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

Wong, Amy S K

 
9781249569930: Basel II and the Risk Management of Basket Options with Time-Varying Correlations
Couverture souple
ISBN 10 : 1249569931 ISBN 13 : 9781249569930
Editeur : Bibliogov, 2012

Synopsis

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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Éditeur
Bibliogov
Date d'édition
2012
Langue
anglais
ISBN 10 
1249569931
ISBN 13 
9781249569930
Reliure
Broché
Nombre de pages
34
Coordonnées du fabricant
non disponible
Personne responsable
non disponible