• 통상정보연구
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• 제9권3호
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• pp.151-160
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• 2007

The purpose of this study is to estimate the risk premium hedge ratio in foreign exchange risk of the foreign exchange rate insurance. The applicants of exchange rate insurance and Korea Export Insurance Corporation will be facing the risk in change of currency and guaranteed currency’s swap point upon contract being made. Also upon making decision of hedging exchange rate insurance, the company will need to be aware of the risk causing due to change in swap point.

• 통상정보연구
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• 제9권2호
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• pp.65-86
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• 2007

This paper reviews the properties and application methods of widely used types of risk measures, identifies the rationale and business-side effects of hedging, derives the theoretical formula of optimal hedging ratio, and analyzes the various functional aspects of VaR(Value-at-risk) as a risk measure and a hedging tool. Especially this paper focuses on the characteristics of VaR compared with other risk measures in terms of their own principal determinants and identifies its stronger aspects in the dimension of hedging strategy tools. As well, this paper provides the detailed processes deriving the optimal hedge ratios based on the distributional parameters and risk factors. In addition, this paper presents the detailed and substantial processes of estimating the minimum variance hedge ratio and minimum-VaR hedge ratio using the actual data and shows that the minimum variance hedge ratio proves helpful for many cases although it is not appropriate for the non-linear portfolio including the option contracts. We demonstrate the trade-off relationship between the minimum variance hedge strategy and the minimum-VaR hedge strategy in their hedging costs and performances through calculation of the respective VaRs and variances of unhedged and hedged portfolios and the optimal hedge ratio and hedging effectiveness values for the given long position in US Dollar with the short position in Euro.

• 대한가정학회지
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• 제30권1호
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• pp.219-235
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• 1992

This study attempted to examine a theoretical framework which synthesizes risk attitude, type of investment management and investment behavior and to provide the specific investment strategy by analysing several variables which have effect upon the investment behavior. The results of this research were as follow : 1. Risk attitude had significant differences by the variabels such as age, sex, education, income and debt/asset ratio. Also the type of investment management was influenced significantly by the variables such as age, education, occupation, income, total asset, debt/asset ratio, achievement motivation and risk attitude. The ratio of risky asset holdings was affected by the variabels such as age, education, occupation, housing ownership, income, total asset, debt/asset ratio, achievement motivation, risk attitude and type of investment management. 2. Among several variables affecting the ratio of risky asset holding risk attitude, education, type of investment management, debt/asset ratio and achievement motivation had direct effect on it. Besides age had indirect effect through risk attitude and age, achievement motivation and risk attitude had indirect effect through the type of investment management. 3. The results of this study showed that causal relation between input, throughput and output can be applied to household's investment behavior and the concept of risk or risk attitude can be applied to other fields except household's investment. Also it could be attributed to provide the investment strategy for improving level of household's financial well-being.

• Communications for Statistical Applications and Methods
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• 제11권1호
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• pp.181-187
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• 2004

One of objectives in epidemiologic studies is to detect the amount of change caused by a specific risk factor. Risk ratio is one of the most useful measurements in epidemiology. When we perform the inference for this measurement with rare events, the standard approach based on the normal approximation may fail, in particular when there are no disease cases observed. In this paper, we discuss and evaluate several existing methods for constructing a confidence interval of risk ratio through simulation when the disease of interest is a rare event. The results in this paper provide guidance with how to construct interval estimates for risk difference and risk ratio when there are no disease cases observed.

• 대한지역사회영양학회지
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• 제15권6호
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• pp.796-805
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• 2010

This study investigated the correlations and risk distribution differences between high sensitivity C-reactive protein (hs-CRP) and the diagnosis factors of metabolic syndrome among the residents of a rural community. Two thousand adults aged from 40 to 70 were recruited and 1,968 subjects were included in the study after excluding those with infectious disease or with hs-CRP higher than 10 mg/L in blood. The subjects were then divided into three groups of hs-CRP to examine the correlations and risk ratio with the risk factors of metabolic syndrome. There was a tendency of hs-CRP increasing according to the number of risk factors of metabolic syndrome. The risk ratio with hs-CRP according to metabolic syndrome significantly increased by 2.0 and 2.2 times in the intermediate and high risk group, respectively, compared with the low risk group. The risk ratio with the risk factors of metabolic syndrome according to hs-CRP rose in abdominal obesity, triglyceride, and W/Ht in the intermediate risk group of hs-CRP. The risk ratio also surged in high pressure, W/Ht, ex-drinking (1.7 times), exsmoking (2.0 times) and current smoking (2.0 times) in the high risk group. The results indicate that hs-CRP is related to the risk factors of metabolic syndrome and that it's very important to manage obesity including abdominal obesity and W/Ht and everyday habits including drinking and smoking.

• Journal of the Korean Data and Information Science Society
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• 제22권2호
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• pp.217-225
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• 2011

정신장애 질병과 관련된 위험인자를 찾는 것은 매우 중요한 일이다. 또한 질병과 관련된 위험인자들의 연관성을 나타내는 위험비는 의학에서 주된 관심이 된다. 따라서 우리는 정신장애 질병과 위험인자 간의 연관성을 살펴보기 위해 오즈비를 활용한다. 본 논문에서는 베이지안 네트워크를 정신장애질병인 섬망자료에 적용하여 선별된 주요 위험인자들의 오즈비를 찾았다. 특히 선별된 주요 위험인자들이 단일로 존재할 때의 오즈비와 위험인자가 복합적으로 존재할 때의 오즈비를 통하여 섬망에 가장 위험한 영향을 미치는 위험인자를 규명하였다.

• The Journal of Asian Finance, Economics and Business
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• 제9권4호
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• pp.197-212
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• 2022

The study uses the audited financial statements of 26 Vietnamese commercial banks listed on the Ho Chi Minh City Stock Exchange (HOSE) and Hanoi Stock Exchange (HOSE) during the 2008-2018 period to estimate the system GMM model, which provides empirical evidence on the effect of the variables of customer deposit to total assets (DEPO) ratio, loan to assets (LTA) ratio, liquidity of commercial banks (LIQ), credit development (CRD) ratio, external funding (EFD) ratio, and credit loss provision (LLP) ratio on liquidity risk. The study confirms that commercial banks' internal factors play the most important role, and there is no empirical evidence on macro variables that affect liquidity risk. Finally, in accordance with the theoretical framework, the study uses an estimation method with the R language and the bootstrap methodology to give empirical proof of the nonlinear correlation and U-shaped graph between commercial bank size and liquidity risk. The importance of commercial bank size in absorbing and moderating the effects of liquidity shocks is demonstrated, however, excessive growth in commercial bank size would increase liquidity risk in commercial bank operations.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.23-30
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• 2021

The purpose of this study is to compare the level of risk and return of Islamic stocks in the Jakarta Islamic Index (JII) with conventional stocks on the IDX30 in the period from January 2017 to July 2019. The Sharpe ratio method is used to calculate risk and stock returns. The performance of the stock portfolio is measured by comparing the risk premium portfolio with the portfolio risk that is expressed as a standard deviation of the total risk. This study uses secondary data collected by the Indonesia Stock Exchange (IDX), which provides the names of stock issuers included in the JII and IDX30 indices along with their montly closing price. The results of the descriptive analysis show that the JII Sharpe ratio index from January 2017 to July 2019 is from the minimum range of -0.28820 to a maximum range of 0.05622, while the IDX30 Sharpe ratio index from January 2017 to July 2019 is from the minimum range of -0.09290 to the maximum range of 0.17436. The results of inferential analysis using a different test show that there is a significant difference between the Sharpe ratio JII and IDX30 in measuring the performance of the stock portfolio.

• 보건교육건강증진학회지
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• 제26권1호
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• pp.81-92
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• 2009

Objectives: This study set out to investigate the relationship among the factors of metabolic syndrome diagnosis criteria, their risk factors including general characteristics, and the distribution of the diagnosis criteria and risk among the adult residents of a rural community. Methods: Among 1,968 residents, those who had three or more of the risk factors of metabolic syndrome, which include blood pressure, blood glucose, triglyceride, abdominal obesity, and HDL-C, were categorized as the metabolic syndrome group. And their correlations were analyzed. Results: As for the risk ratio with five factors of the metabolic syndrome diagnosis criteria, it was high according to age and smoking. In addition, the results show that body fat percentage, hs-CRP, insulin, BMI, PP2, total cholesterol, and W/Ht also had much impact on increasing the risk ratio of the metabolic syndrome diagnosis criteria. It turned out that metabolic syndrome was affected by the body mass index(BMI), insulin, waist to height ratio(W/Ht), and hs-CRP. It was 2.51 times crude odds ratio that BMI over the 25kg/m2 in the ratio of the fact of metabolic syndrome and adjusted for sex odds ratio 2.50times and W/Ht was 3.31times, adjusted for sex odds ratio 3.25 times. Conclusion: BMI, W/Ht and smoking of the general characteristics seem to have close relationships with high correlations between the metabolic syndrome diagnosis criteria and the risk factors. Thus there is an urgent need to evaluate them and take interventions and monitoring measures for the clustering of risk factors.

• The Journal of Asian Finance, Economics and Business
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• 제7권12호
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• pp.627-633
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• 2020

The study attempts to analyze the impact of firm's risk on capital structure in the context of seasonal and non-seasonal businesses. We use two independent variables namely credit risk and systematic risk and one dependent variable to explore this connection. Sugar sector is taken as seasonal while the textile sector as non-seasonal businesses. The panel data of twenty-five firms from each sector are taken ranging for the period of 2012 to 2019 which has been retrieved from their annual reports for empirical analysis of the study. The results reveal the negative impact of credit risk on capital structure in both types of businesses. Increasing (decreasing) one point of credit risk causes a decrease (increase) leverage ratio by 0.27 points for seasonal while increasing (decreasing) one point of credit risk causes to decrease (increase) leverage by 0.15 points for non-seasonal businesses. Furthermore, the study shows positive impact of systematic risk on leverage ratio in non-seasonal business and no impact in seasonal business. Any increase (decrease) in the systematic risk causes an incline (decline) leverage ratio by 2.68 units for non-seasonal businesses. The study provides a guideline to managers for risk management in businesses. The research focusses on theoretical as well as managerial and policy implications on risk management in businesses.