• 응용통계연구
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• 제25권5호
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• pp.757-773
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• 2012

Traditional value at risk(S-VaR) has a difficulity in predicting the future risk of financial asset prices since S-VaR is a backward looking measure based on the historical data of the underlying asset prices. In order to resolve the deficiency of S-VaR, an economic value at risk(E-VaR) using the risk neutral probability distributions is suggested since E-VaR is a forward looking measure based on the option price data. In this study E-VaR is estimated by assuming the generalized gamma distribution(GGD) as risk neutral density function which is implied in the option. The estimated E-VaR with GGD was compared with E-VaR estimates under the Black-Scholes model, two-lognormal mixture distribution, generalized extreme value distribution and S-VaR estimates under the normal distribution and GARCH(1, 1) model, respectively. The option market data of the KOSPI 200 index are used in order to compare the performances of the above VaR estimates. The results of the empirical analysis show that GGD seems to have a tendency to estimate VaR conservatively; however, GGD is superior to other models in the overall sense.

• Communications for Statistical Applications and Methods
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• 제11권3호
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• pp.495-501
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• 2004

HJM representation of the term structure of interest rates sometimes produces the negative interest rates with positive probability. This paper shows that the condition of positive interest rates can be derived from the jump diffusion process, if a proper positive martingale process with the compensated jump process is chosen. As in Flesaker and Hughston, the condition is incorporated into the bond price process.

• Communications for Statistical Applications and Methods
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• 제16권3호
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• pp.487-493
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• 2009

We consider a multiple defaultable zero coupon bond. Assuming defaults occur according to a marked point process, we explain how to estimate the time-t discounted price of zero coupon bond by simulation. For the special case of a given specific random face value, we show that the real probability measure is the risk neutral probability measure. In this case the time-t discounted conditional price can be obtained by observing a single sample path upto the time t in the real world. Furthermore the time-t discounted price can be estimated by observing real situations or by simulation under the real probability measure.

• 응용통계연구
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• 제24권1호
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• pp.83-92
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• 2011

주식은 그 자체로도 투자의 대상이며, 또한 옵션의 기초자산으로서 옵션의 가격을 평가하는 기본도구로 사용되고 있기에, 주식에 대한 정확한 예측값 도출은 매우 중요하다고 불 수 있다.주식의 가치평가를 위하여 기존 연구들은 대표적으로 GARCH 류의 모형과 SV(stochastic volatility, 확률변동성)류의 모형을 사용하였다. 본 연구에서는 SV 모형에 대해서 초점을 맞추어 KOSPI200 지수를 실증분석하였다. 특히 Durham (2008)의 방법론에 따라서 로그 SV 모델에 변동성지수(VKOSPI 지수)를 추가로 고려하여 모델의 정확도 향상을 기대하였다. VKOSPI 지수는 KOSPI200의 옵션으로부터 계산된 미래에 대한 기대 변동성으로, 주식과 옵션간의 유기적 관련성을 바탕으로 추정하기에 그 의미가 있다. 자료는 2003년 1월2일부터 2010년 9월 24일을 기간으로 사용하였다.

• 대한인간공학회지
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• 제36권5호
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• pp.589-599
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• 2017

Objective: The objective of this study was to measure the upper-limb motions and postures of grapes-harvesting tasks using electrical goniometers and analyze the upper-limb motions in a kinematic way to assess the risk of musculoskeletal disorders. Background: Grapes farmers are exposed to various risk factors of musculoskeletal disorders (MSDs) such as repetitive upper-limb motions, non-neutral postures, and manual handling of heavy items. The farmers have to use scissors repetitively while harvesting grapes with their being arms elevated over the shoulder height, which presumed to increase the physical workload. It has been reported that the grapes farmers feel the harvesting task as the one of the hardest work in cultivating grapes. We tried measure the wrist and elbow angles while the farmers were carrying out harvesting tasks to understand how much workload the work impose on the farmers, which can be helpful in making interventions of preventing musculosksletal disorders among grapes farmers. Method: We measured joint angles at the right wrist and elbow with a wireless measuring system with two electrical goniometers from five grape farmers. The grapes-harvesting task was classified into 6 different subtasks: 1) searching, 2) picking, 3) cleaning, 4) carrying, 6) storing, and 7) miscellaneous tasks. The subtasks were compared by mean angles, 10%, 50%, and 90% APDF values of wrist flexion/extension, ulnar/radial deviation, and elbow flexion. Results: The Kruskal-Wallis tests showed that the 10th percentiles of APDF of ulnar/radial deviation and flexion/extension of the wrist significantly differs among subtasks (p<0.05). It was found that the farmers assumed more deviated wrist postures in the ulnar direction when they picking and adjusting the grapes. The use of scissors seemed to force the farmers to severely bend their wrist in the directions of ulnar deviation and flexion. The grapes-harvesting task showed similar wrist postures and motion with poultry deboning and milking tasks. Conclusion: The grapes harvesting tasks make the farmers take ulnar deviated and extended postures in the wrist. The use of scissors makes them take more severely deviated postures in the wrist. Safety guidelines including use of ergonomic scissors can be provided to the farmers to improve their work conditions. Application: The results of this study can be used as a basic data for the development of safety guidelines for agricultural work.

• Asian Pacific Journal of Cancer Prevention
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• 제13권12호
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• pp.5959-5963
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• 2012

Background: The term 'hardcore' has been applied to use of smoking tobacco and generally referred to as the inability or unwillingness of regular smokers to quit. The component constructs of hardcore except nicotine dependence are product neutral. With the use of 'time to first chew' as a measure of nicotine dependence, hardcore definition can be extended to characterize smokeless tobacco users. Hardcore users respond less to tobacco cessation interventions, and are prone to tobacco induced diseases including cancer. Thus identifying hardcore users would help in estimate the burden of high risk population for tobacco induced diseases. Smokeless tobacco use is predominant and accounts for more than 50% of oral cancer in India. Hence, hardcore chewing information could be used for planning of tobacco and cancer control interventions. The objective of this study was to assess the prevalence and associated factors of hardcore smokeless tobacco use in India. Materials and Methods: Global Adult Tobacco Survey (GATS)-India 2010 data were analyzed to quantify hardcore smokeless tobacco use in India with following five criteria: (1) current daily smokeless tobacco use; (2) no quit attempt in the past 12 months of survey or last quit attempt of less than 24 hours duration; (3) no intention to quit in next 12 months or not interested in quitting; (4) time to first use of smokeless tobacco product within 30 minutes of waking up; and (5) knowledge of smokeless tobacco hazards. Results: The number of hardcore smokeless tobacco users among adult Indians is estimated to be 5% (39.5 million). This group comprises 23.2% of daily smokeless tobacco users. The population prevalence varied from 1.4-9.1% across different national regions of India. Logistic regression modeling indicated age, education and employment status to be the major predictors of hardcore smokeless tobacco use in India. Conclusions: The presence of a huge number (39.5 million) of hardcore smokeless tobacco users is a challenge to tobacco control and cancer prevention in India. There is an unmet need for a universal tobacco cessation programme and intensification of anti-tobacco education in communities.

• 한국운동역학회지
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• 제31권2호
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• pp.133-139
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• 2021

Objective: This study aims to verify the conventional deadlift motions using by two different grips, thereby elucidating the grounds for effective training methods that can minimize the risk of injury. Method: Total of 18 healthy young adults were recruited for this study (age: 25.11±2.19 yrs., height: 175.67±5.22 cm, body mass: 78.5±8.09 kg, 1-RM: 125.75±19.48 kg). All participants were asked to perform conventional deadlift with two types of grips which are overhand grip (OG) and underhand grip (UG). In each grip, participant perform the deadlift with 50% and 80% of the pre-measured 1-RM. A 3-dimensional motion analysis with 8 infrared cameras and 3 channels of EMG was performed in this study. A two-way ANOVA (group × load) with repeated measure was used for statistical verification. The significant level was set at α=.05. Results: There were significant differences in grip type and weight on the right shoulder joint, and only significant difference in grip on the left shoulder joint (p<.05). The hip joint ROM was significantly increased as the weight increased in both types of grips on phase 1, while the ROM of hip joint was significantly decreased as the weight increased only in the case of OG on phase 2 (p<.05). In case of the OG, as the weight, increased significantly increased L1 ROM and L3 ROM were revealed on phase 1 and phase 2, respectively (p<.05). Moreover, as the weight increased, UG revealed significantly decreased L5 ROM on phase 1, while both grips showed significantly increased ROM on phase 2 (p<.05). In addition, the erector spinae and the biceps femoris, which are synergist for the motion, showed a significant difference in both types of grip according to the weight (p<.05). The muscle activity ratio of gluteus maximus/biceps femoris showed a significant difference only in the UG according to the weight (p<.05). Conclusion: In conclusion, beginners might be suggested to use the UG for maintaining the neutral state of the lumbar spine and focus on the gluteus maximus muscle, which is the main activation muscle. For the experts, it may recommend alternative use of the OG and UG according to the training purpose to minimize the compensation effect.