Derivative portfolio risk management using a value-at-risk framework

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.

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Bibliographic Details
Published inProceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering (CIFEr) pp. 260 - 265
Main Author Carandang, R.
Format Conference Proceeding
LanguageEnglish
Published IEEE 1997
Subjects
Cost accounting
Instruments
Performance analysis
Portfolios
Predictive models
Pricing
Probability
Risk management
Timing
Uncertainty
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Summary: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.
ISBN:0780341333
9780780341333
DOI:10.1109/CIFER.1997.618946