Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities

Table 12

Risk measures for the equally weighted portfolio (direct investment) via historical data.

Index	(HSCEI, KOSPI 200) (%)	(S&P 500, KOSPI 200) (%)	(EURO STOXX 50, KOSPI 200) (%)
VaR (99%)	−15.57	−24.42	−25.80
VaR (95%)	−12.97	−15.87	−18.81
CTE (99%)	−16.29	−27.36	−28.20
CTE (95%)	−14.59	−20.89	−22.70