• 한국산업융합학회 논문집
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• 제8권2호
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• pp.85-95
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• 2005

The margin level in the futures market platys an important role in balancing the default probability with the investor's opportunity cost. In this paper, we investigate whether the movement of KOSPI200 futures daily prices can be modeled with the extreme value theory. Based on this investigation, we examine the validity of the margin level set by the extreme value theory. Moreover, we propose an expected profit-maximization model for securities companies. In this model, the extreme value theory is used for cost estimation, and a regression analysis is used for revenue calculation. Computational results are presented to compare the extreme value distribution with the empirical distribution of margin violation in KOSPI200 and to examine the suitability of the expected profit-maximization model.

• 산업기술연구
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• 제32권A호
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• pp.125-128
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• 2012

In this paper, we proposed a prioritization method of test cases using a value estimation model of test sets, that are key elements for highly effective software testings as well as involve a large cost factor in software developments and maintenances. Based on previous studies, our idea includes introducing some practical factors of the test case prioritization which critically influence the value of a test case: Relative values of test sets before and after the test running, Average value of these two relative values, Severity of the defect, Risks that are covered, Frequency of use, Change related values, Systematic elicitations, etc. Finally we discussed the usefulness and the expected effects of the proposed scheme.

• Journal of Information Technology Applications and Management
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• 제17권2호
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• pp.111-132
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• 2010

Korean telecommunications industry has a large scale market and boasts on high service quality and high technologies enough to provide the mobile video telephony service(the VTS) satisfactorily. For many years, Korean telecommunications companies have been investing enormous amount of money to advertise their VTS widely and to allow their customers to change their cell phones for the 3G(the third generation) devices indispensable for the VTS. However, despite their efforts, the VTS adoption rate in Korea is very low as of January, 2010 and it seems that customers seldom feel the necessity to use. From this viewpoint, it becomes necessary to identify antecedents influencing the intention to use for the VTS empirically. For this purpose, we have proposed several hypotheses from the perspective of the Value-based Adoption Model(VAM). We conducted a survey and found the several factors which influence the value perception of VTS.

• 기술혁신학회지
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• 제5권2호
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• pp.141-151
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• 2002

Many technology investment projects can be considered as set of sequential options. A compound real option can be used for evaluating sequential technology investment decisions under significant uncertainty and measuring its value. In this paper, the formula developed by Geske and Johnson(1984) and Buraschi and Dumas(2001) was applied to evaluate the technology investment with related double real option. Also double real option was com-pared with net present value method and multiple linear regression model was used to assess the partial effects of risk free rate and log-term volatility on its value.

• 응용통계연구
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• 제23권2호
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• pp.219-234
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• 2010

시가총액에 따른 인덱스(INDEX) 투자를 했을 경우에, VaR(Value at Risk)을 종합주가지수(KOSPI)로부터 얻은 수익율의 극단 손실값들로부터 추정한다. 이를 위해, 극단값 이론 중 BM(Block Maxima) 모형을 적용하며, 극단 손실값들의 비독립적 발생을 고려하기 위하여, extremal index 역시 추정한다. 모형의 타당성을 알아보기 위해, 실패율방법을 이용한 사후검정 (back-testing) 을 실시한다. 사후검정을 통해, BM 모형을 적용한 VaR의 추정이 적절함을 알 수 있었다. 또한, 일반적으로 많이 사용되는 GARCH 모형을 이용한 VaR의 추정과 비교한다. 이를 통해, 오차가 t-분포를 따른다고 가정하는 경우, GARCH 모형을 이용한 VaR의 추정이 BM 모형을 이용한 경우와 사후 검정결과에 차이가 없음을 확인하였다. 그러나, GARCH 모형을 통한 VaR 추정은 추정시점근방의 극단 손실값들에 민감하게 반응하지만, BM 모형은 그렇지 않았다. 따라서, 현 시점으로부터 단기간동안의 손실위험은 GARCH 모형을 이용한 VaR의 추정값을 사용하는 것이 적절하며, 장기간동안의 손실위험은 BM 모형으로부터 얻은 VaR의 추정값을 사용하는 것이 적절하다.

• 기술혁신학회지
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• 제9권1호
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• pp.84-102
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• 2006

이 논문은 생명공학 연구개발, 특히 인간유전체 기능연구사업의 가치를 평가하기 위해 실물옵션방법과 일반적인 DCF법을 사용한 결과를 비교한다. 평가에 사용된 모형은 구체적으로 옵션트리모형, 다이나믹DCF모형, 옵션방법DCF모형이고 일반적인 DCF모형은 실물옵션모형과의 비교를 위해 사용하였다. 평가 결과 7단계의 옵션트리모형이 가장 큰 금액으로 추정되어, 장기간이 소요되고 대규모의 연구개발비가 투자되는 신약개발의 초기 연구개발 가치를 평가절하하지 않는 것으로 판단된다. 한편 옵션트리모형의 평가과정에서 사용된 다양한 변수들이 변화시키는 민감도 분석을 수행한 결과, 매출액이 가치금액에 가장 큰 영향을 미치는 것을 확인했다. 다음으로는 후보물질 수, 단계별 성공확률이 평가금액에 영향을 미치고 있었다.

• 대한기계학회논문집
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• 제19권8호
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• pp.1876-1888
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• 1995

In this paper, glass surface-mat reinforced epoxy(G.S.R.E.) is developed, It is assured that the material(G.S.R.E.) can be used as photoelastic model material and it satisfy with the required properties of photoelastic model material. Therefore, the material can be used as model material of transparent photoelastic experiment when we analyze the stress distributions of transversely isotropic material by photoelastic experiment. When we use G.S.R.E. as photoelastic experiment model material, we had better use the G.S.R.E. which fiber volume ratio is less than 0.7% in the high temperature(stress freezing method) and than 1.74% in the room temperature. Relationships between stress fringe value and elastic modulus in transversely isotropic material are developed in this paper, it is assured by experiment that they are established in the room temperature or in the high temperature. Therefore we can obtain stress fringe value or elastic modulus from the relationships between stress fringe value and elastic modulus.

• Imaging Science in Dentistry
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• 제34권1호
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• pp.13-18
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• 2004

Purpose : This study was to evaluate the influence of slice thickness of computed tomography (CT) and rapid protyping (RP) type on the accuracy of 3-dimensional medical model. Materials and Methods: Transaxial CT data of human dry skull were taken from multi-detector spiral CT. Slice thickness were 1, 2, 3 and 4 mm respectively. Three-dimensional image model reconstruction using 3-D visualization medical software (V-works /sup TM/ 3.0) and RP model fabrications were followed. 2-RP models were 3D printing (Z402, Z Corp., Burlington, USA) and Stereolithographic Apparatus model. Linear measurements of anatomical landmarks on dry skull, 3-D image model, and 2-RP models were done and compared according to slice thickness and RP model type. Results: There were relative error percentage in absolute value of 0.97, 1.98,3.83 between linear measurements of dry skull and image models of 1, 2, 3 mm slice thickness respectively. There was relative error percentage in absolute value of 0.79 between linear measurements of dry skull and SLA model. There was relative error difference in absolute value of 2.52 between linear measurements of dry skull and 3D printing model. Conclusion: These results indicated that 3-dimensional image model of thin slice thickness and stereolithographic RP model showed relative high accuracy.

• Smart Structures and Systems
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• 제15권5호
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• pp.1329-1344
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• 2015

The stiffness of a structure is one of several structural signals that are useful indicators of the amount of damage that has been done to the structure. To accurately estimate the stiffness, an equation of motion containing a stiffness parameter must first be established by expansion as a linear series model, a Taylor series model, or a power series model. The model is then used in multivariate autoregressive modeling to estimate the structural stiffness and compare it to the theoretical value. Stiffness assessment for modeling purposes typically involves the use of one of three statistical model refinement approaches, one of which is the efficient Akaike information criterion (AIC) proposed in this paper. If a newly added component of the model results in a decrease in the AIC value, compared to the value obtained with the previously added component(s), it is statistically justifiable to retain this new component; otherwise, it should be removed. This model refinement process is repeated until all of the components of the model are shown to be statistically justifiable. In this study, this model refinement approach was compared with the two other commonly used refinement approaches: principal component analysis (PCA) and principal component regression (PCR) combined with the AIC. The results indicate that the proposed AIC approach produces more accurate structural stiffness estimates than the other two approaches.

• 한국조리학회지
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• 제15권4호
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• pp.187-199
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• 2009

본 연구는 가치 차원, 관계 품질 차원, 행동 의도 등의 구성개념들 간 인과관계로 구성된 구조방정식모형을 개발하여 지각된 희생이 만족, 충성도와 행동 의도에 영향을 미치는 3개의 경로들을 제한한 제한모형과 제한하지 않은 무제한모형 간 적합도 비교를 통해 우수한 적합도를 보이는 모형을 파악하고, 또한 구성개념들 간 인과관계를 파악하고자 구조방정식모형 분석을 수행하였다. 본 연구는 이론적인 측면에서 그동안 음식점에 대한 관광객들의 행동 의도에 미치는 4개의 가치 차원들과 2개의 관계 품질 요인들의 직접효과와 간접효과를 분석하지 못했지만 본 연구에선 가치 차원들과 관계 품질 요인들의 영향을 분석해 냈다. 이와 같이 본 연구가 관광객 행동 의도모형의 직접효과와 간접 효과를 분석하는 연구의 틀을 제공함으로써 기능적 가치, 감정적 가치, 사회적 가치, 지각된 희생, 만족, 충성도, 행동 의도 등의 구성개념들 간 인과 관계를 이해하는데 도움을 줄 수 있다고 생각한다.