주가연계증권(ELS) 투자 위험요인에 관한 연구

In Korea, equity-linked securities (ELS) are one of the representative financial investment products, popular with investors. However, it is difficult to find research that comprehensively analyzes the investment risk factors of ELS from the perspective of investors or sellers. This study used a Monte Carlo simulation and the finite difference method to empirically analyze the investment risk according to changes in the input variables to calculate the theoretical price of ELS. A statistical analysis was conducted on five stock indices mainly used as underlying assets to determine that the ELS Investment risk factors were comprehensively identified. The results of the analysis can be summarized as follows: First, the higher the volatility of the underlying assets of the ELS, the higher the coupon yield, but the investment risk also increases. Second, as the number of underlying assets in the ELS increases, the coupon yield increases, but the possibility of maturity loss also increases. Third, the lower the correlation coefficient between the underlying assets, the lower the theoretical price of the ELS. Fourth, because ELS investors are selling put options, the risk of loss increases if the future volatility of the underlying asset rises. Fifth, since ELS is a financial investment product with a significant possibility of investment loss, it is necessary to diversify the investment timing. The significance of this study is that it attempted to comprehensively understand the investment risk factors of complex ELS and explain them from the perspective of investors or sellers of ELS.