환율 연계 파생결합증권에 대한 연구: 발행현황 및 환율 프로세스를 중심으로

• 영문명: A Study on Exchange Rate Based Derivative Linked Securities: Focus on the Issuance Trend and the Process of Exchange Rates
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 정지영(Ji-Yeong Chung)
• 간행물 정보: 『아태비즈니스연구』제15권 제4호, 387~401쪽, 전체 15쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2024.12.31

국문 초록

Purpose - This study aims to explore the issuance trend of exchange rate based derivative linked securities and the relationship between the profitability of the products and the process of their underlying assets, thereby understanding the importance of determining appropriate data ranges used in estimating the process. Design/methodology/approach - Domestic DLS market data, ranging from april 2006 to september 2024, is obtained from seibro.or.kr and the issuance trend of the exchange rate based DLS is analyzed based on it. Pertaining to the estimation of the process of underlying assets, nonparametric kernel estimation is applied to several data ranges. Using the results, future paths of won/dollar exchange rates are generated and the probabilities of maturity redemption are calculated. Findings - The recovery of the exchange rate based DLS market are driven by the private offering and most of the recent products are based on won/dollar exchange rate with rather short maturity of 3-month. The estimated processes of won/dollar exchange rates qualitatively differ by the setting of the data ranges, so it seems important to figure out structural changes in exchange rate dynamics.When the data range becomes fall apart from the issuance timing of the products with payoff structure specific to that period, the probabilities of maturity redemption remarkably decrease. Research implications or Originality - The empirical results indicate that properly determining data ranges for the estimation of the underlying asset’s process is crucial in evaluating the appropriateness of the payoff structures and the profitability of the products.

목차

Ⅰ. 서론

Ⅱ. 환율 연계 DLS의 발행현황

Ⅲ. 실증분석

Ⅳ. 결론

References

키워드

Exchange Rate Based Derivative Linked Security Issuance Trend Nonparametric Estimation Process of the Exchange Rates