• 대한수학회논문집
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• 제30권3호
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• pp.297-311
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• 2015

We present a robust and accurate boundary condition for pricing financial options that is a hybrid combination of the payoff-consistent extrapolation and the Dirichlet boundary conditions. The payoff-consistent extrapolation is an extrapolation which is based on the payoff profile. We apply the new hybrid boundary condition to the multi-dimensional Black-Scholes equations with a high correlation. Correlation terms in mixed derivatives make it more difficult to get stable numerical solutions. However, the proposed new boundary treatments guarantee the stability of the numerical solution with high correlation. To verify the excellence of the new boundary condition, we have several numerical tests such as higher dimensional problem and exotic option with nonlinear payoff. The numerical results demonstrate the robustness and accuracy of the proposed numerical scheme.

• 무역상무연구
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• 제55권
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• pp.185-208
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• 2012

Before and after the Capital Market Integration Act in 2007 is implemented in South Korea, many of small-and mid sized exporting companies in South Korea has been bankrupted or filed for lawsuit claiming mis-selling(KIKO) by the banks. The basic economic structure of KIKO in Korea are part of a business model based on the use or misuse of exotic derivatives whose results are anything but imaginary. 571 mid sized exporting companies have been damaged about $28 billion. KIKO is a currency option product that sells foreign currencies at higher foreign exchange rate when the rate moves within a certain range, but sells foreign currencies at two or three times lower rate than the market price when the rate exceeds the designated upper limit. KIKO, Therefore, is hard to know whether the non financial firms intended to hedge against further strengthening of their currency or merely to speculate. It is also hard to know how thoroughly they understood the risk-return profile of these transactions. It is similarly hard to ascertain whether the derivatives dealers offering these transactions were meeting the demands of their clients or taking advantage of them. These exotic derivatives were inappropriate for either hedging or speculating, and no knowledgeable investor would be likely to enter into these contracts intentionally.

• 한국건축시공학회지
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• 제9권1호
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• pp.111-121
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• 2009

Because of its unique characteristics, the construction industry tends to be affected by economic environment more than any other industries. The domestic construction industry was forced to change its management pattern and system when it went through the foreign currency crisis, and since then, the construction industry has been growing in terms of quality over last 10 years, breaking from the quantitative performance-oriented growth in the past. The study was intended to integrate the financial data of the companies during the period before and after the foreign currency crisis so as to analyze the effect of environmental changes on management performance of the companies. It was aimed at evaluating the changes to the stability, profitability and the growth potential, and collecting the data on variation of the market scale, price of resources such as material and labor and the financial environment, thereby analyzing the correlation with the management performance. The study, to deal with the difficulties which are anticipated, like the foreign currency crisis experienced in the past, was also intended to identify the correlation between the economic conditions and the performance of the construction companies, using the experimental data in the past.

• Journal of the Korean Data and Information Science Society
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• 제28권3호
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• pp.605-615
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• 2017

국내 외에서 지급보증과 관련 모회사의 지원 중단으로 신용평가사로부터 높은 등급을 받았던 자회사가 법정관리에 갔던 사태로 투자자의 피해가 발생한 사례가 존재하여 이에 모기업 계열사의 지원 가능성을 배제한 기업의 자체신용도 또는 독자신용등급에 대한 관심이 높아지고 있다. 본 연구에서는 해외자회사를 둔 국내 기업을 대상으로 판별력 분석, 등급화 분석 그리고 안정성 분석을 통해 기업 신용평가모형의 적합성검증을 실시하였으며 주요 실증분석결과 해외자회사의 부도 현황을 볼 때 부도율측면에 있어서 국내모회사보다 상대적으로 낮은 부도율을 나타내고 있는 것을 확인할 수 있었고, 한국모회사가 지급보증을 하는데 있어 해외자회사보다 신용등급이 일반적으로 높은 것으로 나타났다.

• 디지털산업정보학회논문지
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• 제15권4호
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• pp.51-62
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• 2019

Recently, as the number of Smart Phone users increase, the simple payment system has been able to make payments using only card information such as a registered password without extra authorized certificate authentication or input of card information. In this paper, it will examine and analyze simple payment system provided by IT companies and financial institutions and the simple payment system that operates global online payment system by case view of operational direction. Then with this examination, it will study ways to improve the problems with terms of convenience and stability in terms of users. In this paper, it will analyze the inconvenient problem in using the QR code system that recently introduced and will propose solutions. Also, it will propose suggestions to solve inconvenience that caused by system that supports NFC simple payment terminal in Korea is not universalize by analyze case study on the overseas simple payment system. It will also propose opinions on the matters that customer having responsible for event of a small financial accident related to loss or theft when using the simple payment system. Then it will suggest expected requirements to prepare new security technical countermeasures and solve the conditions of meeting expectation satisfaction of users.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.727-739
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• 2021

Over the past decades, the Jordanian government has made great efforts to help poor women start small businesses by providing microcredit and facilitating financial services. Although in Jordan almost hundreds of thousands of women have the ability to contribute more fully to their economy, they are reluctant to do so. Women's participation in economic activities in 2016 was only 13.2%, while the unemployment rate for Jordanian women was 24.1%. The decline in women's participation in small business management has gradually become an important issue following the trial of more than 13,000 Jordanian women for non-payment of their micro-loans. This study aims to identify the factors that hinder Jordanian women from achieving job stability. In this qualitative study, a semi-structured interview method with sixteen open-ended questions was used to collect relevant data. A purposeful sampling method is also used to select participants. To analyze the data, this study used NVivo 11 software as a method. Using System Theory, this study showed that women's failure depends on three factors: women entrepreneurs, the environment around women entrepreneurs, and micro-financial institutions. Findings of this study suggest that strengthen women's entrepreneurship sustainability and minimize the risk of failure should be done through integrated strategies include these three domains.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.647-654
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• 2021

This study examines the non-performing loans of rural banks and macroeconomic factors in Indonesia, including inflation, exchange rates, and interest rates. Theoretically, the existence of erratic macroeconomic conditions can affect the level of non-performing credit risk in rural credit banks in Indonesia. The effect of macroeconomic conditions on non-performing loans has a different response for each economic sector. The main objective of this study is to determine the effect of macroeconomic factors (inflation, exchange rates, and interest rates) and bank-specific factors (credit) on the Non-Performing Loans (NPL) of Rural Banks in Indonesia for the period from January 2015 to December 2018. This study uses a Vector Error Correction Model (VECM) estimation to determine the effect of independent variables consisting of macroeconomic factors and bank-specific factors. Based on the estimation results of the Vector Error Correction Model, three variables that have a positive and significant effect on long-term non-performing loans are credit, inflation, and interest rates. Meanwhile, in the short term, there are only two variables that have a positive and significant effect on non-performing loans, namely, credit and interest rates. Inflation and exchange rate variables have a negative and insignificant effect on bad credit in the short term.

• The Journal of Asian Finance, Economics and Business
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• 제8권4호
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• pp.249-261
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• 2021

To tranquilize the devastating impact of unnecessary risk-taking behavior of banks towards the economy for maximizing their profits that usually arises due to widely known 'moral-hazard' problem originating from market competition and intensified by bank's limited liability, the banking system is strongly monitored across all countries of the world. The goal of controlling would become more feasible if there exist some self-discipline and motivations which could safeguard the banks' charter value through the mechanism of market discipline. Therefore, our study is aimed to scrutinize the relation between market discipline and charter value of local commercial banks that are registered on the Pakistan Stock Exchange by analyzing a balanced panel data from the year 2007 to 2019. Deposit growth, interbank deposits, and subordinate debt are taken as proxies to measure market discipline whereas Tobin's Q theory is applied for calculating the charter value. Generalized Least Square Regression with Fixed Effect Model is used for evaluation. The outcomes reveal that in the existence of control variables, all proxies of market discipline have a significant positive impact on bank charter value. Our research has important policy implications for monitoring and supervising financial intermediaries for their stability and soundness by offsetting the complications of moral-hazard in the financial systems.

• The Journal of Asian Finance, Economics and Business
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• 제8권7호
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• pp.501-508
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• 2021

The largest source of revenue in Indonesia comes from the taxation sector. Taxes increase the state revenue, which the government utilizes for building public facilities and infrastructures, providing subsidies to the public, financing public interests, and so on. In addition to producing revenue, taxes may be used to promote economic stability. Thus, this study aims to examine and analyze the financial aspects of tax aggressiveness. The financial aspects include leverage, capital intensity, inventory intensity, and earning management. The population used in this study was manufacturing companies listed on the Indonesia Stock Exchange (IDX) for the 2016-2019 period. Data analysis was carried out based on Eviews, with a selected sample of 32 companies of four observation years. Therefore, the number of samples was 128. The results of this study revealed that the best estimation model to use is the Fixed Effect Model (FEM). This study proved that leverage and earning management had a positive and significant effect on tax aggressiveness. In contrast, capital intensity and inventory intensity did not affect tax aggressiveness. In addition, the result of this study is still far from perfect. It is, therefore, hoped that further research can add other variables to find better results.

• The Journal of Asian Finance, Economics and Business
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• 제8권7호
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• pp.393-402
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• 2021

This study aims to examine whether symmetric effects or asymmetric effects of exchange rates exist in determining the money demand in Indonesia. Simple-sum money and Divisia money were included in different models for comparison due to the financial developments in Indonesia. This study uses time-series data from 1996Q1 to 2019Q4 for the estimation. The nonlinear autoregressive distributed lag (NARDL) model is utilized to verify the asymmetric effects of exchange rates on money demand. The Augmented Dickey-Fuller and Phillips-Perron unit root tests were performed to verify the order of integration of the variables. The findings of this study revealed that the exchange rate is one of the most important determinants of money demand in Indonesia and the effect is asymmetric. The findings further indicated that money demand function, which incorporates Divisia monetary aggregate is parsimonious. Monetary targets such as money supply and interest rates are critical for monetary policy conduct to achieve inflation levels set by government. As the adoption of an inflation targeting framework needs to be in keeping with the flexible exchange rate system, the asymmetric effect of exchange rate changes can be used in exchange rate policy conduct to achieve financial system and price stability.