Model risk and market risk for a financial institution writing options
碩士 === 淡江大學 === 財務金融學系 === 88 === Derivatives valuation and risk management involves heavy use of quantitative models. But models are imperfect, and option models also require a volatility forecast, that is subject to error. This creates model risk to which nearly all participants in derivatives m...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/82827000661141960442 |