Title :
Derivative portfolio risk management using a value-at-risk framework
Author :
Carandang, Renato
Author_Institution :
The First Nat. Bank of Chicago, IL, USA
Abstract :
Hedging derivative portfolio risk using the Greeks (i.e. Delta, Gamma, Vega, etc.) is common. The paper presents an alternative or additional value-added approach to hedging downside risk by using a value-at-risk framework
Keywords :
Monte Carlo methods; financial data processing; investment; risk management; stock markets; derivative portfolio risk hedging; derivative portfolio risk management; downside risk hedging; value-added approach; value-at-risk framework; Cost accounting; Instruments; Performance analysis; Portfolios; Predictive models; Pricing; Probability; Risk management; Timing; Uncertainty;
Conference_Titel :
Computational Intelligence for Financial Engineering (CIFEr), 1997., Proceedings of the IEEE/IAFE 1997
Conference_Location :
New York City, NY
Print_ISBN :
0-7803-4133-3
DOI :
10.1109/CIFER.1997.618946
