• Journal of Korea Trade
• /
• v.23 no.5
• /
• pp.87-101
• /
• 2019

Purpose - This paper examines the effectiveness of the foreign exchange risk insurance system in the promotion of SME exports in Korea. The purpose of this study is to analyze the short-term and long-term responses of SME exports to foreign exchange risk insurance support policies. Based on these empirical studies, we would like to present some operational improvements to the operation of the foreign exchange risk insurance system. Design/methodology - In order to analyze the effect of exchange risk insurance on the exports of SMEs, a VAR model consisting of foreign exchange risk insurance underwriting values, export relative price, and domestic demand pressure, including export volume, was established. The study began with tests of the stationarity of time series data. The unit root tests showed that all concerned variables were non-stationary. Accordingly, the results of the cointegration test showed that the tested variables are not cointegrated. Finally, an impulse response function and variance decomposition analysis were conducted to analyze the impulse of foreign exchange risk insurance on exports of SMEs. Findings - As a result of estimating the VAR (1) model, foreign exchange risk insurance was found to be significant at a 1% significance level for SME' export promotion. In the impulse response analysis, SMEs' export response to the impulse of foreign exchange risk insurance showed that exports gradually increased until the third quarter, and then slowed down. However, the impulse did not disappear, and appeared continuously. Originality/value - This study analyzed the effect of foreign exchange insurance on exports of SMEs by applying the VAR model. In particular, this study is the first to analyze the short-term and long-term effects of foreign exchange risk insurance on exports of SMEs. The empirical evidence in the current study have a policy implication for the policy authority to support and promote the foreign exchange risk insurance in the effect of exchange rate volatility on Korea' export SMEs.

• International Commerce and Information Review
• /
• v.9 no.3
• /
• pp.151-160
• /
• 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.

• East Asian mathematical journal
• /
• v.36 no.1
• /
• pp.55-60
• /
• 2020

We study a probabilistic approach for valuing an exchange option with default risk. The structural model of Klein [6] is used for modeling default risk. Under the structural model, we derive the closed-form pricing formula of the exchange option with default risk. Specifically, we provide the pricing formula of the option with the bivariate normal cumulative function via a change of measure technique and a multidimensional Girsanov's theorem.

• Journal of Distribution Science
• /
• v.13 no.2
• /
• pp.15-24
• /
• 2015

Purpose - Foreign exchange risk control is in an important component in the international supply chain management. This study shows the importance of the reference period in forecasting future exchange rates with a specific illustration of KIKO currency option contracts, and suggests feasible preventive measures. Research design, data, and methodology - Using monthly Won-Dollar exchange rate data for January 1995~July 2007, I evaluate the statistical characteristics of the exchange rate for two sub-periods; 1) a shorter period after the East Asian financial crisis and 2) a longer period including the financial crisis. The key instrument of analysis is the basic normal distribution theory. Results - The difference in the reference period could lead to an unexpected development in contract implementation and a consequent financial loss. We may avoid foreign exchange loss by using derivatives such as forwards or currency options. Conclusions - We should consider not only level values but also the volatilities of financial variables in making a binding financial contract. Appropriate measures may differ depending on the specific supply chain pattern. We may extend the study with surveys on actual risk measures.

• Journal of Platform Technology
• /
• v.8 no.4
• /
• pp.29-37
• /
• 2020

We propose a plan to reduce the operational risk of domestic cryptocurrency exchanges for protecting cryptocurrency exchange users and establishing a stable operating environment. For market participants using cryptocurrency exchanges, cryptocurrency exchange risk is greater than the price risk. In the cryptocurrency market, illegal transactions using the anonymity of cryptocurrency are occurring frequently. In addition, loss accidents due to cybercrimes and insider corruptions are continuing. And the resulting losses are passed on to the users of the exchange. In terms of operational risk, we analyze the current situation of domestic cryptocurrency exchanges and present the direction of development of each exchange platform to attract and protect users.

• International conference on construction engineering and project management
• /
• 2005.10a
• /
• pp.459-468
• /
• 2005

International contractors must consider the substantial risks related to unexpected foreign exchange fluctuation incurred by conducting their business and using foreign currencies in foreign countries. Most international contractors attempt to minimize foreign exchange exposure within a manageable range because it may influence the company's fundamental financial structure, reduce market value or profit margins, or disrupt ongoing and future projects. This research provides a qualitative study of existing foreign exchange exposure (transaction, operation, and translation exposure) and current & effective foreign exchange risk management in American and Korean international contractors, as they represent both new and long-time members of the global construction market. Finally, recommendations of techniques for new and existing international contractors to minimize and better manage foreign exchange risk will be offered.

• East Asian Economic Review
• /
• v.19 no.1
• /
• pp.3-38
• /
• 2015

Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama's volatility relations.

• East Asian mathematical journal
• /
• v.37 no.1
• /
• pp.79-85
• /
• 2021

In this paper, we investigate the valuation of vulnerable exchange option that has credit risk of option issuer. The reduced-form model is used to model credit risk. We assume that credit event is determined by the jump of the counting process with stochastic intensity, which follows the mean reverting process. We propose a simple approach to derive the closed-form pricing formula of vulnerable exchange option under the reduced-form model and provide the pricing formula as the standard normal cumulative function.

• Safety and Health at Work
• /
• v.5 no.2
• /
• pp.53-59
• /
• 2014

Background: In a safety perspective, efficient knowledge management is important for learning purposes and thus to prevent errors from occurring repeatedly. The relationship between knowledge exchange among employees and safety behavior may be of particular importance in distributed organizational systems where similar high-risk activities take place at several locations. This study develops and tests hypotheses concerning the relationship between knowledge exchange systems usage, knowledge exchange in the organizational system, and safety compliance. Methods: The operational context of the study is petroleum drilling and well operations involving distributed high-risk activities. The hypotheses are tested by use of survey data collected from a large petroleum operator company and eight of its main contractors. Results: The results show that safety compliance is influenced by use of knowledge exchange systems and degree of knowledge exchange in the organizational system, both within and between units. System usage is the most important predictor, and safety compliance seems to be more strongly related to knowledge exchange within units than knowledge exchange between units. Conclusion: Overall, the study shows that knowledge management is central for safety behavior.

• Korean Journal of Construction Engineering and Management
• /
• v.13 no.3
• /
• pp.109-121
• /
• 2012

Overseas construction project orders have shown steady increase since 2001, and it took 44.5% of the total construction project orders in 2010. Overseas construction project needs more complex risk management because it is affected by more various circumstance factors than the domestic construction is. Previous studies have centered on the internal risk factors to assist the decision-making, but there are few researches on the importance and techniques of foreign exchange risk management. Inadequate management of foreign exchange risk has been found to cause huge damages due to the lacking recognition on the importance of foreign exchange risk management. Therefore, current study designed a foreign exchange risk manage model to help efficient management and decision-making. This model was developed as a technique to meet the demand of the increasing overseas construction projects for the efficient management of foreign exchange risk, and the technique will lower the risk with more and more accurate outcome by accumulating the data of profit-and-loss.