• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.29-62
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• 2007

We examine the methods to increase MBS values given parameters of default risks of individual mortgages and their correlation, and analyze the effects of these parameters on the efficiency of the methods. First, the values of MBS can be improved when they are comprised of low-correlation mortgages regardless of specific forms of investors' utility functions. Second, the values of MBS can also be raised even after their components mortgages are determined. More specifically, when investors' utilities are heterogeneous, CMO's of a less risky tranche and a riskier tranche are highly valued compared with pass-through securities of two identical tranches. When investors' utilities are homogeneous(risk averse), however, the latter meets the needs of investors better than the former does. Third, it can be shown that the efficiency of the methods in this paper is an increasing function of default risks of mortgage loans or of the correlation between them, and a decreasing function of the amount of the price fall of MBS when in default.

• Management & Information Systems Review
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• v.35 no.1
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• pp.207-233
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• 2016

Currently mobile messenger industry, based on mobile application, is growing. And it has aroused innovative change, offering services in various forms beyond the form simply sharing messengers. Also because messenger securities are becoming personalized and intelligent, the importance of more diverse mobile applications' securities is increasing. This study carries out the empirical study of the causal relationship that the factors of using application services influence on security recognition and security Intention of mobile securities, and consequentially impact upon protection of personal information of users. In order that, we present the research model which prime variables of SDT, which emphasized on natural immanent motivation of human, applied to. To verify the research model of this study empirically, we conducted a survey targeting the public and university students which have ever used mobile messenger applications. With this, we desire to contribute to emphasizing the significance of individual messenger security and playing a positive role to develop security guide for consumers. The path analysis results are as follows. First, perceived autonomy has a positive effect on both security awareness and security intention. Second, perceived competence has a positive effect on security intention. Third, perceived relatedness has a positive effect on both security awareness and security intention. Last, security awareness and security intention. have a positive effect on privacy protection behavior. Through emphasizing the importance of the security of the messenger of individuals and contribute to a positive role for development of the necessary security guidelines to consumers.

• International Area Studies Review
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• v.13 no.3
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• pp.527-549
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• 2009

This paper investigates the relation of invert U-shape between the M/B ratio and leverage ratio by market, firm size, and a level of technology of firm. Our sample consists of 510 manufacturing firms continually listed on the Korea Securities Market and Kosdaq Market from January 1, 2001 to December 31, 2008. The total sample consists of the Korea Securities Market(large firms, high technology industry) sample of 2,248(1,816, 1,704) observations and the Kosdaq Market(small and medium firms, high technology industry) sample of 1,632(2,264, 2,376) observations. The empirical results show that the relation of invert U shape appears on the sample of the Kosdaq Market, small and medium firms, and high technology industry. However, the relation doesn't appear on the sample of the Korea Securities Market, large firms, and low technology industry. These mutually different results may be caused by the relatively low M/B ratio of the latter.

• Journal of the Korean Mathematical Society
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• v.38 no.1
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• pp.25-35
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• 2001

In this paper we consider an age dependent branching process whose particles move according to a Markov process with continuous state space. The Markov process is assumed to the stationary with independent increments and positive recurrent. We find some sufficient conditions for he Markov motion process such that the empirical distribution of the positions converges to the limiting distribution of the motion process.

• Communications for Statistical Applications and Methods
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• v.23 no.1
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• pp.21-32
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• 2016

We study asymptotic expansion formulae for numerical computation of Greeks (i.e. sensitivity) in finance. Our approach is based on the integration-by-parts formula of the Malliavin calculus. We propose asymptotic expansion of Greeks for a stochastic volatility model using the Greeks formula of the Black-Scholes model. A singular perturbation method is applied to derive asymptotic Greeks formulae. We also provide numerical simulation of our method and compare it to the Monte Carlo finite difference approach.

• Journal of the Korean Data and Information Science Society
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• v.22 no.3
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• pp.549-553
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• 2011

In this paper, we deal with the problem of deciding the length of data for estimating the parameters in geometric Brownian motion. As an approach to this problem, we consider the change point test and introduce simple test statistic based on the cumulative sum of squares test (cusum test). A real data analysis is performed for illustration.

• Journal of the Korean Professional Engineers Association
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• v.39 no.1
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• pp.50-53
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• 2006

I forecasted how much IT and ubiquitous technology will grow after 20 years. First of all, 1 think the goal of ubiquitous technology and relative main technology is our life. 1 will give examples of ubiquitous technology that affects travel, school and family life and how much it has changed. Lastly I will check the problems and securities in ubiquitous technology. By that time, we will have meaningful time to inspect the change of future technology.

• Journal of the Korean Data and Information Science Society
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• v.11 no.2
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• pp.173-179
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• 2000

Interval prediction based on the empirical distribution function for the class of time series with time varying coefficients is discussed. To this end, strong mixing property of the model is shown and results due to Fotopoulos et. al.(1994) are employed. A simulation study is presented to assess the accuracy of the proposed interval predictor.

• Journal of the Korean Data and Information Science Society
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• v.19 no.4
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• pp.1073-1080
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• 2008

Reverse convertible fund is a method of investment assuring both profit and stability in an unstable stock market, and shares characteristics of a hedge fund and derivative securities. This study analyzes empirically whether reverse convertible funds can indeed serve as a new method in variable stock market environment to provide high profit with low risks especially in the Korean stock market.

• Proceedings of the Korean Information Science Society Conference
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• 1999.10a
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• pp.484-486
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• 1999

객체지향 방법으로 시스템을 개발할 때 분석단계의 객체모델을 객체지향 스키마로 변환을 용이하도록 하기 위하여 분석단계의 객체모델을 정제할 필요가 있다. 따라서 본 논문에서는 분석단계의 객체모델을 정제하여 다단계 데이터베이스 어플리케이션으로 설계하는 방법을 제시한다. 또한 자료의 잘못된 유출이나 수정을 예방하고 모호성을 제거하기 위하여 보안을 적용한다. 보안을 적용한 분석단계의 객체모델을 다단계 데이터베이스 어플리케이션으로 설계할 때 이 보안이 다단계 데이터베이스 어플리케이션의 설계에서 적용되는 방법을 제시한다.