Publicação
Delta-gamma value-at-risk model for - portfolio of digital options
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | D’Arienzo, Daniele | |
| dc.contributor.author | Gajewski, Tim | |
| dc.date.accessioned | 2023-07-28T13:44:05Z | |
| dc.date.available | 2023-07-28T13:44:05Z | |
| dc.date.issued | 2023-01-11 | |
| dc.date.submitted | 2022-01-11 | |
| dc.description.abstract | Banco Invest offers various over-the-counter (OTC) derivatives to institutional clients as part of its structured investment solutions. These derivatives are managed within the bank’s Proprietary Trading Book. The focus of this consulting project is developing a Delta-Gamma Value-at-Risk (VaR) model that Banco Invest can implement to actively manage its equity derivative portfolio`s underlying risks. The first part contains the estimation of the portfolio delta and gamma. The second part consists of the quadratic approximation to calculate the portfolio standard deviation. In the last section, the authors calculate the Delta-Gamma Value-at-Risk and provide recommendations to Banco Invest. | pt_PT |
| dc.identifier.tid | 203312007 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/155939 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | UID/ECO/00124/2013 | pt_PT |
| dc.subject | Value-tt-risk portfolio Delta gamma | pt_PT |
| dc.title | Delta-gamma value-at-risk model for - portfolio of digital options | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |