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박기환 中央大學校 食糧資源硏究所 1996 食糧資源硏究所 論文集 Vol.8 No.1
ABSTRACTFood industry disposes large volumes of water but its discharge is relatively low in pollutants and less harmful in composition. More stringent disposal regulations and rising disposal costs have created a need for cost effective and environmentally friendly methods of process water management. To solve this problem, some new and advanced technologies which are currently tested and applied are reviewed because food industry has potential for reduction in water use through in-plant water reuse and for byproduct recovery. Membrane separation technology is one of the emerging electrotechnologies that operate without air pollution, yield high energy efficiency, improve the product quality, etc. To utilize this technology, a mobile test and demonstration unit (MTDU) was constructed and studies on the feasibility of membrane technology to reduce water , energy and chemical use, reduce effluent discharge and recover byproducts were performed at the plant sites. The cases discussed here were the desalting from olive processing water, sugar or dissolved solids recovery from fruits processing water, cleaning of washing water, reuse of condensation, etc. The tests identified several applications to be economically feasible enough to justify further investigations. Ozonation, freeze concentration, dialysis and electrodialysis are the potential technologies that can use to clean the processing water and reduce the cost. The development of water recycling system using the advanced technologies can allow the food industry to solve the problems of both the environmental conservation and economic benefits simultaneously.
Risk Premium and Convexity Premium in the Stock Return
박기환,최필선,김세권 한국증권학회 2012 Asia-Pacific Journal of Financial Studies Vol.41 No.6
We model and estimate equity premium in a general equilibrium setting. It is done by reframing the Merton’s model (1974) in the context of general equilibrium models such as Ahn and Thompson (1988) and Bates (1991). Our approach is novel in its attempt to derive equity premium by evaluating the equity returns dynamics in equilibrium and to thereby estimate non-risk convexity premium for equity as well as its risk premium. While risk premium is generally due to systematic risk, convexity premium is due to the option-like feature of equity, and exists under returns discontinuity and risk neutrality. We model equity premium such that the convexity premium pays for the liquidity and information costs of equity. We calibrate our equity premium model and report that the convexity premium counts for about one third of our predicted equity premium. We find relevance for our nonrisk convexity premium in relation to the premium puzzle and anomalies in the stock market.
금융안정(Financial Stability)을 위한 예금보험 Pricing
박기환,김세권 한국재무학회 2009 한국재무학회 학술대회 Vol.2009 No.11
신용시장(credit market)은 負의 외부성(negative externality)으로 금융위기가 초래된 다. 따라서 시장의 왜곡을 교정할 수 있는 pricing이 요구된다. 우리는 이 논문에서 Merton(1974) 모형을 일반균형모형으로 확장하여 예금보험의 체계적 위험을 pricing 하였다. 금융기관의 체계적 위험프레미엄은 1) 부채/자산의 상대위험비율, 2) 자산 베타 계수, 그리고 3) 투자가의 상대위험회피계수(relative risk aversion coefficient)에 의 하여 결정됨을 보여 주었다. 우리나라 은행과 상호저축은행을 대상으로 실증 분석을 하 였다. 로짓분석에 의한 예상부도 손실은 상호저축은행이 은행보다 높은 반면, 체계적 위 험프레미엄은 은행이 상호저축 은행보다 높았다. 은행의 베타계수가 높아 그 자산이 훨 씬 경기순응적(procyclical)이기 때문으로 풀이된다. 따라서 금융안정을 위하여 체계적 위험프레미엄을 반영한 예금보험료 차등화에 대한 검토가 필요한 것으로 보인다. Financial crisis is often caused by a strong negative externality in the credit market. Hence it may be needed to price the cost of externality in order to correct the market distortion. In this paper, we extend the Merton's (1974) model into a general equilibrium model and price the systematic risk for deposit insurance. The systematic risk is considered to be a cost of the negative externality. We show that the systematic risk premium depends upon: 1)the relative riskiness of debt to asset, 2) asset beta and 3) the investor's relative risk aversion. An empirical analysis is done for the Korean commercial banks and the mutual savings banks. We find that the expected default losses are higher for the mutual savings banks than the commercial banks, but the systematic risk premia are in the other way around. We think that the commercial banks tend to be more procyclical as evidenced by their higher beta coefficients. We recommend that the deposit insurance premia should be charged at the rates reflecting the differences in the systematic risk premia.