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Analyzing and hedging structured products with Interactive Deformable Computer Graphics

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Abstract

In this article, Michael Mahlknecht and Konstantin Oppl present an innovative graphical analysis method, which enables to achieve a visualization of hidden risks in complex structured products, to perform real-time graphical dynamic hedging, to graphically calibrate volatility and correlation surfaces, and to set efficient limits for risk management.

Suggested Citation

  • Mahlknecht, Michael & Oppl, Konstantin, 2009. "Analyzing and hedging structured products with Interactive Deformable Computer Graphics," Journal of Financial Transformation, Capco Institute, vol. 26, pages 55-58.
  • Handle: RePEc:ris:jofitr:0016
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    Keywords

    Market risk; prepayment risk; default risk; trading; hedging; graphical dynamic hedging; structured products; risk management; simulation; visualization of risks; parameter calibration;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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