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홍종선,한수정,이기쁨,Honga, C.S.,Han, S.J.,Lee, G.P. 한국통계학회 2016 응용통계연구 Vol.29 No.4
금융시장 위험관리 수단으로 많이 사용하는 기법 중의 하나는 Morgan이 제안한 최대손실금액을 추정하는 VaR (Value at Risk)이다. VaR은 한 산업의 금융위험 측정도구로 사용되어지지만 실제 생활에서는 여러 회사 또는 국내 전체의 산업의 VaR를 추정하는 경우가 많다. 따라서 투자할 여러 산업에 대하여 특정한 포트폴리오가 설정된 경우에 다변량분포에 대한 VaR를 추정하는 문제가 필요하다. 본 연구에서는 다변량분포에 대한 VaR를 추정하기 위하여, 다차원 분위 벡터를 제안하고, 이를 바탕으로 다차원 공간에서의 Vector at Risk를 정의한다. 다변량분포에 대하여 특정한 포트폴리오가 설정된 경우에, Vector at Risk 중에서의 한 점을 가장 적절한 VaR로 설정하는 방법을 제안한다. 이를 대안적인 VaR이라고 정의하고, 다변량 분포에 대한 이 방법에 대하여 토론한다. 2변량과 3변량의 예제를 통해 본 연구의 대안적인 VaR과 Morgan의 VaR를 각각 구하고, 비교 설명하면서 대안적인 VaR의 특징을 탐색한다. 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.
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UV-C 조사와 MAP 처리가 저장 중 아스파라거스의 품질에 미치는 영향
윤혁성 ( Yoon H. S. ),최인이 ( I. L. Choi ),최가은 ( G. E. Choi ),한수정 ( S. J. Han ),김주영 ( J. Y. Kim ),강호민 ( H. M. Kang ) 강원대학교 농업생명과학연구원(구 농업과학연구소) 2017 강원 농업생명환경연구 Vol.29 No.1
This study investigated the effect of UV-C irradiation and modified atmosphere packaging (MAP) treatment on quality of asparagus spears (Asparagus officinalis) during storage. Asparagus spears were irradiated with 15 or 20 kJ/㎡ of UV-C irradiation. Untreated spears served as control. Treated and untreated spears were packaged using oxygen transmission rate (OTR) films (10,000 cc/㎡ ·day · atm) for the MAP and with perforated film for conventional storage. Experimental and control spears were stored for 30 days at 4°C and 85% relative humidity. The weight loss rate was less than 0.4% in all MAP-treated samples, whereas it was more than 4.5% in the conventional storage stored samples. Carbon dioxide content stayed at 5.0-10.0%, and oxygen content remained higher than 10.0% in all MAP samples. All treatments satisfied the recommended range of controlled atmosphere (CA) and modified atmosphere (MA) conditions of asparagus spears. Ethylene content stayed consistently at 2.0-4.0 μL/L during storage. The atmospheric composition (i.e. carbon dioxide, oxygen, and ethylene contents) in all MAP samples was not significantly different according to UV-C irradiation treatment. The off-odor of samples irradiated with 15 kJ/㎡ UV-C was lower regardless of the storage method. Soluble solid contents did not differ significantly with the MAP treatment. The soluble solid content was the highest in the samples irradiated with 15 kJ/㎡ UV-C and stored conventional storage. The hue angle value was the highest at 15 kJ/㎡ UV-C irradiation and MAP storage, indicating inhibition of the yellowing effect of the UV-C irradiation. Visual quality of samples subjected to 15 kJ/㎡ UV-C irradiation and MAP treatment was the best among all samples. These samples retained their marketability for up to 30 days. In conclusion, 15 kJ/㎡ UV-C irradiation combined with MAP treatment is appropriate to maintain visual quality and soluble solid contents and to inhibit the development of off-odor and yellowing of asparagus spears during storage.
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