파생상품을 이용한 투자전략 개발 연구

다국어 초록 (Multilingual Abstract)

This paper consists of two subjects. The first study analyzes the intrinsic hedging
risk in the auto call step down equity linked securities (ELS) based on underlying
indices including HSCEI, which are major products of the ELS market. Then it
proposes new hedging strategies based on Conditional Value at Risk (CVaR) using
stocks portfolio and futures.
Due to the non-symmetric bimodal return distribution of ELS, which comes
from the Knock-In (KI) property inherent in step down ELS structure, and the inherent shortfall risk in the ELS structure, a local delta hedging strategy has a limit.
In addition, hedging using futures is difficult because of 1) frequent roll-over related
with HSCEI futures, 2) price gap between underlying index and futures and 3) lack
of futures liquidity caused by excessively issuing ELS based on HSCEI. As a way
to deal with these problems, this paper proposes new hedging strategies : First step is to construct a stocks portfolio which tracks index using the method suggested by
Rockafellar and Uryasev (2002), Alexander, Coleman and Li (2006). Second step is
to hedge using stocks portfolio and futures.
It shows that 1) an index-tracking stocks portfolio based on CVaR has a better
performance and lower shortfall risk than index in the evaluation using market ratio,
information ratio and Sharpe ratio, and 2) hedging using stocks portfolio is better
than hedging using futures. As one of the policy proposals, if ETF, which tracks the
underlying indices of ELS based on CVaR, is listed on the exchange (KRX), various
kinds of mid-risk/mid-return structured products will be developed further, and also
hedging will be easy to manage.
The second study analyzes the strategy benchmark indices using the options.
First it compares the returns and risk of three covered call indices (KOSPI200 Covered
Call ATM, KOSPI200 Covered Call OTM and KOSPI200 PutWrite ATM) and
KOSPI200 ProtectivePut Index and analyzes the causes of the excess return. All
of the covered call indices had higher returns, lower volatility and higher Sharpe
ratio(and Sortino ratio) than KOSPI200. In particular, PutWrite ATM Index outperformed
largely with an annual return of 11.76%, compared to 5.48 % of the KOSPI
200 index during the analysis period. As a result of comparing skew of return distributions,
the covered call indices have changed from negatively skewed distribution
to symmetrical distribution over time. As time went by, the standard deviation in
return decreased and the kurtosis was increased, which resulted in a characteristic
that most of the return was concentrated close to the average. The reason why the
covered call indices performed well was that the implied volatility of options was
higher than the realized volatility. The implied volatility of at-the-money call options was 0.54% pt high on average, whereas that of at-the-money put options was
3.08% pt high, significantly influencing the outperformance of the PutWrite Index.
The reason for the high implied volatility is the imbalance in supply and demand in
the options market, where there are only many buyers of options to hedge against
a decline. Option sellers have no reason to sell if the price is not high enough to
compensate for the loss that would be caused by a sudden rise in volatility.
Implied volatility is not merely a current expectation of future realized volatility,
but rather can be seen as a prediction that reflects the tail-risk intrinsic in future
realized volatility. As the market is currently experiencing a low level of volatility,
implied volatility of options is expected to be higher than realized volatility, and
risk-adjusted outperformance in covered call indices is expected to continue.

목차 (Table of Contents)

• 제 1 장 서 론 1
• 1.1 연구 배경 1
• 1.2 연구 목적 7
• 1.3 선행연구 9
• 제 2 장 CVaR를 활용한 ELS 헤징방법 13
• 2.1 지수형 ELS 기초자산의 특징 및 헤징관련 이슈 18
• 2.1.1 변동성 분석 22
• 2.1.2 유동성 분석 24
• 2.1.3 지수 대비 선물가격 괴리율 분석 27
• 2.2 구조에 따른 수익률 분포 분석 28
• 2.3 헤징 이슈 33
• 2.4 ELS 헤징 전략 36
• 2.4.1 기존 헤징 방법 : 파생상품 포트폴리오의 CVaR 최소화 36
• 2.4.2 헤지펀드 운용과 스텝다운형 ELS의 비교 39
• 2.4.3 CVaR를 활용한 지수 추적 (Index Tracking) 포트폴리오 구성방법 42
• 2.5 헤징 방법에 따른 실증 분석 44
• 2.5.1 현물을 이용한 CVaR 기반 지수 추적 (Index Tracking) 실증분석 44
• 2.5.2 현물 포트폴리오 및 선물을 이용한 CVaR 기반 헤징방법 실증분석 49
• 2.6 소결 및 정책 제안 53
• 제 3 장 커버드콜 전략지수 56
• 3.1 커버드콜 투자전략 56
• 3.2 데이터 59
• 3.3 전략지수의 산출 59
• 3.3.1 코스피200 커버드콜 ATM 지수 60
• 3.3.2 코스피200 커버드콜 OTM 지수 62
• 3.3.3 코스피200 풋매도 ATM 지수 63
• 3.3.4 코스피200 프로텍티브풋 OTM 지수 64
• 3.3.5 코스피200 총수익지수 65
• 3.3.6 코스피200 선물지수 65
• 3.3.7 코스피200 선물총수익지수 66
• 3.4 성과분석 66
• 3.4.1 성과의 측정 66
• 3.4.2 장기성과 68
• 3.4.3 수익률 분포 특성 70
• 3.4.4 투자로 인한 수익을 모두 반영한 성과 분석 77
• 3.4.5 변동성에 따른 성과분석 85
• 3.4.6 성과요인 분석 89
• 3.4.7 회귀분석 102
• 3.4.8 VAR 분석 104
• 제 4 장 결 론 112
• 4.1 연구결과 요약 및 논의 112
• 4.2 연구의 한계점 및 향후 연구 방법 114
• 참고 문헌 116
• Abstract 127

참고문헌 (Reference)

1 임성원(Sung Won Lim), 빈기범(Ki Beom Binh), 박도현(Do Hyun Pak), "보이지 않는 "ELS 그림자 위험"", 한국증권학회, 「 한국증권학 회지」, 45, 1, , 35–60, 2016

2 최병욱, "KOSPI 200 주가지수 선물과 옵션의 헤지효과", 한국파생상품학회, 「선물연구」, 21, 3, , 275–305, 2013

3 구본일, 지현준, 엄영호, "“주가연계예금 가치평가 모형에 대한 실증연구”", 「재무연구」, 20, 1, , pp. 155–186, 2007

4 김선웅, "KOSPI 200 주가지수옵션시장에서 커버드콜전략의 헷징효과", 경성대학교 산업개발연구소, 「 산업혁신연구」, 31, 3, , pp. 27–42, 2015

5 이경희, 최영수, 임현철, "현물포트폴리오 및 선물을 이용한 CVaR 기반 ELS 헤징 방법", 한국파생상품학회, 「선물 연구」, 24, 3, , 423–455, 2016

6 최영수 ( Young Soo Choi ), 임현철 ( Hyuncheul Lim ), "ELS 발행 및 헤지에 따른주식시장의 영향과 녹 -인 효과 연구", 한국파생상품학회(구 한국선물학회), 「선물 연구」, 23, 2, , 289–321, 2015

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8 윤선중, "“투자자 보호를 위한 구조화상품의 규제방안에 대한 연구,”", 한국재무학회, 「재무 연구」, 25, 4, , 521–557, 2012

9 이병근, 황상원, "“VKOSPI와 실현변동성을 이용한 변동성 위험프리미엄의 동태적 추정”", 한국경제통상학회, 「경제연구」, 제 32권 제3호, , 1–18, 2014

10 박준영, 현종석, "“거래비용을 고려하여 주가연계증권을 헤징할 때 발생하는 비용과 위험의 상쇄효과에 대한 시뮬레이션 연구”", 「선물연구」, 17, 2, , pp. 1–47, 2009