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

被引：0
|
作者：
Carandang, R
机构：
来源：
PROCEEDINGS OF THE IEEE/IAFE 1997 COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING (CIFER) | 1997年
关键词：
D O I：
10.1109/CIFER.1997.618946
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Hedging derivative portfolio risk using the Creeks (i.e. Delta, Gamma, Vega, etc.) is common. This paper presents an alternative or additional value-added approach to hedging downside risk by using a Value-at-Risk framework.
引用
收藏
页码：260 / 265
页数：6
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