A Novel Risk Management Model Based on the Real Options Concept

This paper proposes a novel solution to the risk management problem based on the real options concept. Global and scenario-dependent variables are mixed together and optimized in order to achieve global optimum according to company´s needs and targets. A special constraint set - maximum admissible risk levels- ensures the risk management environment. The resulting model corresponds to a stochastic non-linear integer programming problem and is solved by a customized algorithm, designed for efficiency and reliability. Possible extensions (targeting special markets customization) are straightforward and may be easily taken into account.