• Journal of the Korean Data and Information Science Society
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• v.18 no.2
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• pp.289-300
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• 2007

The stock return is changed by factors of inside and outside or is changed by factor of market system. But most studies have not considered the changes of stock return distribution when estimate the VaR. Such study may lead us to wrong conclusion. In this paper we calculate the VaR of price-to-earnings ratios by the distribution that have considered the change point and used transformation to satisfy normal distribution.

• Journal of the Korean Data and Information Science Society
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• v.19 no.4
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• pp.1027-1036
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• 2008

Value at Risk(VaR) is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, we introduced and applied the CreditMetrics model to estimate the credit VaR of Korean Property and Casuality insurers.

• Proceedings of the Korean Information Science Society Conference
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• 2001.10a
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• pp.751-753
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• 2001

정보보호 분야의 핵심 기술인 PKI는 전자정부 및 전자상거래 전반의 응용 환경에서 정보보호의 기반구조로서 그 활용의 폭을 더욱 넓혀가고 있으며, 현재 유선 인터넷 환경을 기반으로 구성되어진 PKI는 무선 인터넷 환경의 정보보호 기반구조로 그 영역을 더욱 확장해 나가고 있다. 본 논문은 이러한 PKI에 필수적인 요소인 인증 경로 검증에 효율적으로 대응하고 확장성을 지원하기 위하여 Collaborative ETRI VA를 제안하였다. ETRI VA는 클라이언트의 인증 경로 검증에 대한 부담을 줄이고, 신뢰 모델에 영향을 받지 않고 검증을 수행하며, 중앙집중적으로 신속하게 정책을 반영할 수 있게 한다.

• Journal of Korean Ophthalmic Optics Society
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• v.21 no.1
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• pp.77-81
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• 2016

Purpose: This study was performed to investigate the difference of meridional visual acuity and the loss of corrected visual acuity (VA) in order to emphasis the importance of astigmatic correction. Methods: 64 subjects (122 eyes) aged $22.75{\pm}2.36years$ participated in this study. After full correction of astigmatic refractive error, VA was measured in which the direction of the slit filter was matched with astigmatic axis and $90^{\circ}$ to the astigmatic axis. Results: 52 eyes showed no difference in VA between the two direction. However 70 eyes had difference VA between them. 14 out of 52 eyes and 24 out of 70 eyes had under 1.0 in monocular VA. The astigmatic degree was higher in the existence of VA difference between the two direction than non-existence. The difference is higher with under 1.0 monocular VA. Monocular VA is closely related to the focal line having better VA in the principal focal line. Glasses replacement period was analyzed as 6~12 months for the preservation of better VA. Conclusions: The final glasses prescription has to be given with full correction because continued under-correction for astigmatism causes meridional VA difference.

• Fashion & Textile Research Journal
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• v.14 no.4
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• pp.677-683
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• 2012

1-octanethiol and vinyl acetate telomers ($R_8S$-nVAc) were synthesized and hydrolyzed with sodium hydroxide subsequently, 1.2-epoxyhexane was then introduced to the telomers. In addition, we prepared cotelomers of multi-alkylated nonionic surfactants with a molecular structure of xRnMA-yVA (x; hydrophobic group, y; hydrophilic group, MA; methacrylic ester, VA; vinyl alcohol, R; and alkyl group) and cross-linked with sodium tetraborate decahydrate. Their active surface properties were investigated by several techniques such as surface tension, foaming property, and emulsification power measurements. The surface tension of $R_8S$-8.8VA decreased without the introduction of 1.2-Epoxy hexane, and the degree of emulsification and foaming abilities of $R_8S$-8.8VA increased without the introduction of 1.2-Epoxy hexane. However, the differences were insignificant. The epoxy groups were attached to a $R_8S$-8.8VA cotelomer with a limited variation of the active surface properties. The surface tension of $1.1R_6MA$-8.8VA decreased after cross-linking subsequently, the degree of emulsification and foaming abilities of $1.1R_6MA$-8.8VA increased after cross-linking. However, there was no clear difference between them. The B-O bonds were attached to a $1.1R_6MA$-8.8VA cotelomer with a limited variation of the active surface properties.

• Environmental and Resource Economics Review
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• v.16 no.4
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• pp.947-978
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• 2007

In this paper, we investigated a Value-at-Risk approach to the volatility of two crude oil markets (Brent and Dubai). We also assessed the performance of various VaR models (RiskMetrics, GARCH, IGARCH and FIGARCH models) with the normal and skewed Student-t distribution innovations. The FIGARCH model outperforms the GARCH and IGARCH models in capturing the long memory property in the volatility of crude oil markets returns. This implies that the long memory property is prevalent in the volatility of crude oil returns. In addition, from the results of VaR analysis, the FIGARCH model with the skewed Student-t distribution innovation predicts critical loss more accurately than other models with the normal distribution innovation for both long and short positions. This finding indicates that the skewed Student-t distribution innovation is better for modeling the skewness and excess kurtosis in the distribution of crude oil returns. Overall, these findings might improve the measurement of the dynamics of crude oil prices and provide an accurate estimation of VaR for buyers and sellers in crude oil markets.

• The Korean Journal of Applied Statistics
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• v.24 no.5
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• pp.931-939
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• 2011

In practice, thresholds are determined by the two subjective assessment methods in a generalized pareto distribution of mean extreme function(MEF-graph) or Hill-graph. To remedy the problem of subjectiveness of these methods, we propose an alternative method to determine the threshold based on the robust statistics. We compared the MEF-graph, Hill-graph and our method through VaRs on the Korean stock market data from January 5, 1987 to August 3, 2009. As a result, the VaR based on the proposed method is not much different from the existing methods, and the standard deviation of VaR for our method was the smallest. The results show that our method can be a promising alternative to determine thresholds of the generalized pareto distributions.

• The Bulletin of The Korean Astronomical Society
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• v.39 no.2
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• pp.114-114
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• 2014

We present our activities linking to planning of possible forms of large program to study on circumstellar H2O and SiO maser sources with KaVA. A great advantage of KaVA for the stellar maser observations is the combination of the unique capability of the multi-frequency phase referencing technique of KVN and the dual-beam astrometry of VERA with the KaVA's relative dense antenna configuration. We have demonstrated this advantage through the test observations conducted by the KaVA Evolved Stars Sub-working Group since 2012 March. Snapshot KaVA imaging is confirmed to be possible in integration time of 0.5 hour at the 22 GHz band and 1.0 hour at the 43 GHz band in typical cases. This implies that large snapshot imaging surveys towards many H2O and SiO stellar masers are possible within a reasonable machine time (e.g., scans on ~100 maser sources within 200 hours). This possibility enables us to select the maser sources, which are suitable for future long-term (10 years) intensive (biweekly-monthly) monitoring observations, from 1000 potential target candidates selected from dual-frequency band (K/Q-bands) KVN single-dish observations. The output of the survey programs will be used for statistical analysis of the structures of individual stellar maser clumps and the spatio-kinematical structures of circumstellar envelopes with accelerating outflows. The combination of astrometry in milliarcsecond(mas) level and the multi-phase referencing technique yields not only trigonometric parallax distances to the masers but also precise position reference for registration of different maser lines. The accuracy of the map registration affects interpretation of the excitation mechanism of the SiO maser lines and the origin of the variety of the maser actions, which are expected to reflect periodic behaviors of the circumstellar envelope with stellar pulsation. Currently we are checking the technical feasibility of KaVA operations for this combination. After this feasibility test, the long-term monitoring campaign program will run as one of KaVA's legacy projects.

• The Korean Journal of Applied Statistics
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• v.24 no.4
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• pp.597-607
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• 2011

Value at Risk(VaR) is being widely used as a simple tool for measuring financial risk. Although VaR has a few weak points, it is used as a basic risk measure due to its simplicity and easiness of understanding. However, it becomes very difficult to estimate the volatility of the portfolio (essential to compute its VaR) when the number of assets in the portfolio is large. In this case, we can consider the application of a dimension reduction technique; however, the ordinary factor analysis cannot be applied directly to financial data due to autocorrelation. In this paper, we suggest a dimension reduction method that uses the time-series factor analysis and DCC(Dynamic Conditional Correlation) GARCH model. We also compare the method using time-series factor analysis with the existing method using ordinary factor analysis by backtesting the VaR of real data from the Korean stock market.

• Journal of Korean Neurosurgical Society
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• v.59 no.5
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• pp.449-457
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• 2016

Objective : Subarachnoid hemorrhage (SAH) caused by rupture of an internal carotid artery (ICA) or vertebral artery (VA) dissecting aneuryesm is rare. Various treatment strategies have been used for ruptured intracranial dissections. The purpose of this study is to compare the clinical and angiographic characteristics and outcomes of endovascular treatment for ruptured dissecting aneurysms of the intracranial ICA and VA. Methods : The authors retrospectively reviewed a series of patients with SAH caused by ruptured intracranial ICA and VA dissecting aneurysms from March 2009 to April 2014. The relevant demographic and angiographic data were collected, categorized and analyzed with respect to the outcome. Results : Fifteen patients were identified (6 ICAs and 9 VAs). The percentage of patients showing unfavorable initial clinical condition and a history of hypertension was higher in the VA group. The initial aneurysm detection rate and the percentage of fusiform aneurysms were higher in the VA group. In the ICA group, all patients were treated with double stent-assisted coiling, and showed favorable outcomes. In the VA group, 2 patients were treated with double stent-assisted coiling and 7 with endovascular trapping. Two patients died and 1 patient developed severe disability. Conclusion : Clinically, grave initial clinical condition and hypertension were more frequent in the VA group. Angiographically, bleb-like aneurysms were more frequent in the ICA group and fusiform aneurysms were more frequent in the VA group. Endovascular treatment of these aneurysms is feasible and the result is acceptable in most instances.