Journal of Derivatives and Quantitative Studies: 선물연구: Volume 24 Issue 3 , Open Access

An Empirical Study on Implied Volatility Skew Using PCA

Jin Woo Kim, Joon H. Rhee

This paper extracts the factors determining the implied volatility skew movements of KOSPI200 index options by applying PCA (Principal Component Analysis). In particular, we…

The Effect of NPS‘s FX Trading on Exchange Rate

Eun-a Im, Hyoung-goo Kang, Sang-gyung Jun

In June 2014, the asset under management of National Pension Service (NPS) of Korea reached over 444 trillion won. NPS forecasts that the asset size will gradually grow to around…

ELS Hedging Method based on CVaR Using Stocks Portfolio and Futures

Kyunghee Lee, Hyuncheul Lim, Youngsoo Choi

In this paper, we analyze the hedging risk intrinsic in the auto call step down equity linked securities (ELS) based on two underlying indices including HSCEI, which are major…

Controlling Shareholder‘s Self-dealings and Government Monitoring Game

Sehoon Kwon, Wi Saeng Kim

Following Zingales (1994) and Gilson (2006), this paper assumes that controlling shareholders have incentives to secretly transfer parts of corporate earnings to themselves, and…

The Information in Credit Default Swap Volume

Dongyoup Lee

This article examines the informational content of credit default swap (CDS) net notional for future stock and CDS prices. Using the information on CDS contracts registered in…

A Study on Retail Structured Product Market and Financial Regulation in Korea

Young Ho Eom, Woon Wook Jang, Seunghyun Kim

This study looks at the characteristics and current status of retail structured product market of Korea and tries to explain, in particular, issues related to issue price, cost of…