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

Table 15

Risk measures for the ELS (indirect investment) via the simulation results.

Index	(HSCEI, KOSPI 200) (%)	(S&P 500, KOSPI 200) (%)	(EURO STOXX 50, KOSPI 200) (%)
VaR (99%)	−69.27	−56.20	−73.94
VaR (95%)	−45.83	5.00	−45.47
CTE (99%)	−78.08	−65.54	−85.09
CTE (95%)	−60.82	−56.37	−62.93