환율 연계 파생결합증권에 대한 연구: 발행현황 및 환율 프로세스를 중심으로

Abstract

Purpose - This study aims to explore the issuance trend of exchange rate based derivative linked securities and the relationship between the profitability of the products and the process of their underlying assets, thereby understanding the importance of determining appropriate data ranges used in estimating the process. Design/methodology/approach - Domestic DLS market data, ranging from april 2006 to september 2024, is obtained from seibro.or.kr and the issuance trend of the exchange rate based DLS is analyzed based on it. Pertaining to the estimation of the process of underlying assets, nonparametric kernel estimation is applied to several data ranges. Using the results, future paths of won/dollar exchange rates are generated and the probabilities of maturity redemption are calculated. Findings - The recovery of the exchange rate based DLS market are driven by the private offering and most of the recent products are based on won/dollar exchange rate with rather short maturity of 3-month. The estimated processes of won/dollar exchange rates qualitatively differ by the setting of the data ranges, so it seems important to figure out structural changes in exchange rate dynamics.When the data range becomes fall apart from the issuance timing of the products with payoff structure specific to that period, the probabilities of maturity redemption remarkably decrease. Research implications or Originality - The empirical results indicate that properly determining data ranges for the estimation of the underlying asset’s process is crucial in evaluating the appropriateness of the payoff structures and the profitability of the products.