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

Wong, Amy S K

 
9781249569930: Basel II and the Risk Management of Basket Options with Time-Varying Correlations
Brossura
ISBN 10: 1249569931 ISBN 13: 9781249569930
Casa editrice: Bibliogov, 2012

Sinossi

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.

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Editore
Bibliogov
Data di pubblicazione
2012
Lingua
Inglese
ISBN 10 
1249569931
ISBN 13 
9781249569930
Rilegatura
Copertina flessibile
Numero di pagine
34
Contatto del produttore
non disponibile
Persona responsabile
non disponibile