• The Korean Journal of Financial Management
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• v.26 no.3
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• pp.139-169
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• 2009

This paper introduces the modified VaR which takes into account the asymmetry and fat-tails of financial asset distribution, and then compares its out-of-sample forecast performance with traditional VaR model such as historical simulation model and Riskmetrics. The empirical tests using stock indices of 6 countries showed that the modified VaR has the best forecast accuracy. At the test of independence, Riskmetrics and GARCH model showed best performances, but the independence was not rejected for the modified VaR. The Monte Carlo simulation using skew t distribution again proved the best forecast performance of the modified VaR. One of many advantages of the modified VaR is that it is appropriate for measuring VaR of the portfolio, because it can reflect not only the linear relationship but also the nonlinear relationship between individual assets of the portfolio through coskewness and cokurtosis. The empirical analysis about decomposing VaR of the portfolio of 6 stock indices confirmed that the component VaR is very useful for the re-allocation of component assets to achieve higher Sharpe ratio and the active risk management.

• The Korean Journal of Applied Statistics
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• v.29 no.4
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• pp.689-697
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• 2016

The most useful method for financial market risk management may be Value at Risk (VaR) which estimates the maximum loss amount statistically. The VaR is used as a risk measure for one industry. Many real cases estimate VaRs for many industries or nationwide industries; consequently, it is necessary to estimate the VaR for multivariate distributions when a specific portfolio is established. In this paper, the multivariate quantile vector is proposed to estimate VaR for multivariate distribution, and the Vector at Risk for multivariate space is defined based on the quantile vector. When a weight vector for a specific portfolio is given, one point among Vector at Risk could be found as the best VaR which is called as an alternative VaR. The alternative VaR proposed in this work is compared with the VaR of Morgan with bivariate and trivariate examples; in addition, some properties of the alternative VaR are also explored.

• The Korean Journal of Applied Statistics
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• v.25 no.5
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• pp.757-773
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• 2012

Traditional value at risk(S-VaR) has a difficulity in predicting the future risk of financial asset prices since S-VaR is a backward looking measure based on the historical data of the underlying asset prices. In order to resolve the deficiency of S-VaR, an economic value at risk(E-VaR) using the risk neutral probability distributions is suggested since E-VaR is a forward looking measure based on the option price data. In this study E-VaR is estimated by assuming the generalized gamma distribution(GGD) as risk neutral density function which is implied in the option. The estimated E-VaR with GGD was compared with E-VaR estimates under the Black-Scholes model, two-lognormal mixture distribution, generalized extreme value distribution and S-VaR estimates under the normal distribution and GARCH(1, 1) model, respectively. The option market data of the KOSPI 200 index are used in order to compare the performances of the above VaR estimates. The results of the empirical analysis show that GGD seems to have a tendency to estimate VaR conservatively; however, GGD is superior to other models in the overall sense.

• Journal of the Korea institute for structural maintenance and inspection
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• v.17 no.5
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• pp.94-104
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• 2013

Experiments were divided into two parts; one part is to understand the basic properties of high flowable VA/VeoVa-modified cement mortar with different polymer cement ratio (P/C) and the weight ratio of fine aggregate to cement (C:F) and the other part is to investigate the effect of surface water spread on the concrete substrate on adhesion in tension. To understand the basic performance, the specimens were prepared with proportionally mixing VA/VeoVa redispersible powder, ordinary portland cement, silica sand, superplasticizer and viscosity enhancing agent. Here, P/C were 10, 20, 30, 50 and 75% and C:F were 1:1 and 1:3. As the change of P/C and C:F unit weight, flow test, crack resistance and adhesion in tension were measured. Three specimens with good adhesion properties were selected among specimens with different P/C and C:F. The effect of surface water evenly sprayed on concrete substrate on adhesive strength is investigated. The results show that surface water on concrete substrate increases the adhesion in tension of high flowable VA/VeoVa-modified cement mortar and additionally improves the flowability compared to the non-sprayed case.

• The Korean Journal of Applied Statistics
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• v.24 no.3
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• pp.523-533
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• 2011

Most nancial preference methods for market risk management are to estimate VaR. In many real cases, it happens to obtain the VaRs of the univariate as well as multivariate distributions based on multivariate data. Copula functions are used to explore the dependence of non-normal random variables and generate the corresponding multivariate distribution functions in this work. We estimate Archimedian Copula functions including Clayton Copula, Gumbel Copula, Frank Copula that are tted to the multivariate earning rate distribution, and then obtain their VaRs. With these Copula functions, we estimate the VaRs of both a certain integrated industry and individual industries. The parameters of three kinds of Copula functions are estimated for an illustrated stock data of two Korean industries to obtain the VaR of the bivariate distribution and those of the corresponding univariate distributions. These VaRs are compared with those obtained from other methods to discuss the accuracy of the estimations.

• Journal of Korean Neurosurgical Society
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• v.61 no.1
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• pp.28-34
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• 2018

Objective : Duplication of the vertebral artery (VA) is a rare vascular variant. This paper describes the anatomy and embryological development of duplicated VAs and reviews the clinical significance. Methods : Computed tomography (CT) angiography was performed in 3386 patients (1880 females, 1506 males) between March 2014 and November 2015. We defined duplication of the VA as a condition in which the VA has two origins that fused at different levels of the neck. Results : Ten of the 3386 patients (0.295%) who received CT angiography had a dual origin of the VA; three on the left side, and seven on the right side. In all seven with right dual origin of the VA, both limbs of the VA origin originated from the right subclavian artery. In all three patients with left dual origin of the VA, both limbs of the VA originated from the left subclavian artery and aortic arch. In all 10 patients, the medial limb of the duplicated VA was located posteriorly and medially to the common carotid artery (CCA) and anteriorly and laterally to the vertebral transverse foramen. In two patients, the medial limb of the duplicated VA was located in close proximity to the CCA. In another two patients, the medial limb of the duplicated VA was located in close proximity to the CCA, carotid bifurcation, and proximal internal carotid artery. Conclusion : Although duplication of the VA is asymptomatic in most patients, clinicians should consider this anomaly during diagnosis and treatment.

• Journal of Korea Multimedia Society
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• v.6 no.5
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• pp.753-768
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• 2003

In this paper, we propose a multi-dimensional index structure, tailed a VA(Vector Approximate)-tree that is constructed with vector approximates of multi-dimensional feature vectors. To save storage space for index structures, the VA-tree employs vector approximation concepts of VA-file that presents feature vectors with much smaller number of bits than original value. Since the VA-tree is a tree structure, it does not suffer from performance degradation owing to the increase of data. Also, even though the VA-tree is MBR(Minimum Bounding Region) based tree structure like a R-tree, its split algorithm never allows overlap between MBRs. We show through various experiments that our proposed VA-tree is a suitable index structure for large amount of multi-dimensional data.

• Clinical and Experimental Pediatrics
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• v.59 no.8
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• pp.341-345
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• 2016

Purpose: Venous angioma (VA) is the most common congenital abnormality of the intracranial vasculature. This study aimed to investigate the relationship between VA and epilepsy and to identify the characteristics of children with VA and epilepsy. Methods: The records of all patients aged less than 18 years who underwent brain magnetic resonance imaging (MRI) at Pusan National University Hospital were retrospectively reviewed. Patients with isolated VA and patients with normal MRI were compared in terms of the prevalence of epilepsy. Results: In total, 2,385 pediatric patients who underwent brain MRI were enrolled. Isolated VA was identified in 26 patients (VA group). Among the patients with normal MRI findings, 225 age- and sexmatched patients to the VA-group were assigned to the control group. Nine patients in the VA group (9 of 26, 34.6%) and 27 patients in the control group (26 of 225, 11.5%; P<0.001) had epilepsy. In the VA group, 20 patients (76.9%) had the VA in the cerebral hemispheres, and 6 patients (23.1%) had the VA in the brainstem and cerebellum. The latter showed a higher prevalence of epilepsy (5 of 6, 83.3%) than the former (4 of 20, 20.0%; P=0.004). Among the nine patients who had epilepsy with VA, patients whose VA involved the brainstem and cerebellum showed a significantly higher frequency of abnormal Electroencephalographic findings than patients whose VA involved the cerebral hemispheres (P=0.016). Conclusion: VA, especially in the brainstem and cerebellum, might be associated with epilepsy.

• KDI Journal of Economic Policy
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• v.32 no.3
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• pp.71-99
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• 2010

The concept of CoVaR introduced by Adrian and Brunnermeier (2009) is a useful tool to measure the risk spillover effect. It can capture the risk contribution of each institution to overall systemic risk. While Adrian and Brunnermeier rely on the quantile regression method in the estimation of CoVaR, we propose a new estimation method using parametric distribution functions such as bivariate normal and $S_U$-normal distribution functions. Based on our estimates of CoVaR for Korean banking industry, we investigate the practical usefulness of CoVaR for a systemic risk measure, and compare the estimation performance of each model. Empirical results show that bank makes a positive contribution to system risk. We also find that quantile regression and normal distribution models tend to considerably underestimate the CoVaR (in absolute value) compared to $S_U$-normal distribution model, and this underestimation becomes serious when the crisis in a financial system is assumed.

• Transactions on Electrical and Electronic Materials
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• v.4 no.4
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• pp.7-9
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• 2003

Viewing angle characteristics of a nematic liquid crystal (NLC) using a in-plane driven (IPD) vertical alignment (VA) cell without a negative compensation film on a homeotropic alignment layer were studied. Good voltage-transmittance (V - T) curves were obtained using the rubbing aligned IPD- VA cell. However, instability and low transmittances of V - T characteristics in photo aligned IPD- VA cell was measured. The EO performance of a rubbingaligned IPD- VA cell without a negative compensation film was wider than that of photoaligned IPD- VA cell and conventional VA cell. Also, the fabrication processes using the rubbing aligned IPD- VA cell mode be carried out with only one-sided rubbing.