• The Korean Journal of Applied Statistics
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• v.24 no.2
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• pp.253-268
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• 2011

In this paper, we estimate systematic risk from credit migration (or transition) matrices under "Asymptotic Single Risk Factor" model. We analyzed transition matrices issued by KR(Korea Ratings) and concluded that systematic risk implied on credit migration somewhat coincide with the real economic cycle. Especially, we found that systematic risk implied on credit migration is better than that implied on the default rate. We also emphasize how to conduct a stress test using systematic risk extracted from transition migration. We argue that the proposed method in this paper is better than the usual method that is only considered for the conditional probability of default(PD). We found that the expected loss critically increased when we explicitly consider the change of credit quality in a given portfolio, compared to the method considering only PD.

• Journal of Korean Institute of Industrial Engineers
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• v.39 no.5
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• pp.429-439
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• 2013

The Korean Veterans' Pension Fund has previously pre-purchased Gibril Tower on Business Complex in Dubai, UAE, via a project-financed construction investment. Although the property is near completion, the investor syndicate's attempt to debt-finance due arrears was foiled in Dubai central bank's credit control of real estaterelated loans. Accordingly, the investment coordinator offered an additional capital injection, a collateralized leverage, and a maturity extension to the syndicate. If the syndicate rejects the offer, they may risk a nearcomplete capital loss and a possible default of the main contractor. Otherwise, the syndicate may still face uncertainties regarding interest receivables, principal re-payment, foreclosure, economic recession in Dubai, and the Islamic bond bill in the Korean Parliament. A possible exercise of the latter option may be due to the agency-prone nature of pension fund managers. Given these qualitative risk factors as at April 1, 2011, a real options approach-implied optimal decision suggests an extended and complete cash augmentation into the project finance deal.

• Journal of Communications and Networks
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• v.11 no.5
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• pp.518-528
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• 2009

IEEE 802.11 wireless local area network (WLAN) has become the prevailing solution for wireless Internet access while transport control protocol (TCP) is the dominant transport-layer protocol in the Internet. It is known that, in an infrastructure-based WLAN with multiple stations carrying long-lived TCP flows, the number of TCP stations that are actively contending to access the wireless channel remains very small. Hence, the aggregate TCP throughput is basically independent of the total number of TCP stations. This phenomenon is due to the closed-loop nature of TCP flow control and the bottleneck downlink (i.e., access point-to-station) transmissions in infrastructure-based WLANs. In this paper, we develop a comprehensive analytical model to study TCP dynamics in infrastructure-based 802.11 WLANs. We calculate the average number of active TCP stations and the aggregate TCP throughput using our model for given total number of TCP stations and the maximum TCP receive window size. We find out that the default minimum contention window sizes specified in the standards (i.e., 31 and 15 for 802.11b and 802.11a, respectively) are not optimal in terms of TCP throughput maximization. Via ns-2 simulation, we verify the correctness of our analytical model and study the effects of some of the simplifying assumptions employed in the model. Simulation results show that our model is reasonably accurate, particularly when the wireline delay is small and/or the packet loss rate is low.