• 제목/요약/키워드: time-varying risk

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An Improved Reorder Policy for the General Multi-Echelon Distribution Supply Chain Based on the Order Risk (일반적 다계층 분배형 공급사슬에서 주문리스크 기반의 개선된 재주문정책에 관한 연구)

  • Seo, Yong-Won
    • IE interfaces
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    • v.17 no.3
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    • pp.359-374
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    • 2004
  • The objective of this paper is to provide an improved reorder decision policy for general multi-echelon distribution systems utilizing the shared stock information. It has been known that traditional reorder policies sometimes show poor performance in distribution systems. Thus, in our previous research we introduced the order risk policy which utilizes the shared stock information more accurately for the 2- echelon distribution system and proved the optimality. However, since the real world supply chain is generally composed with more than 2 echelons, we extend the order risk policy for the general multi-echelon systems. Since the calculation of the exact order risk value for general multi-echelon systems is very complex, we provide two approximation methods for the real-time calculation. Through the computational experiment comparing the order risk policy with the existing policies under various conditions, we show the performance of the order risk policy and analyze the value of the shared stock information varying with the characteristics of the supply chain.

UNIFORM ASYMPTOTICS FOR THE FINITE-TIME RUIN PROBABILITY IN A GENERAL RISK MODEL WITH PAIRWISE QUASI-ASYMPTOTICALLY INDEPENDENT CLAIMS AND CONSTANT INTEREST FORCE

  • Gao, Qingwu;Yang, Yang
    • Bulletin of the Korean Mathematical Society
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    • v.50 no.2
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    • pp.611-626
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    • 2013
  • In the paper we study the finite-time ruin probability in a general risk model with constant interest force, in which the claim sizes are pairwise quasi-asymptotically independent and arrive according to an arbitrary counting process, and the premium process is a general stochastic process. For the case that the claim-size distribution belongs to the consistent variation class, we obtain an asymptotic formula for the finite-time ruin probability, which holds uniformly for all time horizons varying in a relevant infinite interval. The obtained result also includes an asymptotic formula for the infinite-time ruin probability.

Bankruptcy Risk Level Forecasting Research for Automobile Parts Manufacturing Industry (자동차부품제조업의 부도 위험 수준 예측 연구)

  • Park, Kuen-Young;Han, Hyun-Soo
    • Journal of Information Technology Applications and Management
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    • v.20 no.4
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    • pp.221-234
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    • 2013
  • In this paper, we report bankruptcy risk level forecasting result for automobile parts manufacturing industry. With the premise that upstream supply risk and downstream demand risk could impact on automobile parts industry bankruptcy level in advance, we draw upon industry input-output table to use the economic indicators which could reflect the extent of supply and demand risk of the automobile parts industry. To verify the validity of each economic indicator, we applied simple linear regression for each indicators by varying the time lag from one month (t-1) to 12 months (t-12). Finally, with the valid indicators obtained through the simple regressions, the composition of valid economic indicators are derived using stepwise linear regression. Using the monthly automobile parts industry bankruptcy frequency data accumulated during the 5 years, R-square values of the stepwise linear regression results are 68.7%, 91.5%, 85.3% for the 3, 6, 9 months time lag cases each respectively. The computational testing results verifies the effectiveness of our approach in forecasting bankruptcy risk forecasting of the automobile parts industry.

Residual capacity assessment of in-service concrete box-girder bridges considering traffic growth and structural deterioration

  • Yuanyuan Liu;Junyong Zhou;Jianxu Su;Junping Zhang
    • Structural Engineering and Mechanics
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    • v.85 no.4
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    • pp.531-543
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    • 2023
  • The existing concrete bridges are time-varying working systems, where the maintenance strategy should be planned according to the time-varying performance of the bridge. This work proposes a time-dependent residual capacity assessment procedure, which considers the non-stationary bridge load effects under growing traffic and non-stationary structural deterioration owing to material degradations. Lifetime bridge load effects under traffic growth are predicated by the non-stationary peaks-over-threshold (POT) method using time-dependent generalized Pareto distribution (GPD) models. The non-stationary structural resistance owing to material degradation is modeled by incorporating the Gamma deterioration process and field inspection data. A three-span continuous box-girder bridge is illustrated as an example to demonstrate the application of the proposed procedure, and the time-varying reliability indexes of the bridge girder are calculated. The accuracy of the proposed non-stationary POT method is verified through numerical examples, where the shape parameter of the time-varying GPD model is constant but the threshold and scale parameters are polynomial functions increasing with time. The case study illustrates that the residual flexural capacities show a degradation trend from a slow decrease to an accelerated decrease under traffic growth and material degradation. The reliability index for the mid-span cross-section reduces from 4.91 to 4.55 after being in service for 100 years, and the value is from 4.96 to 4.75 for the mid-support cross-section. The studied bridge shows no safety risk under traffic growth and structural deterioration owing to its high design safety reserve. However, applying the proposed numerical approach to analyze the degradation of residual bearing capacity for bridge structures with low safety reserves is of great significance for management and maintenance.

Regime Dependent Volatility Spillover Effects in Stock Markets Between Kazakhstan and Russia

  • CHUNG, Sang Kuck;ABDULLAEVA, Vasila Shukhratovna
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.8
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    • pp.297-309
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    • 2021
  • In this study, to capture the skewness and kurtosis detected in both conditional and unconditional return distributions of the stock markets of Kazakhstan and Russia, two versions of normal mixture GARCH models are employed. The data set consists of daily observations of the Kazakhstan and Russia stock prices, and world crude oil price, covering the period from 1 June 2006 through 1 March 2021. From the empirical results, incorporating the long memory effect on the returns not only provides better descriptions of dynamic behaviors of the stock market prices but also plays a significant role in improving a better understanding of the return dynamics. In addition, normal mixture models for time-varying volatility provide a better fit to the conditional densities than the usual GARCH specifications and has an important advantage that the conditional higher moments are time-varying. This implies that the volatility skews implied by normal mixture models are more likely to exhibit the features of risk and the direction of the information flow is regime-dependent. The findings of this study contain useful information for diverse purposes of cross-border stock market players such as asset allocation, portfolio management, risk management, and market regulations.

Estimating Spot Prices of Restructured Electricity Markets in the United States (미국 전기도매시장의 전기가격 추정)

  • Yoo, Shiyong
    • Environmental and Resource Economics Review
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    • v.13 no.3
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    • pp.417-440
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    • 2004
  • For the behavior of the wholesale spot price, a regime switching model with time-varying transition probabilities was estimated using the data from the PJM (Pennsylvania-New Jersey-Maryland) market. By including the temperature as an explanatory variable in the transition probability equations, the threshold effect of changing regime is clearly enhanced. And hence the predictability of the price spikes was improved. This means that the model showed a very clear threshold effect, with a low probability of switching for low loads and low temperatures and a high probability for high loads and high temperatures. And temperature showed a clearer threshold effect than load does. This implies that weather-related contracts may help to hedge against the risk in the cost of buying electricity during a summer.

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Assessment of Effects of Predictors on the Corporate Bankruptcy Using Hierarchical Bayesian Dynamic Model

  • Sung Min-Je;Cho Sung-Bin
    • Management Science and Financial Engineering
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    • v.12 no.1
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    • pp.65-77
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    • 2006
  • This study proposes a Bayesian dynamic model in a hierarchical way to assess the time-varying effect of risk factors on the likelihood of corporate bankruptcy. For the longitudinal data, we aim to describe dynamically evolving effects of covariates more articulately compared to the Generalized Estimating Equation approach. In the analysis, it is shown that the proposed model outperforms in terms of sensitivity and specificity. Besides, the usefulness of this study can be found from the flexibility in describing the dependence structure among time specific parameters and suitability for assessing the time effect of risk factors.

Flood Frequency Analysis Considering Probability Distribution and Return Period under Non-stationary Condition (비정상성 확률분포 및 재현기간을 고려한 홍수빈도분석)

  • Kim, Sang Ug;Lee, Yeong Seob
    • Journal of Korea Water Resources Association
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    • v.48 no.7
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    • pp.567-579
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    • 2015
  • This study performed the non-stationary flood frequency analysis considering time-varying parameters of a probability density function. Also, return period and risk under non-stationary condition were estimated. A stationary model and three non-stationary models using Generalized Extreme Value(GEV) were developed. The only location parameter was assumed as time-varying parameter in the first model. In second model, the only scale parameter was assumed as time-varying parameter. Finally, the both parameters were assumed as time varying parameter in the last model. Relative likelihood ratio test and Akaike information criterion were used to select appropriate model. The suggested procedure in this study was applied to eight multipurpose dams in South Korea. Using relative likelihood ratio test and Akaike information criterion it is shown that the inflow into the Hapcheon dam and the Seomjingang dam were suitable for non-stationary GEV model but the other six dams were suitable for stationary GEV model. Also, it is shown that the estimated return period under non-stationary condition was shorter than those estimated under stationary condition.

A Test on the Volatility Feedback Hypothesis in the Emerging Stock Market (신흥주식시장에서의 변동성반응가설 검정)

  • Kim, Byoung-Joon
    • The Korean Journal of Financial Management
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    • v.26 no.4
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    • pp.191-234
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    • 2009
  • This study examined on the volatility feedback hypothesis through the use of threshold GARCH-in-Mean (GJR-GARCH-M) model developed by Glosten, Jaganathan, and Runkle (1993) in the stock markets of 14 emerging countries during the period of January, 1996 to May, 2009. On this study, I found successful evidences which can support the volatility feedback hypothesis through the following three estimation procedures. First, I found relatively strong positive relationship between the expected market risk premiums and their conditional standard deviations from the GARCH-M model in the basis of daily return on each representative stock market index, which is appropriate to investors' risk-averse preferences. Second, I can also identify the significant asymmetric time-varying volatility originated from the investors' differentiated reactions toward the unexpected market shocks by applying the GJR-GARCH-M model and further find the lasting positive risk aversion coefficient estimators. Third, I derived the negative signs of the regression coefficient of unpredicted volatility on the stock market return by re-applying the GJR-GARCH-M model after I controlled the positive effect of predicted volatility through including the conditional standard deviations from the previous GARCH-M model estimation as an independent explanatory variable in the re-applied new GJR-GARCH-M model. With these consecutive results, the volatility feedback effect was successfully tested to be effective also in the various emerging stock markets, although the leverage hypothesis turned out to be insufficient to be applied to another source of explaining the negative relationship between the unexpected volatility and the ex-post stock market return in the emerging countries in general.

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RF Heating of Implants in MRI: Electromagnetic Analysis and Solutions

  • Cho, Youngdae;Yoo, Hyoungsuk
    • Investigative Magnetic Resonance Imaging
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    • v.24 no.2
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    • pp.67-75
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    • 2020
  • When a patient takes an MRI scan, the patient has a risk of unexpected injuries due to the intensive electromagnetic (EM) field. Among the injuries, the tissue heating by the time-varying EM field is one of the main issues. Since an implanted artificial structure with a conductive material aggravates the heating effect, lots of studies have been conducted to investigate the effect around the implants. In this review article, a mechanism of RF heating around the implants and related studies are comprehensively investigated.