• 제목/요약/키워드: One-factor Model

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One-factor 모형을 이용한 주식 포트폴리오 VaR에 관한 연구 (An One-factor VaR Model for Stock Portfolio)

  • 박근희;고광이;백장선
    • 응용통계연구
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    • 제26권3호
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    • pp.471-481
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    • 2013
  • J. P. Morgan의 RiskMetrics을 기반으로 하는 현행 VaR 모형은 구조적으로 미래 경기상황을 반영할 수 없는 단점으로 인해 불안정한 경기상황에서는 손실이 VaR을 초과하는 결정적인 문제점을 내포하고 있다. 어느 기업의 미래의 주가는 해당 기업만의 고유요인은 물론 모든 기업의 주가에 공통적으로 영향을 미치는 경기변동 공통요인에 의해 결정된다. 따라서 본 연구에서는 주가의 변동요인을 기업의 고유요인과 경기변동 공통요인으로 구분하여, 미래 경기변동 공통요인에 대해서는 현재시점에서 예측한 값을 사용하는 원-팩터(One-factor) VaR 모형을 제안한다. 이와 같은 원-팩터 VaR 모형은 미래의 예측된 경기상황을 반영을 반영하여 손실이 VaR을 초과하는 현행 VaR 모형의 문제점을 해결할 수 있을 뿐만 아니라 자산의 목표보유기간을 증가시켜 경기변동에 따른 손실을 최소화하기 위한 포트폴리오에 대한 자산구성과 자금이전을 선제적으로 실시할 수가 있다.

의사방문수 결정요인 분석 (A Study on Factors Affecting the Use of Ambulatory Physician Services)

  • 박현애;송건용
    • 보건행정학회지
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    • 제4권2호
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    • pp.58-76
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    • 1994
  • In order to study factors affecting the use of the ambulatory physician services. Andersen's model for health utilization was modified by adding the health behavior component and examined with three different approaches. Three different approaches were the multiople regression model, logistic regression model, and LISREL model. For multiple regression, dependent variable was reported illness-related visits to a physician during past one year and independent variables are variaous variables measuring predisposing factor, enabling factor, need factor and health behavior. For the logistic regression, dependent variable was visit or no-visit to a physician during past one year and independent variables were same as the multiple regression analysis. For the LISREL, five endogenous variables of health utiliztion, predisposing factor, enabling factor, need factor, and health behavior and 20 exogeneous variables which measures five endogenous variables were used. According to the multiple regression analysis, chronic illness, health status, perceived health status of the need factor; residence, sex, age, marital status, education of the predisposing factor ; health insurance, usual source for medical care of enabling factor were the siginificant exploratory variables for the health utilization. Out of the logistic regression analysis, health status, chronic illness, residence, marital status, education, drinking, use of health aid were found to be significant exploratory variables. From LISREL, need factor affect utilization most following by predisposing factor, enabling factor and health behavior. For LISREL model, age, education, and residence for predisposing factor; health status, chronic illess, and perceived health status for need factor; medical insurance for enabling factor; and doing any kind of health behavior for the health behavior were found as the significant observed variables for each theoretical variables.

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PC통신서비스 이용자의 만족요인에 관한 연구 (A Study on the Satisfaction Factors in PC Communication Service Users)

  • 이종호
    • 한국정보시스템학회:학술대회논문집
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    • 한국정보시스템학회 1997년도 춘계학술대회논문집 지역정보단지 조성과정보기술의 활용
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    • pp.271-285
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    • 1997
  • This paper address the issues of satisfaction factors to measure the service quality in computer communication service users. In order to develope a satisfaction factors' model, we study appropriate quality factors of the service through the focus group interviews with service users, and surveys the quality levels that users have felt in services. It also analyzes the relationship between the user's quality level and the quality factors by the statistical analyses. Based on the optimal regression model, we suggest an appropriate satisfaction model in PC communication service areas. That model shows that most users are interested in the fare for use. Use-fare factor is the most powerful one to the satisfaction model. Second one is usefulness, next is correctness. But connect-status factor is the only negative one. Most users think that its factor is in the way of fluent communication. So to keep the competitiveness in the PC communication service, the sixth negative factor should be modified as soon as possible.

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환경친화적 국토보전을 위한 자연생태계 평가요인 및 평가지표의 중요도에 관한 연구 (A Study on Importance of Assessment Factors and Indicators of Natural Ecosystem for Environmentally Friendly Land Conservation)

  • 유주한;박경훈;정성관
    • 환경영향평가
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    • 제14권4호
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    • pp.165-177
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    • 2005
  • This study was carried out to offer the basic methodology of the system and model to objectively assess the natural ecosystem for environmentally friendly land conservation and present the alternative plan on establishing the environmental policy. The results of this study were as follows. We selected four assessment factors associated with biotic, abiotic, qualitative, and functional factors. Also, there were extracted fifty-six indicators including density, total nitrogen, hemeroby degree, and goods production. The assessment factor showed that biotic one was very important. The importance of indicators were analyzed that rare and endangered plant was important in biotic factor, in case of abiotic, qualitative, and functional factors, organic matter, landscape diversity, and conservation of ecosystem were greatly important. The results of factor analysis on the characteristics of indicators, classified biotic factor into six factors including a structural one, abiotic factor as a soil and physical one, qualitative factor as five ones including hierarchical one, and functional factor as public and conservational one. In the results of analysis on assessment model, R-square of biotic factor was 51.7%, those of abiotic, qualitative, and functional one were each 58.4%, 44.2%, and 39.3%, and statistical problem was no existence. In future, to develop the assessement model and methodology of sustainable natural ecosystem, we will have to achieve the integrated model and grouping by assessment factor.

Bayesian Test for the Intraclass Correlation Coefficient in the One-Way Random Effect Model

  • Kang, Sang-Gil;Lee, Hee-Choon
    • Journal of the Korean Data and Information Science Society
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    • 제15권3호
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    • pp.645-654
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    • 2004
  • In this paper, we develop the Bayesian test procedure for the intraclass correlation coefficient in the unbalanced one-way random effect model based on the reference priors. That is, the objective is to compare two nested model such as the independent and intraclass models using the factional Bayes factor. Thus the model comparison problem in this case amounts to testing the hypotheses $H_1:\rho=0$ versus $H_2:{\rho}{\neq}0$. Some real data examples are provided.

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Modality-Specific Working Memory Systems Verified by Clinical Working Memory Tests

  • Park, Eun-Hee;Jon, Duk-In
    • Clinical Psychopharmacology and Neuroscience
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    • 제16권4호
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    • pp.489-493
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    • 2018
  • Objective: This study was to identify whether working memory (WM) can be clearly subdivided according to auditory and visual modality. To do this, we administered the most recent and universal clinical WM measures in a mixed psychiatric sample. Methods: A total of 115 patients were diagnosed on the basis of DSM-IV diagnostic criteria and with MINI-Plus 5.0, a structured diagnostic interview. WM subtests of Korean version of Wechsler Adult Intelligence Scale-IV and Korean version of Wechsler Memory Scale-IV were administered to assess WM. Confirmatory factor analysis (CFA) was used to observe whether WM measures fit better to a one-factor or two-factor model. Results: CFA results demonstrated that a two factor model fits the data better than one-factor model as expected. Conclusion: Our study supports a modality model of WM, or the existence of modality-specific WM systems, and thus poses a clinical significance of assessing both auditory and visual WM tests.

원-팩터 모형을 이용한 KOSPI200지수 구성종목의 최적 포트폴리오 구성 및 VaR 측정 (Optimal portfolio and VaR of KOSPI200 using One-factor model)

  • 고광이;손영숙
    • Journal of the Korean Data and Information Science Society
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    • 제26권2호
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    • pp.323-334
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    • 2015
  • J. P. Morgan의 RiskMetrics을 기반으로 하는 현행 VaR 모형은 구조적으로 예측된 미래의 경기상황을 반영할 수가 없다. 본 연구에서는 주가의 변동요인인 워너 확률과정을 기업의 고유요인과 경기변동요인으로 구분한 원-팩터 (One-factor) 모형을 제안하여 미래 경기변동 공통요인을 미리 예측하여 반영함에 따라 장기적인 주식 보유기간에도 선제적인 리스크관리를 실시할 수 있도록 한다. 또한 미래 경기변동요인이 예측값으로 고정됨에 따라 포트폴리오를 구성하는 주가들이 서로 독립성을 만족하게 되여 포트폴리오의 분산을 최소화하는 각 주식의 투자금액을 결정하는 것은 물론 포트폴리오 VaR가 개별 VaR의 합으로 분해되어 목표로 하는 최대손실금액에 따른 포트폴리오의 구성을 효율적으로 실시할 수가 있다.

1990년 서울특별시 O/D자료를 이용한 중력모형적용에 관한 연구 (A study on the Application of Gravity Model using 1990 Seoul O/D Data)

  • 임성빈;이부원
    • 대한교통학회지
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    • 제14권1호
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    • pp.29-42
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    • 1996
  • Among trip distribution models, The BPR type Gravity Model is the one which is the most widely used. The key issue associated with this model is a functional form of friction factor which should be calibrated in the process, and interpretation for socioeconomic factor known as K-factor(Kij) which is used to adjust the difference between observed zone-to-zone trips and the estimated trips. In this study, the BPR type Gravity Model has been fitted to 1990 O/D data for Seoul. Two type of function form for friction factor has been employed : one is a form of Generalized function and the orther is UTP function. With above two function, the parameters for travel distance(Skin-tree) are prepared. The relationship between socioeconomic factor and trips is identified by calculating and analyzing the characteristics of Kij. Consequently, both of the friction factor functions are statistically signified. However, it show an overestimation tendency when estimated with UTP function. It is found that the Generalized function is suitable for the city of Seoul, and also, in case there are a lot of trips correlatively, the socioeconomic factor is close to 1, on the other hand if it's small, it shows a bias which is dispersed around 1.

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A STEADY FLOW MODEL OF A MAGNETIC FLUX TUBE CONSTRAINED TO OBSERVED DIFFERENTIAL EMISSION MEASURE

  • BONG SU-CHAN;CHAE JONGCHUL;YUN HONG SIK
    • 천문학회지
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    • 제33권3호
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    • pp.159-163
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    • 2000
  • We have investigated one dimensional steady flow model of a typical magnetic flux tube in the solar transition region constrained to observed Differential Emission Measure (DEM) for the average quiet-Sun deduced by Raymond & Doyle (1981) with a flux tube geometry conforming to Doppler shifts of UV lines measured by Chae, Yun & Poland (1998). Because local heating and filling factor in the transition region are not well known, we considered two extreme cases, one characterized by the filling factor= 1 ('filled-up model') and the other set by local heating=0 ('not-heated model'). We examined how much the heating is required for the flux tube by recomputing a model through adjustment of the filling factor in such a way that 'not-heated model' accounts for the observed DEM.

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