Market Risk and Model Risk for a Financial Institution Writing Options
Company: Journal of Finance
Year Of Publication: 1999
Month Of Publication: August
Pages: 35
Download Count: 2
View Count: 36
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-30-2010
Publisher: Administrator
Summary
Derivatives valuation and risk management involve heavy use of quantitative models. To develop a quantitative assessment of model risk as it affects the basic option writing strategy that might be followed by a financial institution, we conduct an empirical simulation, with and without hedging, using data from 1976 to 1996.
(volume 54, number 4)
(volume 54, number 4)
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model risk estimation error options
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VaR Methods——Evaluation/Comparison
model risk estimation error options
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VaR Methods——Evaluation/Comparison
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