- Volume 24 Issue 6
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A Case Study on the Risk of Stepdown ELS
스텝다운형 주가연계증권의 위험률 고찰
- Kim, Hee-Sun (Department of Statistics, Sookmyoung Women's University) ;
- Yeo, In-Kwon (Department of Statistics, Sookmyoung Women's University)
- Received : 20110800
- Accepted : 20111100
- Published : 2011.12.31
Equity linked securities are indirect investments where the return of investment depends on the performance of the underlying equities. In this paper, we review the profit structure of typical equity linked securities through a profit diagram and investigate which characteristics of time series at the investment affect the early repayment of the stepdown ELS based on KOSPI 200 and HSI. We also compare VaRs using the empirical distribution function for risk management.
Supported by : 숙명여자대학교
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