The price risk of options positions: measurement and capital requirements
AbstractThis article evaluates supervisory approaches to the measurement and capital treatment of the price risk of options positions. The authors find that approximate value-at-risk rules tend to provide better estimates of potential losses than simple strategy-based rules. The value-at-risk rules are particularly effective when they adjust for nonlinear changes in options prices. The authors also consider the reporting burdens posed by the different approaches and the consistency of the rules with existing and proposed supervisory frameworks.
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Bibliographic InfoArticle provided by Federal Reserve Bank of New York in its journal Quarterly Review.
Volume (Year): (1994)
Issue (Month): Sum ()
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- Beate Reszat, 1997. "Sources of increasing systemic risk in international financial markets," Intereconomics: Review of European Economic Policy, Springer, vol. 32(5), pages 211-219, September.
- Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July.
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