• The Korean Journal of Financial Management
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• v.23 no.2
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• pp.209-237
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• 2006

Since previous default forecasting models for the firms evaluate the probability of default based upon the accounting data from book values, they cannot reflect the changes in markets sensitively and they seem to lack theoretical background. The market-information based models, however, not only make use of market data for the default prediction, but also have strong theoretical background like Black-Scholes (1973) option theory. So, many firms recently use such market based model as KMV to forecast their default probabilities and to manage their credit risks. Korean firms also widely use the KMV model in which default point is defined by liquid debt plus 50% of fixed debt. Since the debt structures between Korean and American firms are significantly different, Korean firms should carefully use KMV model. In this study, we empirically investigate the importance of debt structure. In particular, we find the following facts: First, in Korea, fixed debts are more important than liquid debts in accurate prediction of default. Second, the percentage of fixed debt must be less than 20% when default point is calculated for Korean firms, which is different from the KMV. These facts give Korean firms some valuable implication about default forecasting and management of credit risk.

• Atmosphere
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• v.30 no.2
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• pp.103-113
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• 2020

In this study, we analyzed and developed the monitoring system in order to confirm the effect of observations on forecast sensitivity on ensemble-based data assimilation. For this purpose, we developed the Ensemble Forecast Sensitivity to observation (EFSO) monitoring system based on Local Ensemble Transform Kalman Filter (LETKF) system coupled with Korean Integrated Model (KIM). We calculated 24 h error variance of each of observations and then classified as beneficial or detrimental effects. In details, the relative rankings were according to their magnitude and analyzed the forecast sensitivity by region for north, south hemisphere and tropics. We performed cycle experiment in order to confirm the EFSO result whether reliable or not. According to the evaluation of the EFSO monitoring, GPSRO was classified as detrimental observation during the specified period and reanalyzed by data-denial experiment. Data-denial experiment means that we detect detrimental observation using the EFSO and then repeat the analysis and forecast without using the detrimental observations. The accuracy of forecast in the denial of detrimental GPSRO observation is better than that in the default experiment using all of the GPSRO observation. It means that forecast skill score can be improved by not assimilating observation classified as detrimental one by the EFSO monitoring system.

• Atmosphere
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• v.25 no.1
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• pp.1-18
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• 2015

The most objective way to overcome the limitation of numerical weather prediction model is to represent the uncertainty of prediction by introducing probabilistic forecast. The uncertainty of the numerical weather prediction system developed due to the parameterization of unresolved scale motions and the energy losses from the sub-scale physical processes. In this study, we focused on the growth of model errors. We performed ensemble forecast to represent model uncertainty. By employing the multi-physics scheme (PHYS) and the stochastic kinetic energy backscatter scheme (SKEBS) in simulating typhoon Rusa (2002), we assessed the performance level of the two schemes. The both schemes produced better results than the control run did in the ensemble mean forecast of the track. The results using PHYS improved by 28% and those based on SKEBS did by 7%. Both of the ensemble mean errors of the both schemes increased rapidly at the forecast time 84 hrs. The both ensemble spreads increased gradually during integration. The results based on SKEBS represented model errors very well during the forecast time of 96 hrs. After the period, it produced an under-dispersive pattern. The simulation based on PHYS overestimated the ensemble mean error during integration and represented the real situation well at the forecast time of 120 hrs. The displacement speed of the typhoon based on PHYS was closest to the best track, especially after landfall. In the sensitivity tests of the model uncertainty of SKEBS, ensemble mean forecast was sensitive to the physics parameterization. By adjusting the forcing parameter of SKEBS, the default experiment improved in the ensemble spread, ensemble mean errors, and moving speed.

• Korean Journal of Construction Engineering and Management
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• v.12 no.3
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• pp.121-130
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• 2011

Real option values of early termination payment for selected BTO PPI projects are studied using binomial models. Two cases of early termination payments are considered; an option with the condition of private participants' default, and an option without the condition. Values vary depending upon parameter values such as revenues, costs, discount rates, debt ratio, and volatility of revenues. For selected projects, the option values without the default condition are estimated as 1%~7% of total project costs, whereas the option values with the default condition are estimated as 0%~1.89% of total project cost. When actual revenues differ from the forecasted revenues, apparently the option values deviate from the values based upon the forecasted revenues. When actual revenues fall short of the forecasted revenues, the option values increase by a large amount whereas the option values decrease by a small amount in the opposite case. This implies that the option values can be quite bigger than the values based upon the forecasted revenue especially when the revenue forecast uncertainty is large. This study is expected to play an important role in improving the early termination payment option policy of the government in PPI projects in Korea.

• Proceedings of the KIEE Conference
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• 2006.11a
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• pp.375-377
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• 2006

This paper presents a method to calculate generation power for integrating Sihwa tidal power into power systems. The sea levels of 1 minute interval using cubic interpolation based on the forecasted levels of high and low water offered from Nori(National Oceanographic Research Institute) are calculated. If the sea level is greater than the lake level and the difference between sea level and lake level at high tide is over the default value, it begins to calculate the tidal power. It is seen that tidal power can supply power to demand side stably and economically from assessment of effect for integrating tidal power into power systems.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
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• v.21 no.1
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• pp.157-163
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• 2007

This paper presents a method to calculate generation power for integrating Sihwa tidal power into power systems. The sea levels of 1 minute interval using cubic interpolation based on the forecasted levels of high and low water offered from Nori(National Oceanographic Research Institute) are calculated. If the sea level is greater than the lake level and the difference between sea level and lake level at high tide is over the default value, it begins to calculate the tidal power. It is seen that tidal power can supply power to demand side stably and economically from assessment of effect for integrating tidal power into power systems.

• The Bulletin of The Korean Astronomical Society
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• v.44 no.1
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• pp.50.2-50.2
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• 2019

Understanding three-dimensional structure and parameters (e.g., radial velocity, angular width, source location and density) of coronal mass ejections (CMEs) is essential for space weather forecast. In this study, we determine CME mean density in solar corona and near the Earth. We select 38 halo CMEs, which have the corresponding interplanetary CMEs (ICMEs), by SOHO/LASCO from 2000 to 2014. To estimate a CME volume, we assume that a CME structure is a full ice-cream cone which is a symmetrical circular cone combined with a hemisphere. We derive CME mean density as a function of radial height, which are approximately fitted to power-law functions. The average of power-law indexes is about 2.1 in the LASCO C3 field of view. We also obtain power-law functions for both CME mean density at 21 solar radii and ICME mean density at 1AU, with the average power-law index of 2.6. We estimate a ratio of CME density to background density based on the Leblanc et al.(1998) at 21 solar radii. Interestingly, the average of the ratios is 4.0, which is the same as a default value used in the WSA-ENLIL model.

• Atmosphere
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• v.25 no.4
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• pp.639-657
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• 2015

There is an increasing need to improve the air quality over South Korea to protect public health from local and remote anthropogenic pollutant emissions that are in an increasing trend. Here, we evaluate the performance of the WRF-Chem (Weather Research and Forecasting-Chemistry) model in simulating near-surface air quality of major Korean cities, and investigate the impacts of time-varying chemical initial and lateral boundary conditions (IC/BCs) on the air quality simulation using a chemical downscaling technique. The model domain was configured over the East Asian region and anthropogenic MICS-Asia 2010 emissions and biogenic MEGAN-2 emissions were applied with RACM gaseous chemistry and MADE/SORGAM aerosol mechanism. Two simulations were conducted for a 30-days period on April 2010 with chemical IC/BCs from the WRF-Chem default chemical species profiles ('WRF experiment') and the MOZART-4 (Model for OZone And Related chemical Tracers version 4) ('WRF_MOZART experiment'), respectively. The WRF_MOZART experiment has showed a better performance to predict near-surface CO, $NO_2$, $SO_2$, and $O_3$ mixing ratios at 7 major Korean cities than the WRF experiment, showing lower mean bias error (MBE) and higher index of agreement (IOA). The quantitative impacts of the chemical IC/BCs have depended on atmospheric residence time of the pollutants as well as the relative difference of chemical mixing ratios between the WRF and WRF_MOZART experiments at the lateral boundaries. Specifically, the WRF_MOZART experiment has reduced MBE in CO and O3 mixing ratios by 60~80 ppb and 5~10 ppb over South Korea than those in the WRF-Chem default simulation, while it has a marginal impact on $NO_2$ and $SO_2$ mixing ratios. Without using MOZART-4 chemical IC, the WRF simulation has required approximately 6-days chemical spin-up time for the East Asian model domain. Overall, the results indicate that realistic chemical IC/BCs are prerequisite in the WRF-Chem simulation to improve a forecast skill of local air quality over South Korea, even in case the model domain is sufficiently large to represent anthropogenic emissions from China, Japan, and South Korea.

• The Korean Journal of Financial Management
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• v.27 no.2
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• pp.169-204
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• 2010

This paper examines the dynamic relationship between fund flow and market risk at the aggregate level and explores whether sudden sharp changes in fund flow (fund run) can cause a systemic risk in the Korean financial markets. We use daily and weekly data and regression and VAR analysis. Main results of the paper are as follows: First, in the stock market, a concurrent and a lagged unexpected fund flows have a positive relationship with market volatility. A positive shock in fund flow predicts an increase in stock market volatility. In the bond market, an unexpected fund flow has a negative relationship with the default risk premium, but a positive relationship with the term premium. And an unexpected fund flow of the money market fund has a negative relationship with the liquidy risk, but the explanatory power is very low. Second, for examining whether changes in fund flow induce a systemic risk, we construct a spillover index based on the forecast error variance decomposition of VAR model. A spillover index represents that how much the shock in fund flow can explain the change of market risk in a market. In general, explanatory powers from spillover indexes are so fluctuant and low. In the stock market, the impact of shocks in fund flow on market risk is relatively high and persistent during the period from the end of 2007 to 2008, which is the subprime-mortgage crisis period. In bond market, since the end of 2008, the impact of shocks in fund flow spreads to default risk continually, while in the money market, such a systematic effect doesn't take place. The persistent patterns of spillover effect appearing around a certain period in the stock market and the bond market suggest that the shock to the unexpected fund flow may increase the market risk and can be a cause of systemic risk in the financial markets. However, summarizing the results of regression and VAR model analysis, and considering the very low explanatory power of spillover index analysis, we can conclude that changes in fund flow have a very limited power in explaining changes in market risk and it is not very likely to induce the systemic risk by a fund run in the Korean financial markets.

• Journal of the Korean Association of Geographic Information Studies
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• v.21 no.4
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• pp.50-63
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• 2018

The rapid urbanization had led to a distortion of natural hydrological cycle system. The change in hydrological cycle structure is causing streamflow depletion, changing the existing use tendency of water resources. To manage such phenomena, a streamflow depletion impact assessment technology to forecast depletion is required. For performing such technology, it is indispensable to build GIS-based spatial data as fundamental data, but there is a shortage of related research. Therefore, this study was conducted to use the use of GIS-based time series spatial data for streamflow depletion assessment. For this study, GIS data over decades of changes on a national scale were constructed, targeting 6 streamflow depletion impact factors (weather, soil depth, forest density, road network, groundwater usage and landuse) and the data were used as the basic data for the operation of continuous hydrologic model. Focusing on these impact factors, the causes for streamflow depletion were analyzed depending on time series. Then, using distributed continuous hydrologic model based DrySAT, annual runoff of each streamflow depletion impact factor was measured and depletion assessment was conducted. As a result, the default value of annual runoff was measured at 977.9mm under the given weather condition without considering other factors. When considering the decrease in soil depth, the increase in forest density, road development, and groundwater usage, along with the change in land use and development, and annual runoff were measured at 1,003.5mm, 942.1mm, 961.9mm, 915.5mm, and 1003.7mm, respectively. The results showed that the major causes of the streaflow depletion were lowered soil depth to decrease the infiltration volume and surface runoff thereby decreasing streamflow; the increased forest density to decrease surface runoff; the increased road network to decrease the sub-surface flow; the increased groundwater use from undiscriminated development to decrease the baseflow; increased impervious areas to increase surface runoff. Also, each standard watershed depending on the grade of depletion was indicated, based on the definition of streamflow depletion and the range of grade. Considering the weather, the decrease in soil depth, the increase in forest density, road development, and groundwater usage, and the change in land use and development, the grade of depletion were 2.1, 2.2, 2.5, 2.3, 2.8, 2.2, respectively. Among the five streamflow depletion impact factors except rainfall condition, the change in groundwater usage showed the biggest influence on depletion, followed by the change in forest density, road construction, land use, and soil depth. In conclusion, it is anticipated that a national streamflow depletion assessment system to be develop in the future would provide customized depletion management and prevention plans based on the system assessment results regarding future data changes of the six streamflow depletion impact factors and the prospect of depletion progress.