Communications for Statistical Applications and Methods

  • 제27권1호
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  • Pages.79-95
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  • 2020
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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A risk analysis of step-down equity-linked securities based on regime-switching copula

  • Nguyen, Manh Duc (Department of Statistics and Actuarial Science, Soongsil University) ;
  • Ko, Bangwon (Department of Statistics and Actuarial Science, Soongsil University) ;
  • Kwon, Hyuk-Sung (Department of Statistics and Actuarial Science, Soongsil University)
  • 투고 : 2019.09.15
  • 심사 : 2019.12.03
  • 발행 : 2020.01.31
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초록

The globalization of financial markets has broadened investment opportunities. International investors' investment portfolios consist of financial instruments from various countries; consequently, the risks associated with economic dependence among countries should be carefully considered. Step-down equity-linked securities (ELS) are a structured financial product that have recently become popular among Korean investors. Payoffs are based on two or three stock indices from different regions; therefore, dependence between the indices should be reflected in the risk analysis. In this study, we consider a regime-switching copula model to describe the joint behavior of two stock indices- the Eurostoxx50 and the Hang Seng China Enterprises Index (HSCEI). These indices are commonly used as underlying assets of step-down ELS. Using historical data, we analyze the risk associated with step-down ELS through the probabilities of early redemption. A regime-switching copula model can accommodate complicated dependence. Thus, it should be considered in the risk analysis of step-down ELS.

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참고문헌

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