• DocumentCode
    1919387
  • Title

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

  • Author

    Carandang, Renato

  • Author_Institution
    The First Nat. Bank of Chicago, IL, USA
  • fYear
    1997
  • fDate
    23-25 Mar 1997
  • Firstpage
    260
  • Lastpage
    265
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/CIFER.1997.618946
  • Filename
    618946
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1919387