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Korean Journal of Financial Studies 2015;44(5):947-995.
Published online December 31, 2015.
Changes in Interest Rate Term Structures and Derivatives-Linked Securities
Hyeon Wuk Tae, Bong Gyu Jang, Sang Gyu Lim
금리 기간구조 변화와 한국 금리연계 파생결합상품 투자자 보호에 대한 소고
태현욱, 장봉규, 임상규
Recently, the US Federal Reserve has ended quantitative easing program due to their improved economic states, so that the interest rates in the US markets are likely to rise soon. Obviously, this change will have a substantial effect on bond markets around the world, it is important to protect investors who invested in interest rate derivatives. In this paper, we introduce two stress test tools on long positions on the Korean DLS (derivative-linked security) written on interest rates: sensitivity analysis and scenario analysis. We choose carefully several representative DLSs issued in 2013 and 2014 and test them. We show that the values of some DLSs are quite sensitive to market condition changes and have potential to deteriorate profitability of the investors. This implies the investors should reduce their risk exposure and the regulatory authorities should take proactive responses to possibility of the arguments about incomplete sales between institutional issuers and individual investors.
Key Words: 금리 위험,금리연계 파생결합상품,민감도 분석,스트레스 테스트,시나리오 분석,Interest Rate Risk,Interest Rate Structured Note,Scenario Analysis,Sensitivity Analysis,Stress Test
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