Basel II and the Risk Management of Basket Options with Time-Varying Correlations - Softcover
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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- PublisherBibliogov
- Publication date2012
- ISBN 10 1249569931
- ISBN 13 9781249569930
- BindingPaperback
- Number of pages34
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Basel II and the Risk Management of Basket Options with Time-Varying Correlations
Published by
Bibliogov
(2012)
ISBN 10: 1249569931
ISBN 13: 9781249569930
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Softcover
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Book Description Condition: New. Seller Inventory # ABLING22Oct2517050313669
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Basel II and the Risk Management of Basket Options with Time-Varying Correlations
Published by
BiblioGov
(2012)
ISBN 10: 1249569931
ISBN 13: 9781249569930
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Softcover
Quantity: > 20
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Rating
Book Description Condition: New. KlappentextThe 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 . Seller Inventory # 6486696
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