• Journal of the Korean Data and Information Science Society
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• 제22권3호
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• pp.589-596
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• 2011

The conditional autoregressive value at risk (CAViaR) model is useful for risk management, which does not require the assumption that the conditional distribution does not vary over time but the volatility does. But it does not provide volatility forecasts, which are needed for several important applications such as option pricing and portfolio management. For a variety of probability distributions, it is known that there is a constant relationship between the standard deviation and the distance between symmetric quantiles in the tails of the distribution. This inspires us to use a support vector quantile regression (SVQR) for volatility forecasts with the distance between CAViaR forecasts of symmetric quantiles. Simulated example and real example are provided to indicate the usefulness of proposed forecasting method for volatility.

• Journal of the Korean Data and Information Science Society
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• 제21권2호
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• pp.219-229
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• 2010

자산을 운용할 때 다양한 위험요인의 증가로 인해 위험관리에 대한 많은 연구가 진행되어왔으며, 통합적인 위험관리기법의 필요성이 대두됨에 따라 개발된 많은 방법 중의 하나가 리스크값이다. 현재까지 연구된 많은 리스크값의 추정과정에서 중요한 과제는 수익률분포의 비대칭성 및 두꺼운 꼬리와 같은 비정규성과 관련된 문제들을 해결하는 것이다. 대부분의 수익률 분포는 첨도가 매우 큰 양수값을 가지며 약한 음수값의 왜도를 갖는다. 본 연구에서는 실제 금융자산 수익률분포에 여러 종류의 대체분포들을 이용하여 실제의 수익률 분포에 적합한 분포를 선정하여 리스크값를 추정한다. 정규분포를 포함한 대체분포들을 이용하여 추정한 리스크값들이 실제 분포로부터 추정한 리스크값에 얼마나 일치하는지를 비교 연구한다. 다양한 대체분포 중에서 실제 분포에 정규혼합분포가 가장 적합하였으며, 이 정규혼합분포를 이용하여 추정한 리스크값과 다른 대체분포를 이용하여 구한 리스크값보다 정확함을 실증 자료를 통해 보였다.

• 디지털융복합연구
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• 제6권1호
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• pp.63-73
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• 2008

The present study attempted to explore effective scanning and monitoring in process of risk management on agri-marine products distribution policy. The interest public's group interests clash in accordance with theme for issue on marking policy. For executing a better systematic scanning and monitoring on actual affairs of marketing, selecting information personnel, gathering and analysing information, issue and risk management and their valuation with ongoing and simultaneously. Especially, In order to explore effective scanning and monitoring as a model of risk management, the study attempted to analyze within and without environment of marketing, to analyze issue management strategy, to evaluate issue activity for likelihood and impact, risk cycle analysis, interest public's group concerned, grade of interest public's group threatened(power, legitimacy, willingness), rapport(staying close, credibility, meeting expectation). And the study make an ongoing observation progress of subjects, and the serious subjects need have made an close observation. The study suggested to establish friendly relationship between organization and interest public's group, and to regularly accomplish two-way symmetric communication.

• Journal of Information Technology Applications and Management
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• 제15권2호
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• pp.67-82
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• 2008

Risk that breed large size disaster is happening variously for cause at social. natural a management. Incidence and damage scale are trend that increase rapidly than past. In these circumstance, to keep operational continuity of organization, area, society, risk management action that establish systematic counter measure estimating and analyze occurrence possibility and expectation damage of risk is essential indispensable issue and the best countermeasure. Risk management action does by main purpose establish optimum disaster reduction countermeasure. To deduce various countermeasure, process that estimate and analyze occurrence possibility and expectation damage of risk is essential indispensable issue. Therefore, this paper studies process design that can presume risk occurrence frequency and damage scale through distribution of probability.

• 한국IT서비스학회지
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• 제15권4호
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• pp.41-62
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• 2016

In Internet of Things (IoT) era, more diverse types of information are collected and the environment of information usage, distribution, and processing is changing. Recently, there have been a growing number of cases involving breach and infringement of personal information in IoT services, for examples, including data breach incidents of Web cam service or drone and hacking cases of smart connected car or individual monitoring service. With the evolution of IoT, concerns on personal information protection has become a crucial issue and thus the risk analysis and management method of personal information should be systematically prepared. This study shows risk factors in IoT regarding possible breach of personal information and infringement of privacy. We propose "a risk analysis framework of protecting personal information in IoT environments" consisting of asset (personal information-type and sensitivity) subject to risk, threats of infringement (device, network, and server points), and social impact caused from the privacy incident. To verify this proposed framework, we conducted risk analysis of IoT services (smart communication device, connected car, smart healthcare, smart home, and smart infra) using this framework. Based on the analysis results, we identified the level of risk to personal information in IoT services and suggested measures to protect personal information and appropriately use it.

• Journal of the Korean Data and Information Science Society
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• 제15권2호
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• pp.347-353
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• 2004

We propose a simple nonparametric estimator of relative risk in the two sample case of the proportional hazards model for complete data. The asymptotic distribution of this estimator is derived using a functional equation. We obtain the asymptotic normality of the proposed estimator and compare with Begun's estimator by confidence interval through simulations.

• Journal of the Korean Data and Information Science Society
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• 제13권2호
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• pp.1-10
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• 2002

A Bayes estimator of the scale parameter in an exponential distribution will be considered by a LINEX error, then the risk of the Bayes estimator using a LINEX loss will be compared with that of a Bayes estimator using a square error.

• Journal of the Korean Data and Information Science Society
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• 제27권4호
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• pp.959-967
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• 2016

자산의 수익에 대한 분포 가정은 파생 상품의 가치 평가에 매우 중요한 역할을 한다. Elberlein과 Keller (1995)는 오랜 기간에 걸친 주식 자료를 바탕으로 혼합 자산의 분포에 대한 다양한 검정을 수행한 결과, 정규성 가정이 만족되지 않음을 확인한 바 있으며, 일반화 쌍곡분포가 보다 현실을 잘 반영하는 모형임을 확인하였다. 또한, Hu와 Kercheval (2007)은 6년간의 S&P500 지수의 분석에서 정규분포는 VaR (value at risk)을 과소 추정하는 반면, 일반화 쌍곡분포는 잘 적합함을 확인하였다. 일반화 쌍곡분포는, Barndorff-Nielsen (1977)이 처음 소개한 분포로, 첨도가 큰 특징을 가지는 금융 자료의 적합에 유용한 분포이다. 본 연구에서는 일반화 쌍곡분포를 모분포로 하는 선형 포트폴리오의 위험측도를 추정한다. 위험측도로는 VaR과 ES (expected shortfall)를 고려하였으며, 추정 방법으로는 안장점근사를 사용하였다. 안장점근사는 소표본에서도 정확한 근사를 제공하는 근사법으로 알려져 있다. 모의실험을 통해 위험측도에 대한 안장점근사의 정도가 매우 우수함을 확인하였다.

• 설비공학논문집
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• 제25권2호
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• pp.70-78
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• 2013

Plants which are having conditions of high temperature and pressure always are exposed to danger. In order to prevent unexpected accidents, safety management that can effectively and appropriately examine facilities is required in plant operation. RBI(Risk-Based Inspection) technology in API 581 is one of standard management technique for evaluating risk on petroleum plants. There are qualitative and quantitative assessments in RBI methodology. Quantitative evaluation step is complex and required much information, so high-risk facilities in plant are selected firstly by qualitative method. Qualitative RBI is performed by choosing the answer in prepared questionnaire. However, it is difficult to believe thoroughly results from survey including ambiguous information. In this study, the procedure of qualitative RBI analysis with considering probability distribution concept were proposed by using Monte Carlo simulation method in order to increase reliability in spite of uncertain factors. In addition, qualitative risk of cooling system for LNG plant was evaluated using proposed procedure. Although 20 items of total 39 assessment items are applied to uncertain factors, risk section of high probability(89%) were verified. The detailed results were described in manuscript.

• 유통과학연구
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• 제15권8호
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• pp.47-54
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• 2017

Purpose - According to agency theory, managers have incentives to adjust firm revenues to meet earnings expectations or delay bad news disclosure because of performance-based compensation and their reputation in the market. When the bad news accumulates, stock prices fail to reflect all available information. Thus, market prices of stocks are higher than their intrinsic value. After all, bad news crosses the tipping point, it comes out all at once. That results in stock crashes. Auditors can decrease stock crash risk by reducing agency costs through their informational role. Especially, stock price crash risk is expected to be lower for firms adopting high-quality audits. We focus on distribution and service industry to examine the relation between audit quality and stock price crash risk. Industry specialization and auditor size are used as proxies for auditor quality. Research design, data and methodology - Our sample contains distribution and service industry firms listed in KOSPI and KOSDAQ during a period of 2004-2011. We use a logistic regression to test whether auditor quality influences crash risk. Auditor quality was measured by industry specialist auditor and Big4 / non-Big4 dichotomy. Following the approach in prior researches, we use firm-specific weekly returns to measure crash risk. Firms experiencing at least one stock price crash in a specific week during year are classified as the high risk group. Results - The result of analyzing 429 companies in distribution and service industry is summarized as follows: Above all, it is shown that higher audit quality has a significant negative(-) effect on the crash risk. Crash risk is alleviated for firms audited by industry specialist auditors and Big 4 audit firms. Therefore, our results show that hypotheses are supported. Conclusions - This study is very meaningful as the first study which investigated the effects of high audit quality on stock price crash risk. We provide evidence that high-quality auditors reduce stock price crash risk. Our finding implies that the risk of extreme losses can be reduced through screening of high-quality auditors. Therefore investors and regulators may utilize our findings in their investment and rule making decisions.