A carregar...
Publicação
Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 2.53 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Value-at-Risk Autocall option Portfolio Delta Portfolio Gamma Delta-Gamma Value-at-Risk