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

Table 13

Risk measures for the ELS (indirect investment) via historical data.

Index	(HSCEI, KOSPI 200) (%)	(S&P 500, KOSPI 200) (%)	(EURO STOXX 50, KOSPI 200) (%)
VaR (99%)	−72.68	−55.20	−59.52
VaR (95%)	5.00	5.00	−57.79
CTE (99%)	−74.26	−55.84	−59.79
CTE (95%)	2.48	4.14	−58.93