Asset Pricing 분야의 최근 연구동향

백인석 ( In Seok Baek ),안동현 ( Dong Hyun Ahn ),오성환 ( Seong Hwan Oh ),윤선중 ( Sun Joong Yoon ) 한국금융학회 2010 금융연구 Vol.24 No.3

본 연구는 재무경제학의 Asset Pricing 분야에서 이루어진 최근의 성과와 앞으로의 연구방향에 대해서 정리하고자 한다. 재무경제학은 금융시장에서 관측된 현상을 설명하기 위해 비약적 발전을 거듭해 왔으나 모든 잠재적 요인을 반영할 수 없는 이론적 제약으로 인해 그 설명력에 한계가 있을 수 밖에 없다. 이러한 한계점을 극복하기 위해 기존이론의 가정을 완화하거나 새로운 효용체계, 행동학파적 요소 및 제약을 도입하여 새로운 돌파구를 찾고자 연구가 진행되고 있다. 본 연구에서는 광범위한 Asset Pricing 모든 분야에 대해 분석하는데 현실적 한계가 있으므로 위험자산의 가격 결정론과 무위험 자산 가격결정론(이자율 기간구조 모형)으로 나누어 관련된 최근의 연구동향에 대해 정리하고자 한다. 세부적으로 보면 위험자산 가격결정론은 시계열과 횡단면 특성에 관한 연구, 그리고 이를 이용한 포트폴리오 선택문제로 나누었으며, 투자기간에 다른 무위험자산 가격결정론은 이자율 기간구조 측면에서 동태적 이자율 기간구조 모형, 거시-금융 기간구조 모형, 두 나라 이자율기간구조 모형으로 나누어 살펴본다. This paper surveys recent trends in the asset pricing areas and proposes some future research issues. Despite a surge of theoretical models proposed for capturing the dynamics of financial asset prices, several key empirically stylized anomalies are still challenging to theoretically explain. Such incompatibility of theoretical models with empirical data may be inevitable due to the fact that the theoretical models cannot encompass inherently all aspects of reality. To overcome such limitations, researchers often loosen the theoretical restrictions and/or adopt new economic frameworks. Among them, we summarize the recent advances related to the theory of risky asset pricing models and theory of interest rate term structure models. In Section II, we deal with the theory of risky asset pricing, which can be classified into time-series asset pricing and cross-sectional asset pricing. First, the time-series asset pricing models aim to theoretically explain the time-series anomalies, such as the equity premium puzzle, the volatility puzzle, the risk-free rate puzzle, and the predictability puzzle. the efforts to the explanation for such puzzles can be categorized as follows: 1) Pesso Prblem and Survival bias of market 2) Habit formation preference 3) Preference for robustness and ambiguity aversion 4) Recursive preference and long run risk 5) Behavioral approach: Prospect theory 6) Investment costs Second, cross-sectional asset pricing models focus on the size and value premium puzzle, which are firstly introduced by Fama and French (1987). Since the restrictive assumptions of time-series asset pricing models, including investors` preference and market clearing condition, can be moderate in cross-sectional asset pricing models, a bunch of literature is proposed for capturing the cross-sectional risk factors. These attempts are categorized as follows: 1) Multi-factor models 2) Conditional CAPM 3) Cash-flow risk 4) Long Run Risk with Epstein-Zin preference 5) Composition Effect of Consumption 6) Various Behavioral Approaches. In Section III we summarize developments of traditional dynamic term structure models(DTSMs). Advances in DTSMs are accelerated by the two competitors, affine-and non-affine DTSMs, Based upon the seminal work of Duffie and Kan(1996), Dai and Singleton(2000) succeed in finding canonical form of affine term structure models (ATSMs), which designate the yield as an affine function of the underlying state variables. Recent ATSMs such as Duffee(2002), Duarte(2004), and Cheridito, Filipovic, and Kimmel(2007) propose more flexible specifications for market price of factor risks within the canonical representation. Despite of these glaring advances, theoretical trade-offs inherent in ATSMs fostered developments of many alternative DTSMs. Quadratic term structure models(QTSMs) proposed by Ahn, Dittmar, and Gallant(2002), which designate the yield as a quadratic function of the state variables, successfully resolve structural limitations of ATSMs. Equipped with various and flexible specifications, researchers began to explore issues regarding the economic drivers for the yield curve dynamics. Traditional DTSMs such as ATSMs and QTSMs do not provide answers for these questions because they are built upon latent(unobservable) state variables. We survey macro-finance term structure models(MFTSMs), which try to fill this gap. Since the pioneering work of Ang and Piazzesi(2003), voluminous papers add macroeconomic variables as state variables, and investigate the role of macroeconomic factors in explaining the yield curve dynamics. In addition, given the increased globalization of both international financial markets and real economies, there arises an important need for models of international term structures and foreign exchange rates. Thus, we survey international term structure models(ITSMs).

24 시간 심전도를 이용한 Signal - Averaged Electrocardiogram 의 Time Domain Analysis 와 Spectral Turbulence Analysis 의 비교연구

이창원(Chang Won Lee),장덕환(Duk Whan Jang),백인석(In Seok Baek),김장원(Jang Won Kim),배순철(Soon Chul Bae),김철우(Cheol Woo Kim),권재구(Jae Koo Kweon),최락경(Rak Kyeong Choi),이무용(Moo Yong Rhee),이홍순(Hong Soon Lee),유수웅(Soo Wo 대한내과학회 1997 대한내과학회지 Vol.52 No.4

N/A Objectives: Signal-averaged electrocardiography (SAECG) has been found to be a useful noninvasive technique for identifying patients at risk for life-threatening ventricular tachycardia. Delayed and fragmented activation of abnormal myocardial tissues causes the occurrence of high frequency low amplitude (HFLA) electocardiographic signals or late potentials. Generally, there are two methods in analyzing signal-averaged electrocardiography. Late potentials in the time domain analysis do not provide sufficient diagnostic power with regard to life-threatening Ventricular tachycardia. Buckingham et al. (1989) reported a time-domain sensitivity of 62%, a specificity of 75%. Spectral turbulence analysis (STA) of the signal-averaged ECG is the most recent frequency domain technique to improve the time domain sensitivity and specificity. So, We designed the study to compare the efficacy of Time Domain Analysis and Spectral Turbulence Analysis among five groups (Normal control, QRS widening, Postmyocardial infarction, Frequent VPC's with group beats, Nonsustained ventricular tachycardia). Methods: 88 patients were selected from the patients who had been admitted between January 1994 and October l994, at National Medical Center. Patients were divided into five groups, which were respectively, Group A: Normal control group (n=33), Group B: QRS widening group (n=14), Group C: Postmyocardial infarction group (n=10), Group D: Frequent VPC's with group beats (n=22), Group E: Nonsustained VT group (n=9). We compared Spectral Turbulence Analysis and Time Domain Analysis of Signal-Averaged Electrocardiogram by 24 hours-Holter monitoring. Results: 1) In normal control group(Group A), 9.1%(3 patients) were positive by Time Domain Analysis, but, all were negative by Spectral Turbulence An- alysis. 2) In QRS widening group (Group B), 71.4%(10 patients) were positive by Time Domain Analysis, but, all were negative by Spectral Turbulence Analysis. 3) In postmyocardial infarction group (Group C), 309o were positive by Time Domain Analysis, and 10% were positive by Spectral Turbulence Analysis. 4) In frequent VPC's group (Group D), 22.7% (5 patients) were positive by Time Domain Analysis, and, 4.5%(1 patient) was positive by Spectral Tur-bulence Analysis. 5) In Nonsustained VT group (Group E), 33.3% (3 patients) were positive by Time Domain Analysis, and 11.1% (1 patient) was positive by Spectral Turbulence Analysis. Conclusions: In Time Domain Analysis, abnormal results were presented at Group R (QRS widening group) by 71.4%, which was markedly higher than other groups. But, in Spectral Turbulence Analysis, abnormal results were not presented at Group A and Group B. In Group A and Group B, Spectral Turbulence Analysis shows less false positive results than Time Domain Analysis.

추계적 변동성-점프 확산 모형에 기초한 원달러 현물환율 및 통화옵션시장의 동적 행태 분석

백인석 ( In Seok Baek ),강병진 ( Byung Jin Kang ) 한국파생상품학회(구 한국선물학회) 2011 선물연구 Vol.19 No.1

본 연구는 원달러 현물환율 및 원달러 장외통화옵션시장을 대상으로 Hestom(l993)의 추계적 변동성(stochastic volatility) 모형과 Bates(1996)의 추계적 변동성-점프(stochastic volatility with jumps) 모형의 성과를 분석하였다. 1997년 11월부터 2009년 7월 기간 동안의 일별 원달러 수익률 시계열 자료에 대해 EMM 방법을 적용한 결과, 수익률 모형으로서의 두 모형의 주요 특성은 다음과 같다. 첫째, 원달러 환율의 다이내믹스를 설명함에 있어 Heston 모형은 극히 저조한 성과를 보이는 것으로 나타난 반면, Bates 모형은 관측된 수익률의 주요 특성을 적정하게 적합할 수 있는 것으로 나타났다. 둘째, 원달러 수익률이 가지는 두터운 꼬리분포는 점프 요인에 의해서만 설명될 수 있는 반면, 분포의 비대칭성온 점프 요인 보다는 추계적 변동성 요인에 의해 모형화 되는 것이 보다 효율적인 것으로 나타났다. 다음으로, 2006년 l월부터 2010년 3월까지의 원달러 장외통화옵션의 일별 횡단면 자료를 이용해 옵션 가치평가에 대한 성과를 분석한 결과, 원달러 장외통화옵션시장에서 관찰되는 내재변동성 미소(implied volatility smile) 및 조소(smirk) 현상을 설명함에 있어 Heston 모형에 비해 Bates 모형이 현저히 우수한 성과를 가지는 것으로 나타났다. This paper assesses the empirical performances of the continuous-time models, including constant volatility (Black and Scholes. 1973), stochastic volatility (Heston, 1993). and stochastic volatility with jumps (Bates, 1996). in FX spot and option markets. To analyze the spot market, we used the EMM (Efficient Method of Moments) methods with daily KRW/USD spot exchange rates from November 1997 through July 2009. First, the empirical results find that the Bates model highly outperforms the other modelsin explaining the dynamic behavior of KRW/USD spot exchange rates. Second, we also find that the jump components carry out an important role in generating leptokurtic properties of KRW/USD spot exchange rates, on the other hand, stochastic volatilities perform a critical role in generating skewed properties of them. To analyze the option market, we examined the daily cross-sectional prices of the KRW/USD OTC options from January 2006 through March 2010. The empirical results from the option markets confirm that the Bates model clearly outperforms the other modelsin explaining the observed patterns of implied-volatility smile or smirk.

IR-UWB Radar를 이용한 Time-of–Arrival 측정을 통한 목표물 위치 추정 알고리즘

백인석(In Seok Baek),김진호(Jin Ho Kim),조성호(Sung Ho Cho) 한국통신학회 2012 한국통신학회 학술대회논문집 Vol.2012 No.6

IR-UWBRadar시스템에서 목표물 신호 추출을 위한 클러터 신호제거 알고리즘

백인석(In Seok Baek),김진호(Jin Ho Kim),조성호(Sung Ho Cho) 한국통신학회 2012 한국통신학회 학술대회논문집 Vol.2012 No.2

IR-UWB Radar 시스템에서 특이값 분해를 이용한 클러터 신호 제거 알고리즘의 연산속도 향상 기법

백인석(In Seok Baek),정문권(Moon Kwun Jung),조성호(Sung Ho Cho) 한국통신학회 2013 韓國通信學會論文誌 Vol.38 No.1(융합기술)

피로 수명 곡선 획득을 위한 Krouse 형 굽힘 피로 시험기 연구

조민구(Min Goo Cho),백인석(In Seok Baek),배진기(Jin Gye Bae),이석순(Seok Soon Lee) 대한기계학회 2021 大韓機械學會論文集A Vol.45 No.1

기존의 피로 시험기의 경우 대부분 장비가 고가의 가격이 형성되어 있다. 또한 피로 수명을 획득하기 위해 시험 전문 업체에 의뢰하여도 상당한 시간과 비용이 발생하며 일반 연구소 및 대학에서는 시험 장비를 구축하기 힘들다는 단점이 있다. 본 논문에서는 변위 조절을 통해 하중 조절이 가능한 간단한 구조의 Krouse 형 소형 굽힘 피로 시험기를 구상 및 제작하였다. 피로 시험을 위해 PCM과 STS430 재질의 시험편을 제작 및 인장 시험을 진행하고 피로 시험을 통해 피로 수명을 획득하였다. 외팔보의 최대 굽힘 응력 계산식과 유한요소 해석, S-N 곡선을 평가하는데 사용되는 수식을 이용해 비교분석하고 해당 피로 시험기의 신뢰성을 검토하였다. Equipment of conventional fatigue test machines are typically expensive. A testing professional is required for obtaining the fatigue life curve of testing machines and this process is time-consuming and expensive. Moreover, it is difficult to build test equipment in general laboratories and universities. Therefore, in this study, Krouse type small bending fatigue tester with simple structure, in which the load can be adjusted by adjusting the displacement, has been proposed and developed. For fatigue test, PCM and STS430 test pieces were developed and tensile test was conducted; a fatigue life curve was obtained through fatigue test. Comparative analysis was made using the formula used to evaluate the maximum bending stress of a single arm beam, finite element analysis, and S-N Curve, and the reliability of the corresponding fatigue tester was reviewed.

GFRP 도어 임팩트 빔과 Steel 브래킷의 기계적 결합에 관한 실험적 연구

하중찬(Jung-Chan Ha),신영철(Young-cheol Shin),백인석(In-Seok Baek),이석순(Seok-Soon Lee) 한국기계가공학회 2021 한국기계가공학회지 Vol.20 No.5

The mounting performance of the GFRP(Glass fiber Reinforced Plastic) beam and the mechanical mounting of the steel bracket was studied to be mounted as a GFRP impact beam on the side door of the passenger car. Moreover, an open-hole tensile test was performed to evaluate breakage tendency based on GFRP stacking conditions. Furthermore, the tightening strength of rivets and bolts was compared using the single lap-shear tension test for the GFRP stacking pattern. Additionally, the GFRP beam and bracket mounting features were designed; moreover, the prototype and bracket were assembled. Additionally, the bracket mounting bending test and the door assembly static bending test were performed to verify the stability of the bracket mounting. In the bracket fastening bending test, no breakage occurred in the connection part between the GFRP beam and the bracket, and it showed 67% (24.4 kN) improved performance compared to steel. In the static bending test of the door assembly, the initial average reaction force increased by 25% compared to the steel, and the performance of all FMVSS-214 regulations was satisfied. The replacement of GFRP impact beams resulted in a 30% weight reduction.

연구논문 : 피조개의 항산화 활성과 Acetylcholinesterase 저해 활성

김정빈 ( Jeong Been Kim ),김재민 ( Jae Min Kim ),이영민 ( Young Min Lee ),백인석 ( In Seok Baek ),이승철 ( Seung Cheol Lee ) 한국식품조리과학회(구 한국조리과학회) 2014 한국식품조리과학회지 Vol.30 No.2

국내 연안에서 널리 양식되고 있는 피조개의 생리적 기능성을 발굴하기 위하여 항산화능과 acetyl cholinesterase 저해 능을 측정하였다. 피조개 분말로부터 메탄올 추출물을 제조하고, 이로부터 극성에 따라 hexane, diethyl ether, ethylacetate, 그리고 물 분획물을 얻었다. DPPH 라디칼 소거능, ABTS 라디칼 소거능, 환원력으로 항산화능을 분석한 결과,각 활성은 한 분획물에 치중되지 않았지만 물 분획물에서 비교적 높았다. 그러나 acetyl cholinesterase 저해능은 diethylether 분획물에서 높게 측정되었다. 이로서 항산화능과 acetyl cholinesterase 저해능에 관여하는 다양한 물질들이 피조개에 함유되어 있음을 확인하였다. Ark shell (Scapharca broughtonii; Korean name, pijogae) is one of the most widely cultivated and consumed shellfishes in Korea. The purpose of this study was to evaluate the antioxidant activity and acetylcholinesterase inhibitory activity of ark shell. After preparing the methanol extract of ark shell powder, the extract was subsequently fractionated by hexane, diethyl ether, ethyl acetate and water. The antioxidant activity evaluated by DPPH radical scavenging activity, ABTS radical scavenging activity and reducing power was relatively higher in the water fraction; however, the activity was spread out in all fractions. Acetylcholinesterase inhibitory activity was the highest in the diethyl ether fraction. Taken together with the results of both antioxidant and acetylcholinesterase inhibitory activities, it can be suggested that different kinds of physiological compounds were contained in the ark shell.

3점 굽힘 하중 해석을 통한 복합재 도어 임팩트 빔 단면형상 설계개선

하중찬(Jung-Chan Ha),오성하(Sung Ha Oh),백인석(In-Seok Baek),이석순(Seok-Soon Lee) 한국기계가공학회 2020 한국기계가공학회지 Vol.19 No.6

The currently observed trend in car manufacturing is to increase energy-efficiency by producing lighter cars. This study examines the replacement of particular parts, specifically around the impact beam, with material composites 30% lighter than conventional steel currently used. The shape of the impact beam was determined as the trapezoidal cross-sectional area with central reinforcement, using three-point bending analysis. A prototype was fabricated based on the findings of our study and its performance was evaluated by the three-point bending analysis; 2 ply of aramid applied for its displacement. The performance of the final prototype for the door assembly was evaluated using a side-door strength test, which resulted to measured initial strength of 10.5 KN and intermediate strength of 15.6 KN. This research provides a promising solution for better impact beam manufacturing.