• The Korean Journal of Financial Management
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• v.22 no.1
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• pp.119-146
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• 2005

This study applies extreme value theory to get extreme value-VAR for Korean Stock market and showed the usefulness of the approach. Block maxima model and POT model were used as extreme value models and tested which model was more appropriate through back testing. It was shown that the block maxima model was unstable as the variation of the estimate was very large depending on the confidence level and the magnitude of the estimates depended largely on the block size. This shows that block maxima model was not appropriate for Korean Stock market. On the other hand POT model was relatively stable even though extreme value VAR depended on the selection of the critical value. Back test also showed VAR showed a better result than delta VAR above 97.5% confidence level. POT model performs better the higher the confidence level, which suggests that POT model is useful as a risk management tool especially for VAR estimates with a confidence level higher than 99%. This study picks up the right tail and left tail of the return distribution and estimates the EVT-VAR for each, which reflects the asymmetry of the return distribution of the Korean Stock market.

• Proceedings of the Korean Society of Crop Science Conference
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• 2017.06a
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• pp.313-313
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• 2017

Cold stress is one of the most influenced factors to rice yield. In order to identify genes related to cold stress in fertility stage, genome-wide association study (GWAS) was conducted. Cultivated 129 rice germplasm were moved in the growth chamber under the condition of $12^{\circ}C/RH70%$(12h day/12h night when the rice plant was grown in 10 DBH(days before heading). Also, rice plant as control was moved in the green house under condition of $28^{\circ}C/RH70%$(12h day/12h night). After 4 days the plants were moved in a greenhouse. The fertility of rice plant were monitored after the grain were fully grown. The most tolerant rice germplasm to cold stress were Cheongdo-Hwayang-12 and IR38 as 63.1 and 61.8 of fertility and the most recessive rice germplasm were Danyang38 and 8 rice germplasm as 0. As a result of GWAS with re-sequencing data and fertility after cold treatment germplasm using genome association and prediction integrated tool (GAPIT), 99 single-nucleotide polymorphisms (SNPs) were observed by applying a significance threshold of -logP>4.5 determined by QQ plot. With SNPs region, 14 candidate genes responded to cold stress in fertility stage were identified.