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

Wong, Amy S K

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

Inhaltsangabe

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.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Bibliogov
Erscheinungsdatum
2012
Sprache
Englisch
ISBN 10 
1249569931
ISBN 13 
9781249569930
Einband
Taschenbuch
Anzahl der Seiten
34
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Nicht verfügbar