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Delta-gamma value-at-risk model for - portfolio of digital options
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 2.03 MB | Adobe PDF |
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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-tt-risk portfolio Delta gamma