatory variable. The explained variance was 47.2%. Conclusions : Significantly more symptoms of depression, anxiety, childhood trauma, and somatization were observed for the FGID group. This group also had less social support, resilience, and quality of life than the non-FGID and control groups. The key factor for quality of life of the FGID group was resilience.