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JUNG SEOK WOO,HYOUNG-GOO KANG 한국재무학회 2016 한국재무학회 학술대회 Vol.2016 No.05
This paper investigates the risk attitudes of investment bankers with experiment and survey. The experiment measures risk preferences through multiple risky lottery choices, and the survey questionnaire explores the willingness to take instrumental and stimulating risks. We consider both traditional economic and psychological dimension. The investment bankers in our sample are more willing to take instrumental risks than other groups. Within the investment banker group, traders and analysts, who put financial theory into actual practice, show markedly higher levels of risk preference converging near risk-neutrality. Our results suggest that the nature and nurturing environment of investment bankers matters as well as compensation schemes and organization structure.
이홍재(Hongjae Lee), 노현우(Hyunwoo Roh), 김태석(Taesuk Kim) 글로벌경영학회 2020 글로벌경영학회지 Vol.17 No.5
The purpose of this study is to derive an optimal portfolio that maximizes risk premium while achieving risk management-based asset allocation results by applying the Black-Litertman model that overcomes the limitations of the Markowitz model in allocating assets to the Risk Budget model. The Black-Litterman and Risk Budget models used as analysis methods each form a portfolio based on expected return and risk contribution, and thus conflict with each other in the process of obtaining optimal weights. This was first confirmed by comparing the results produced by the Black-Litterman model with the Risk Budget model. In addition, the optimal weights derived from the Black-Litterman model were analyzed in a form that limits the maximum and minimum weights in the process of the Risk Budget optimization in order to minimize harm to the advantages of the Black-Litterman model in the application of the risk budget. The data analysis period is used 10 index market indexes in order of α-size of Jensen using KOSPI and KOSDAQ index data of KOSPI and KOSDAQ until 2015.1. ~2017.12. In this study, when the optimal portfolio weights derived from the Black-Litterman model are concentrated in a small group of assets, the risk contribution of those asset groups is so high that the difference between the best weights presented by the Black-Litterman model and the Risk Budget model is very large. Therefore, in order to balance the differences and to achieve the benefits of each model, the optimal weight for each group of assets derived by the Black-Litterman model was taken to impose weight constraints (minimum and maximum) on each group of assets in the process of optimising the risk Budget. As a result, a new portfolio could be created that balances the risk-budget within a given limit calculated for each group of assets without excessively reducing the weight of the group of assets with high risk contribution. This is a way to ensure that the benefits of the Black- Litterman model are minimized due to the Risk Budget while allocating risk limits by asset group to asset allocation. As a limitation of the study, there is one that does not constrain performance when combining the Black-Litterman model and the Risk Budget model. Therefore, later research projects require a comparative analysis of the performance of an optimal portfolio that constrains portfolio performance factors, such as tracking error or information rate, when the Black-Litterman and Markowitz portfolios are merged with the Risk Budget models, respectively.
중국 20대 소비자들의 인터넷 쇼핑 위험지각이 구전(e-WOM)에 미치는 영향
서초 ( Chao Xu ),박혜선 ( Hye Sun Park ) 한국의류학회 2014 한국의류학회지 Vol.38 No.5
This study examined the risk perception in internet shopping by Chinese and analyzed the effects of risk perception on internet word-of-mouth acceptance and transmission. This analysis was conducted With data collected from 373 Chinese individuals in their 20s. Data were analyzed with factorial analtsis, cluster ana-lysis, ANOVA, multiple regression analysis, Chi-square test, and Cronbach`s α using SPSS 18.0. The results were: 1) The factor analysis of risk perception extracted four factors: fashion/social psychological risk, pro-duct risk, transaction risk, and economic risk. The cluster analysis classified them into: Group with low-risk, Group with high-risk, Group with economic risk, and Group with medium-risk. 2) Group with high-risk and Group with economic risk had a higger word-of-mouth acceptance than other groups. The Group with a high-risk had more word-of-mouth transmission than other groups. 3) It was found that when word-of-mouth was accepted, the factual information about fashion products (size and material) was most referred to, and that the overall evaluation of satisfaction and dissatisfaction was most conveyed when word-of-mouth was conveyed. 4) Internet word-of-mouth transmission was affected by economic risk, and fashion/social psycho-logical risk, product risk, and transaction risk.
Modeling of Public Risk Perception and Risk Communication Research: In A Social-Cognitive Direction
Li, Yiwei,Guo, Yu,Ito, Naoya Center for Asian Public Opinion ResearchCollaborat 2014 Asian journal for public opinion research Vol.1 No.3
This study begins with a review of commonly discussed dimensions of public risk perception that may influence public opinion toward risks. Factors that have been revealed by the literature to have substantial impact on risk perception, such as demographic background, trust, and media environment, are also discussed. Meanwhile, we evaluate two well-known research models in the realm of risk analysis: 1) the psychometric paradigm, and 2) the social amplification of risk framework (SARF). Based on a literature review, this study suggests that, besides the psychological and social approach, models of risk perception and risk communication research should shift to a more comprehensive one by considering the interrelations between laypeople and the environment. This study proposes a research model from the perspective of social cognitive theory (SCT) as a potential framework for future studies: 1) in the societal environment, individuals' risk perception and information seeking behavior, which is determined by risk perception will be influenced by trust in regulators and interpersonal trust; 2) in the media environment, individuals' risk perception and information seeking behavior will be influenced by individuals' perceived information characteristics. Knowledge about risk accumulated through information seeking will change risk perception in a longitudinal process.
정윤길,고은선 한국국제문화교류학회 2024 문화교류와 다문화교육 Vol.13 No.2
Based on university students’ perceptions of risk issues, this study suggests that education on competencies and practices necessary for recognizing and responding to a risk society can be a concrete educational model that can fulfill the need for global citizenship education in liberal arts education. To this end, a survey was conducted on the risk perceptions of students who took and did not take a global citizenship liberal arts course at D University in Seoul. The results of this study are summarized as follows. First, when analyzing the perceptions of each risky social area, we found that economic life-related risks were the highest in terms of the likelihood of risk occurrence, exposure to risk, vulnerability to risk, and response to risk. Liberal arts students were more urgent to expose and deal with risks related to natural disasters, the environment, and politics and foreign relations, while non-college students were more urgent to deal with risks related to health, life cycle, economic life, and social life. Second, when analyzing the difference in perceptions of the severity of risk society, liberal arts students were more likely to be exposed to risks related to social life, the environment, life cycle, economic life, and natural disasters, while non-college students were more likely to be exposed to risks related to life cycle, economic life, social life, the environment, and natural disasters. Third, the analysis of self-efficacy in a risky society showed that liberal arts students had higher self-efficacy than non-college students. Fourth, liberal arts education was found to have an impact on the development of global citizenship skills. Fifth, critical thinking skills, courage to act, and a sense of solidarity were the most important skills needed for the safety of a dangerous society, and ‘national laws and institutional measures’ were the most important. Based on the results of this study, implications were suggested for university and government policies to foster global citizenship competencies among university students in liberal arts education.
Do Risk Disclosures in Annual Reports Help Investors Access Firm Risks?
이상노 한국산업경제학회 2017 산업경제연구 Vol.30 No.1
This study investigates the effect of the section of risk factors in annual reports on the idiosyncratic volatility of returns using textual analysis. The U.S. Securities and Exchange Commission (SEC) have required firms to include risk factor section that makes the company speculative or risky since 2005 and expected its information to help investors assess firm risks. In this study, I extract idiosyncratic risks from annual reports using textual analysis, and regress it with three measures of idiosyncratic volatility of return. I find that idiosyncratic risks appeared in the section of annual reports have a significantly positive effect on the idiosyncratic volatility of return, confirming incremental information content of risk disclosures. In particular, I find that investors assess idiosyncratic risks of a firm by comparing its risks with market risks. The findings provide insights in the relationship between the disclosure of risk factors and the idiosyncratic volatility of returns, and, in turn, provide evidence to support SEC's argument on the inclusion of risk factors in annual reports.
Do Risk Disclosures in Annual Reports Help Investors Access Firm Risks?
Sangno Lee(이상노) 한국산업경제학회 2017 산업경제연구 Vol.30 No.1
본 연구는 텍스트 분석을 통해 사업보고서에 있는 위험보고 공시가 수익률의 고유 변동성에 미치는 효과를 조사하였다. 미국 증권거래위원회(SEC)는 2005년부터 사업보고서에 기업에게 가상적으로 일어날 위험이나 위험스러운 정보를 위험요인 부분에 작성하여 투자자들이 기업의 위험을 평가하는데 도움이 되도록 하고 있다. 본 연구에서는 텍스트 분석 기법을 통해 사업보고서에서 고유위험을 측정하고 그 결과를 세가지 형태의 수익률의 고유위험과 비교하였다. 연구결과 사업보고서의 위험요인 부분에 나타난 고유위험은 수익률의 고유 변동성과 양의 유의한 관계가 있는 것으로 나타났으며, 이 결과는 위험공시의 증가된 정보효과가 있다는 것을 나타낸다. 특히 투자자들은 기업의 고유위험을 시장위험과 비교하여 평가하는 것으로 나타났다. 이러한 연구결과는 기업의 고유한 위험과 고유변동성 간의 관련성에 대한 통찰력을 제공해주며 사업보고서에 위험요인을 포함해야 한다는 미국 증권위원회의 주장을 지지해준다. This study investigates the effect of the section of risk factors in annual reports on the idiosyncratic volatility of returns using textual analysis. The U.S. Securities and Exchange Commission (SEC) have required firms to include risk factor section that makes the company speculative or risky since 2005 and expected its information to help investors assess firm risks. In this study, I extract idiosyncratic risks from annual reports using textual analysis, and regress it with three measures of idiosyncratic volatility of return. I find that idiosyncratic risks appeared in the section of annual reports have a significantly positive effect on the idiosyncratic volatility of return, confirming incremental information content of risk disclosures. In particular, I find that investors assess idiosyncratic risks of a firm by comparing its risks with market risks. The findings provide insights in the relationship between the disclosure of risk factors and the idiosyncratic volatility of returns, and, in turn, provide evidence to support SEC"s argument on the inclusion of risk factors in annual reports.
신상식 ( Sang Sik Shin ),이길수 ( Kil Soo Lee ),조흥기 ( Heung Gi Cho ) 한국품질경영학회 2013 품질경영학회지 Vol.41 No.3
Purpose: To provide a variety of stable military supplies. risk should be avoided or removed. This paper aims to provide an objective method of risk assesruent for risk matrix to evaluate risk level. Methods: According to previous results of risk assesrnent through risk matrix. some parameters and probability density functions. which include characteristics of military supplies. are selected and Risk matrix is modelled based on that. Results: Results show that a proposed method can evaluate objectively risk level through the stochastic modelling and provide well-balanced risk assessments by categorizing into 3 levels such as high, middle and low level risk. Conclusion: A current risk assessment method includes substantial subjectivity of risk assessment and as a problem about military supplies comes up, we can not show any appropriate evidences for decision of risk assessment. We propose an objective scheme employing stochastic modelling with parameters and probability density functions.
Credit Risk Measurement Practices in Indian Commercial Banks - An Empirical Investigation
Swaranjeet Arora 강원대학교 경영연구소 2014 Asia-Pacific Journal of Business Vol.5 No.2
Banking institutions have been facing variety of difficulties but the major cause of serious banking problems relates to lax credit standards for borrowers and counterparties, poor portfolio risk management, or a lack of attention to changes in economic or other circumstances that can lead to deterioration in the credit standing of a bank’s counterparties. Although credit risk is an important factor that financial institutions should cope with, but the determinants of measuring credit risk have been studied less. This paper attempts to explore the determinants of credit risk measurement and to identify the factors that contribute to credit risk measurement practices in Indian banks and to compare credit risk measurement practices followed by Indian public and private sector banks, the empirical study has been conducted and views of employees of various banks have been tested using statistical tools. This study explored the phenomenon from different perspectives and revealed that single-name credit risk measurement and portfolio credit risk measurement are the key components that contribute to credit risk measurement in Indian banks. From the descriptive and analytical results, it can be concluded that Indian banks efficiently measure credit risk. The results also indicate that there is a significant difference between the Indian public and private sector banks in single-name credit risk measurement while, these banks do not significantly differ in portfolio credit risk measurement aspect
Software Architecture Analysis for Risk Management
Byeongdo Kang(강병도),Roger Y. Lee 한국산업정보학회 2009 한국산업정보학회논문지 Vol.14 No.5
Management of risks is critical issue in the project management and it is important to ensure that risk management is done in a sensible way. Risk analysis is an activity geared towards risk mitigation in risk management technique. Many techniques to manage, analyze and reduce risks have been done previously but only few have addressed the design analysis to reduce risk and none have attempted to analyze architecture to manage risks. In this paper we try to find a solution through various analyzing various software architectural design concepts. We follow Pressman’s method of analyzing architecture design, and then alter it to identify risks which are used in risk analysis process further in risk management process. The risks assessed are analyzed later in the risk management cycle.