• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.717-729
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• 2021

This paper examines the efficacy of the default risk factor in an emerging market context using the Fama-French five-factor model. Our aim is to test whether the Fama-French five-factor model augmented with a default risk factor improves the predictability of returns of portfolios sorted on the firm's characteristics as well as on industry. The default risk factor is constructed by estimating the probability of default using a hybrid version of dynamic panel probit and artificial neural network (ANN) to proxy default risk. This study also provides evidence on the temporal stability of risk premiums obtained using the Fama-MacBeth approach. Using a sample of 3,806 firm-year observations on non-financial listed companies of Pakistan over 2006-2015 we found that the augmented model performed better when tested across size-investment-default sorted portfolios. The investment factor contains some default-related information, but default risk is independently priced and bears a significantly positive risk premium. The risk premiums are also found temporally stable over the full sample and more recent sample period 2010-2015 as evidence by the Fama-MacBeth regressions. The finding suggests that the default risk factor is not a useless factor and due to mispricing, default risk anomaly prevails in the Pakistani equity market.

• Communications for Statistical Applications and Methods
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• 제20권5호
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• pp.377-385
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• 2013

We consider a compound Poisson risk model in which the premium rate changes when the surplus exceeds a threshold. The explicit form of the ruin probability for the risk model is obtained by deriving and using the overflow probability of the workload process in the corresponding M/G/1 queueing model.

• 산업융합연구
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• 제2권2호
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• pp.127-147
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• 2004

This paper examines the time-series relations among expected return, risk, and book-to-market(B/M) at the portfolio level. The time-series analysis is a natural alternative to cross-sectional regressions. An alternative feature of the time-series regressions is that they focus on changes in expected returns, not on average returns. Using the time-series analysis, we can directly test whether the three-factor model explains time-varying expected returns better than the characteristic-based model. These results should help distinguish between the risk and mispricing stories. We find that B/M is strongly associated with changes in risk, as measured by the Fama and French(1993) three-factor model. After controlling for changes in risk, B/M contains little additional information about expected returns. The evidence suggests that the three-factor model explains time-varying expected returns better than the characteristic-based model.

• 대한토목학회논문집
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• 제42권2호
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• pp.239-248
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• 2022

최근 건설환경의 변화에 따른 건설프로젝트에서 리스크는 현저하게 증가하고 있다. 리스크를 기회로 인식하는 적극적인 리스크관리가 요구된다. 본 연구의 목적은 Kano 모델, Timko CSC (Customer Satisfaction Coefficient), ASC (Average Satisfaction Coefficient)를 활용한 비교 분석을 통해 중요도 결정 방법의 리스크관리 모델을 제안하는 것이다. 선행연구를 바탕으로 델파이기법을 활용하여 실무자 면담을 통해 Kano 모델을 수정한 설문지를 통해 리스크관리 요인 결정의 타당성을 검토한다. 이를 통해 국내 건설프로젝트 실무자가 인식하는 핵심 리스크관리 요인을 선정하여 적합한 리스크관리 모델을 제시한다. 연구 결과, 건설프로젝트 리스크관리 검증을 위해 개발된 Kano 모델은 실무자의 리스크관리를 검증하는데 유효한 것으로 평가되었다. 본 연구에서 제시한 Kano 모델이 건설프로젝트 리스크관리의 중요도를 검증하는 데에 적극적으로 활용되기를 기대한다.

• 한국항해항만학회지
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• 제40권5호
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• pp.257-263
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• 2016

Mombasa is the principle port of Kenya, serving inland countries in Eastern and central Africa. Mombasa port has undergone a massive infrastructure upgrade and dredging works with an expectation that more vessels and large post Panamax ships will be able to enter Mombasa port. Therefore, it is vital to carry out a marine traffic risk assessment in order to quantify the degree of navigation safety needed in the Mombasa approach channel and also to evaluate the navigation risk imposed on transit traffic by local ferry traffic. In this paper, a marine traffic risk assessment is carried out using the IWRAP mk2, Environmental Stress (ES) model, and the PARK model. Risk assessment results show that Likoni area has an unacceptable stress/risk ranking at 20.7% by the ES model and 38.89% by the PARK model. The IWRAP mk2 model shows that the crossing area has the highest risk of crossing collision and the area at the entrance to the inner channel has a high risk of grounding. The conclusions derived from this study will provide the basis for proposing the most effective countermeasure to improve navigation safety in the Mombasa approach channel.

• 한국항해항만학회:학술대회논문집
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• 한국항해항만학회 2016년도 춘계학술대회
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• pp.81-84
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• 2016

Mombasa is the principle port of Kenya, serving hinter countries in Eastern and central Africa. Mombasa port has undergone a massive infrastructure upgrade and dredging works with an expectation that more vessels and large post Panamax ships will be able to call at Mombasa port. Therefore, it is vital to carry out a marine traffic risk assessment so as to quantify the degree of navigation safety on Mombasa approach channel and also to evaluate navigation risk imposed on transit traffic by local ferry traffic. In this paper marine traffic risk assessment is carried out using IWRAP mk2, Environmental Stress model, and PARK model. Risk assessment results show that Likoni area has unacceptable stress/ risk ranking at 20.7% on ES model and 38.89% by PARK model. IWRAP mk2 model shows that crossing area has the highest risk of crossing collision and the area at the entrance to inner channel has a high risk of grounding. The conclusions derived from this study will provide the basis for proposing the most effective countermeasure so as to improve navigation safety in Mombasa approach channel.

• The Journal of Asian Finance, Economics and Business
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• 제7권10호
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• pp.63-71
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• 2020

In this paper, we propose the new time-varying coefficient GARCH-in-Mean model. The benefit of our model is to allow the risk-return parameter in the mean equation to vary over time. At the end of 2019 to the beginning of 2020, the world witnessed two shocking events: COVID-19 pandemic and 2020 oil price war. So, we decide to use the daily data from December 2, 2019 to May 29, 2020, which cover these two major events. The purpose of this study is to find the dynamic movement between risk and return in four major oil markets: Brent, West Texas Intermediate, Dubai, and Singapore Exchange, during COVID-19 pandemic and 2020 oil price war. For the European oil market, our model found a significant and positive risk-return relationship in Brent during March 26-April 21, 2020. For the North America oil market, our model found a significant positive risk return relationship in West Texas Intermediate (WTI) during March 12-May 8, 2020. For the Middle East oil market, we found a significant and positive risk-return relationship in Dubai during March 12-April 14, 2020. Lastly, for the South East Asia oil market, we found a significant positive risk return relationship in Singapore Exchange (SGX) from March 9-May 29, 2020.

• 산업경영시스템학회지
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• 제38권1호
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• pp.118-123
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• 2015

There have been various studies on measurements of flood risk and forecasting models. For river and dam region, PDF and FVI has been proposed for measurement of flood risk and regression models have been applied for forecasting model. For Bo region unlikely river or dam region, flood risk would unexpectedly increase due to outgoing water to keep water amount under the designated risk level even the drain system could hardly manage the water amount. GFI and general linear model was proposed for flood risk measurement and forecasting model. In this paper, FVI with the consideration of duration on GFI was proposed for flood risk measurement at Bo region. General linear model was applied to the empirical data from Bo region of Nadong river to derive the forecasting model of FVI at three different values of Base High Level, 2m, 2.5m and 3m. The significant predictor variables on the target variable, FVI were as follows: ground water level based on sea level with negative effect, difference between ground altitude of ground water and river level with negative effect, and difference between ground water level and river level after Bo water being filled with positive sign for quantitative variables. And for qualitative variable, effective soil depth and ground soil type were significant for FVI.

• Asian Pacific Journal of Cancer Prevention
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• 제17권12호
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• pp.5107-5111
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• 2016

Background: Epidemiological studies have indicated an increasing incidence of radiation induced secondary cancer (SC) in breast cancer patients after radiotherapy (RT), most commonly in the contra-lateral breast (CLB). The present study was conducted to estimate the SC risk in the CLB following 3D conformal radiotherapy techniques (3DCRT) including wedge field and forward intensity modulated radiotherapy (fIMRT) based on the organ equivalent dose (OED). Material and Methods: RT plans treating the chest wall with conformal wedge field and fIMRT plans were created for 30 breast cancer patients. The risks of radiation induced cancer were estimated for the CLB using dose-response models: a linear model, a linear-plateau model and a bell-shaped model with full dose response accounting for fractionated RT on the basis of OED. Results: The plans were found to be ranked quite differently according to the choice of model; calculations based on a linear dose response model fIMRT predict statistically significant lower risk compared to the enhanced dynamic wedge (EDW) technique (p-0.0089) and a non-significant difference between fIMRT and physical wedge (PW) techniques (p-0.054). The widely used plateau dose response model based estimation showed significantly lower SC risk associated with fIMRT technique compared to both wedge field techniques (fIMRT vs EDW p-0.013, fIMRT vs PW p-0.04). The full dose response model showed a non-significant difference between all three techniques in the view of second CLB cancer. Finally the bell shaped model predicted interestingly that PW is associated with significantly higher risk compared to both fIMRT and EDW techniques (fIMRT vs PW p-0.0003, EDW vs PW p-0.0032). Conclusion: In conclusion, the SC risk estimations of the CLB revealed that there is a clear relation between risk associated with wedge field and fIMRT technique depending on the choice of model selected for risk comparison.

• 한국건설관리학회논문집
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• 제6권6호
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• pp.81-89
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• 2005

건설사업은 위험에 대한 노출수위가 크기 때문에 프로젝트의 공정을 관리하는 적극적인 위험관리가 강하게 요구되고 있으나 현재의 일반적인 공정관리기법은 위험인지 및 위험분석을 하기에는 부적합한 것이 사실이다. 따라서 본 연구는 현재의 공정관리 문제점을 개선하기 위한 공정관리 모델의 개발을 목적으로, 건설현장에서 실질적 인 위험관리를 수행할 수 있는 모델을 개발하였다. 위험관리에 초점을 둔 새로운 공정관리모델은 주공정 관리 및 위험주공정 관리를 함께 수행할 수 있을 것이다.