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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)
  • 김희선 (숙명여자대학교 통계학과) ;
  • 여인권 (숙명여자대학교 통계학과)
  • Received : 20110800
  • Accepted : 20111100
  • Published : 2011.12.31

Abstract

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.

Acknowledgement

Supported by : 숙명여자대학교

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