An Optimization of the Risk Management using Derivatives
This article aims to provide a process that can be used in financial risk management by resolving problems of minimizing the risk measure (VaR) using derivatives products, bonds and options. This optimization problem was formulated in the hedging situation of a portfolio formed by an active and a pu...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2011-07-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/614.pdf
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| Summary: | This article aims to provide a process that can be used in
financial risk management by resolving problems of minimizing the risk
measure (VaR) using derivatives products, bonds and options. This
optimization problem was formulated in the hedging situation of a
portfolio formed by an active and a put option on this active, respectively
a bond and an option on this bond. In the first optimization problem we
will obtain the coverage ratio of the optimal price for the excertion of the
option which is in fact the relative cost of the option’s value. In the
second optimization problem we obtained optimal exercise price for a put
option which is to support a bond. |
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| ISSN: | 1841-8678 1844-0029 |