Derivatives Overview

Overview

  • As the number one derivative pricing agency, KAP valuates various types of derivatives including OTC derivatives for major insurance companies, banks, securities companies and AMCs

Excellence in Service

Coverage

  • Continuously upgrade and application of pricing model
  • Validation from internal financial engineering center
  • Developed internally or through partnership with KAIST (Korea Advanced Institute of Science and Technology)
  • Review the new alternative model
  • Applying methods of the new market practices or logic quickly
  • Hybrid Exotic ELS/DLS, LGM Model, inflation swap and others

Years of Experiences

  • No.1 Derivative pricing agency in the domestic market
  • Consists of outstanding professionals and most various types of pricing models
  • Accumulated profound knowledge over the years
  • Prompt model development through internal research division and external advisory groups
  • Ability to solve various issues
  • Performed as Synthetic CDO Calculation Agent on Lehman Brothers Scandal
  • Provide advice on structural design, etc. to overseas SCDO issuance managers
  • Disisclosure of KRW CDS Indices (KCDX)
  • Official validation agency for HANA GTAA Index

Reliability

  • Market data verification through multiple resources; Bloomberg, Reuters, Infomax
  • Holds the most CDS market data and over 1,200 reference entity information
  • Application of same valuation methodology and standard for same type
  • Multiple verification stages before/after transmitting the price
  • Factorial analysis and ex-interest check for price volatility
  • Daily market based IRS/CRS validation analysis

Additional Services

  • Daily/Regular mark-to-market pricing data
  • Separation of embedded derivatives and footnote disclosure for Level III
  • Pre-valuation report for future investments
  • Calculation of risk indicators and simulation report
  • Embedded options analysis report
  • Seminars

Coverage

  • Valuation of various types of derivatives traded in the market
  • Development of new pricing models for newly developed financial products
  • Application of proper models by in-depth research and market feedbacks
Underlying Asset General Type Unique Type
Fixed Income IRS, Cap/Floor, Swaption, Structured, FRN
  • Synthetic Option(Straddle, Strangle, Butterfly, Condor)
  • Exotic(Range Option, Spread Option)
  • KTB linked swap, KTB Forward Contract
  • FRN(Callable Note, Spread Accrual Note, Range Accrual Not)
Stock Plain Vanilla Call/Put, Barrier Option, Digital Option , ELS, DLS
  • Cliquet Option, Equity Return linked Swap, Equity Swap, Total Return Swap 등
  • ELS/DLS(Step Down ELS/DLS, Power Step Down ELS/DLS, Digital ELS/DLS etc)
Credit CDS, Unfunded Synthetic CDO, CLN
  • Nth to Default CDS, Loan CDS
  • CLN : Single Name CLN, NtD CLN
  • CDO : CBO, CLO, SCDO
Commodity Plain Vanilla Call/Put, Barrier Option, Digital Option
  • Commodity Return Linked Swap/Option, Commodity Portfolio Return
  • Linked Swap/Option
Currency CRS, FX swap, FX Option
  • KIKO, Digital FX Option
Options CB, BW, EB
  • CB, BW, EB