• The Pure and Applied Mathematics
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• v.19 no.4
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• pp.363-381
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• 2012

Shortfall risk is considered by taking some exposed risks because the superhedging price is too expensive to be used in practice. Minimizing shortfall risk can be reduced to the problem of finding a randomized test ${\psi}$ in the static problem. The optimization problem can be solved via the classical Neyman-Pearson theory, and can be also explained in terms of hypothesis testing. We introduce the classical Neyman-Pearson lemma expressed in terms of mathematics and see how it is applied to shortfall risk in finance.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.14 no.4
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• pp.211-224
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• 2010

We define some asset models which are useful for portfolio construction in various terms of time. Our asset models are geometric jump-diffusions defined by the solutions of stochastic differential equations which are decomposed by various terms of time basically. We also can study pricing and hedging strategy of options in our models roughly.

• Korean Management Science Review
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• v.11 no.2
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• pp.161-184
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• 1994

The purpose of this paper is to suggest a DSS(Decision Support System) framework for managing exchange risks involved in international transactions. To this aim, a number of hedging strategies were suggested and analyzed in their pros and cons. Also, developed were a system architechture and various functional modules for implementing the suggested foreign exchange risk management system and application scenario was demonstrated. Finally, future research areas were indicated.

• Journal of the Korean Data and Information Science Society
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• v.18 no.1
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• pp.11-16
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• 2007

Since the seminal work of Engle (1982), many researchers and practitioners have developed ARCH-type models to deal with volatility modelling, which, for instance, is crucial to perform the task of derivative pricing, measuring risk, and risk hedging. In this paper, we base the GARCH(1,1) model to analyze the KOSPI200 data, and perform the CUSUM test for detecting parameter changes in the GARCH model. It is shown that the data suffers from a parameter change.

• The Transactions of the Korean Institute of Electrical Engineers A
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• v.53 no.7
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• pp.414-419
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• 2004

In TWBP new uncertainty will be increased. Risk management is risen to a important problem. Vesting contract makes market Players trade at fixed price in TWBP early stages. In the case of advanced country, market players manage risk with a future contract. When a risk management method moves from vesting contract to future contract, it may have to use together two contracts for schedule period. In this paper, risk management strategy that use vesting contract and forward contract at the same time is proposed.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 1996.04a
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• pp.377-380
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• 1996

Most manufacturing systems are large and complex. It is natural to divide the control into a hierarchy consisting of a number fo different levels. Each levels is characterized by the length of the planning horizon and the kind of data required for the decision making process. This paper describes an approach for the incorporation of Maintenance times into a hierachical scheduling for a failure prone flexible manufacturing system. The Maintenance should not be performed too often because of the resulting reduction of capacity. The machine failure and preventive maintenance are considered simultaneously.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.4 no.2
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• pp.77-84
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• 2000

Black-Scholes equation arising from option pricing in the presence of cost in trading the underlying asset is derived. The transaction cost is chosen precisely and generalized to reflect the trade in the real world. Furthermore the concept of the bandwidth is introduced to obtain the better rehedging. The model with bandwidth derived in this paper can be used to calculate the more accurate option price numerically even if it is nonlinear and more complicated than the models shown before.

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

• Journal of Korean Society of Industrial and Systems Engineering
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• v.14 no.24
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• pp.43-52
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• 1991

The short-term production planning of an automated manufacturing system is to determine the production rate of each part type or family of part types. The purpose of this paper is to develop an optimal algorithm for solving the short-term production planning problem while machine failures, repairs. and changes in demand requirements are anticipated. The problem is formulated by LP and it shows that the production surplus is approached or stays at the hedging point. In addition, the long-term average frequencies of set-us with relation to a multilevel hierarchical production planing scheme are considered An example to show the effectiveness of the algorithm is presented.

• East Asian Journal of Business Economics (EAJBE)
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• v.6 no.3
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• pp.1-15
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• 2018

Purpose - This study investigates the effect of MNEs' characteristics on the use of foreign currency denominated debt in the context of Korean firms. This study examines the relationship between MNEs and the use of foreign debt focusing on the accessibility to the capital market in addition to the motive of hedging against foreign exchange exposure. Research design and methodology - Probit estimation is employed for estimating significant factors in determination of the use of foreign debt by firms. The dependent variable is a dummy variable to indicate whether a firm uses foreign debt or not at the end of 2004. Independent variables include foreign subsidiaries ratio, export to sale, R&D expenditure to sale, and credit rating. Results - The results show that the interaction between the level of internationalization represented by intra-regional diversification and the strategic characteristics embedded in the region of entry affects the use of foreign debt. In case of a high level of diversification within the developing region with a strong pursuit of asset exploitation, MNEs are more likely to use foreign debt, whereas a high level of diversification within the developed region with a strong pursuit of asset seeking, MNEs are less likely to use foreign debt. Conclusions - The differences between MNEs in terms of intra-regional diversification, strategic orientation, and the accessibility to capital markets as well as the hedging motive affect the use of foreign debt.