Research Article
Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities
Table 16
The ratio for mandatory redemption via the simulation results.
| | Index | (HSCEI, KOSPI 200) | (S&P 500, KOSPI 200) | (EURO STOXX 50, KOSPI 200) |
| | 1st | 35811 (71.62%) | 38802 (77.60%) | 35785 (71.57%) | | 2nd | 4779 (9.56%) | 4133 (8.27%) | 4727 (9.45%) | | 3rd | 2300 (4.60%) | 1895 (3.79%) | 2177 (4.35%) | | 4th | 1921 (3.84%) | 1627 (3.25%) | 1953 (3.91%) | | 5th | 978 (1.96%) | 758 (1.52%) | 900 (1.80%) | | 6th (mat) | 1630 (3.26%) | 1567 (3.13%) | 1919 (3.84%) | | Loss | 2581 (5.16%) | 1218 (2.44%) | 2539 (5.08%) |
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