Basel II and the Risk Management of Basket Options with Time-Varying Correlations - Tapa blanda

Wong, Amy S.K.

 
9781249569930: Basel II and the Risk Management of Basket Options with Time-Varying Correlations
Tapa blanda
ISBN 10: 1249569931 ISBN 13: 9781249569930
Editorial: BiblioGov, 2012

Sinopsis

The impact of jumps, regime switches, and linearly changing correlation term structures on the risk management of basket options has been examined in this paper. First, the results show that there is an asymmetric correlation effect on the value-at-risk of basket options. Second, the time at which a correlation shock occurs during the life of an option is particularly important for hedged basket options. Finally, the square-rootof- time rule can lead to severe underestimation of value-at-risk for basket options with time-varying correlations - for some cases, even by a factor exceeding the minimum regulatory stress factor.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

The impact of jumps, regime switches, and linearly changing correlation term structures on the risk management of basket options has been examined in this paper. First, the results show that there is an asymmetric correlation effect on the value-at-risk of basket options. Second, the time at which a correlation shock occurs during the life of an option is particularly important for hedged basket options. Finally, the square-rootof- time rule can lead to severe underestimation of value-at-risk for basket options with time-varying correlations - for some cases, even by a factor exceeding the minimum regulatory stress factor.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
BiblioGov
Año de publicación
2012
Idioma
Inglés
ISBN 10 
1249569931
ISBN 13 
9781249569930
Encuadernación
Tapa blanda
Número de páginas
34
Contacto del fabricante
no disponible
Persona responsable
no disponible