유가 연계 파생결합증권의 특성에 대한 연구

• 영문명: A Study on Properties of Crude Oil Based Derivative Linked Security
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 손경우(Kyoung-Woo Sohn) 정지영(Ji-Yeong Chung)
• 간행물 정보: 『아태비즈니스연구』제11권 제3호, 243~260쪽, 전체 18쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2020.09.30

영문 초록

Purpose - This paper aims to investigate the properties of crude oil based derivative security (DLS) focusing on step-down type for comprehensive understanding of its risk. Design/methodology/approach - Kernel estimation is conducted to figure out statistical feature of the process of oil price. We simulate oil price paths based on kernel estimation results and derive probabilities of hitting the barrier and early redemption. Findings - The amount of issuance for crude oil based DLS is relatively low when base prices are below $40 while it is high when base prices are around $60 or $100, which is not consistent with kernel estimation results showing that oil futures prices tend to revert toward $46.14 and the mean-reverting speed is faster as oil price is lower. The analysis based on simulated oil price paths reveals that probability of early redemption is below 50% for DLS with high base prices and the ratio of the probability of early redemption to the probability of hitting barrier is remarkably low compared to the case for DLS with low base prices, as the chance of early redemption is deferred. Research implications or Originality - Empirical results imply that the level of the base price is a crucial factor of the risk for DLS, thus introducing a time-varying knock-in barrier, which is similar to adjust the base price, merits consideration to enhance protection for DLS investors.

목차

Ⅰ. 서론

Ⅱ. 유가 연계 DLS 발행현황

Ⅲ. 분석방법

Ⅳ. 실증분석

Ⅴ. 결론

References

키워드

Crude Oil Based Derivative Linked Security Nonparametric Estimation Probability of Early Redemption Probability of Hitting Barrier Security Design