• 한국IT서비스학회지
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• 제4권1호
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• pp.129-139
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• 2005

This paper proposes a framework of Operational Risk-based Business Continuity System(ORBCS), and develops protection system for operational risk through operational risk assessment and loss distribution approach based on risk management guideline announced in the basel II. In order to find out financial operational risk, business processes of domestic bank are assorted by seven event factors and eight business activities so that we can construct the system. After we find out KRI(Key Risk Indicator) index, tasks and risks, we calculated risk possibility and expected cost by analyzing quantitative data, questionnaire and qualitative approach for AHP model from the past events. Furthermore, we can assume unexpected cost loss by using loss distribution approach presented in the basel II. Each bank can also assume expected loss distributions of operational risk by seven event factors and eight business activities. In this research, we choose loss distribution approach so that we can calculate operational risk. In order to explain number of case happened, we choose poisson distribution, log-normal distribution for loss cost, and estimate model for Monte-Carlo simulation. Through this process which is measured by operational risk. of ABC bank, we find out that loss distribution approach explains closer unexpected cost directly compared than internal measurement approach, and makes less unexpected cost loss.

• 경영과학
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• 제28권3호
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• pp.73-82
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• 2011

Basel II advanced measurement approaches for operational risk need to estimate the frequency and severity distribution of operational losses. Due to lack of internal loss data, the estimation is impossible in many cases and so external loss data might be used by scaling on asset or gross income. To get around lack of loss data, scenario analysis combined with loss distribution approach can be useful in calculating the capital charge of operational risk. However, scenario based loss distribution approach requires much time and effort. Instead we may apply the analytic hierarchy process to measure operational risk of financial institutions. The analytic hierarchy process combined with loss distribution approach is to estimate the capital charge of operational risk in other areas based on the operational VaR in an area with sufficient loss data. AHP provides a tool for timely measurement of operational risk in this rapidly changing global environment.

• Communications for Statistical Applications and Methods
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• 제30권1호
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• pp.75-94
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• 2023

The growing trend of cyber risk has put forward the importance of cyber risk management. Cyber risk is defined as an accidental or intentional risk related to information and technology assets. Although cyber risk is a subset of operational risk, it is reported to be handled differently from operational risk due to its different features of the loss distribution. In this study, we aim to detect the characteristics of cyber loss and find a suitable model by measuring value at risk (VaR). We use the loss distribution approach (LDA) and the time series model to describe cyber losses of financial and non-financial business sectors, provided in SAS^® OpRisk Global Data. Peaks over threshold (POT) method is also incorporated to improve the risk measurement. For the financial sector, the LDA and GARCH model with POT perform better than those without POT, respectively. The same result is obtained for the non-financial sector, although the differences are not significant. We also build a two-dimensional model reflecting the dependence structure between financial and non-financial sectors through a bivariate copula and check the model adequacy through VaR.

• KIEE International Transactions on Power Engineering
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• 제5A권2호
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• pp.193-198
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• 2005

This paper proposes a new method to handle transmission line losses using loss distribution factors (LDF) rather than marginal loss factors (MLF) in electricity market operation. Under a competitive electricity market, the bidding data are adjusted to reflect transmission line losses. To date the most proposed approach is using MLFs. The MLFs are reflected to bidding prices and market clearing price during the trading and settlement of the electricity market. In the proposed algorithm, the LDFs are reflected to bidding quantities and actual generations/ loads. Computer simulations on a 9-bus sample system will verify the effectiveness of the algorithm proposed. Moreover, the proposed approach using LDFs does not make any payments residual while the approach using MLFs induces payments residual.

• Journal of Electrical Engineering and Technology
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• 제12권4호
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• pp.1386-1396
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• 2017

In this paper, a new approach is proposed to select the optimal sitting and sizing of distributed solar photovoltaic generation (SPVG) in a radial electrical distribution systems (EDS) considering load/generation uncertainties. Here, distributed generations (DGs) allocation problem is modeled as optimization problem with network loss based objective function under various equality and inequality constrains in an uncertain environment. A boundary power flow is utilized to address the uncertainties in load/generation forecasts. This approach facilitates the consideration of random uncertainties in forecast having no statistical history. Uncertain solar irradiance is modeled by beta distribution function (BDF). The resulted optimization problem is solved by a new Dynamic Harmony Search Algorithm (DHSA). Dynamic band width (DBW) based DHSA is proposed to enhance the search space and dynamically adjust the exploitation near the optimal solution. Proposed approach is demonstrated for two standard IEEE radial distribution systems under different scenarios.

• 한국전산응용수학회:학술대회논문집
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• 한국전산응용수학회 2003년도 KSCAM 학술발표회 프로그램 및 초록집
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• pp.13.2-13
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• 2003

We propose some properties of Bayesian fuzzy hypotheses testing by revision for prior possibility distribution and posterior possibility distribution using weighted fuzzy hypotheses versus on with loss function.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2000년도 하계학술대회 논문집 A
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• pp.519-521
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• 2000

Network reconfiguration is an operation task, and consists in the determination of the switching operations such to reach the minimum loss conditions of the distribution network. In this paper, an effective heuristic based switch scheme for loss minimization is given for the optimization of distribution loss reduction and a solution approach is presented. The solution algorithm for loss minimization has been developed based on the two stage solution methodology. The first stage of this solution algorithm sets up a decision tree which represent the various switching operations available, the second stage applies a proposed technique called cyclic best first search. Therefore, the solution algorithm of proposed method can determine on-off switch statuses for loss reduction, with a minimum computational effort.

• 전기학회논문지
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• 제56권8호
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• pp.1360-1366
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• 2007

In this paper, the load balancing which is one of the distribution power system's operation purposes was studied. Reconfiguration of Distribution power system presents that the configuration is changed by changing the switch on/off status which exists in the system according to the mentioned purpose. Through this method, the load of distribution power system is shown to be balanced. As a characteristic of complicated distribution power system, system is designed by being applied by OOP(Object Oriented Programming) method which connected more flexibly than existing Procedural Programming method, and the process of calculating the distflow and the loss of configurated system is shown. In addition, this paper suggests more efficient method compared by the results of reconfiguration on the purpose of the loss minimization and by the result of distribution power system reconfiguration on the purpose of load balancing. Moreover, it searches for the method to approach the global optimal solution more quickly.

• Journal of the Korean Data and Information Science Society
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• 제22권6호
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• pp.1251-1256
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• 2011

Consider a p-variate ($p{\geq}4$) normal distribution with mean ${\theta}$ and identity covariance matrix. Using a simple property of noncentral chi square distribution, the generalized Bayes estimators dominating the Lindley estimator under quadratic loss are given based on the methods of Brown, Brewster and Zidek for estimating a normal variance. This result can be extended the cases where covariance matrix is completely unknown or ${\Sigma}={\sigma}^2I$ for an unknown scalar ${\sigma}^2$.

• Journal of the Korean Data and Information Science Society
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• 제25권3호
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• pp.611-622
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• 2014

The inverse Weibull distribution (IWD) is the complementary Weibull distribution and plays an important role in many application areas. In Bayesian analysis, Soland's method can be considered to avoid computational complexities. One limitation of this approach is that parameters of interest are restricted to a finite number of values. This paper introduce nonparametric Bayesian estimator in the context of record statistics values from the exponentiated inverse Weibull distribution (EIWD). In stead of Soland's conjugate piror, stick-breaking prior is considered and the corresponding Bayesian estimators under the squared error loss function (quadratic loss) and LINEX loss function are obtained and compared with other estimators. The results may be of interest especially when only record values are stored.