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Options positions: risk management and capital requirements


  • Arturo Estrella
  • Darryll Hendricks
  • John Kambhu
  • Soo Shin
  • Stefan Walter


No abstract is available for this item.

Suggested Citation

  • Arturo Estrella & Darryll Hendricks & John Kambhu & Soo Shin & Stefan Walter, 1994. "Options positions: risk management and capital requirements," Research Paper 9415, Federal Reserve Bank of New York.
  • Handle: RePEc:fip:fednrp:9415

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    References listed on IDEAS

    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    2. Ceglowski, Janet, 1991. "Intertemporal substitution in import demand," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 118-130, March.
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    Cited by:

    1. Andrew Powell & Veronica Balzarotti, 1997. "Capital Requirements for Latin American Banks in Relation to their Market Risks: The Relevance of the Basle 1996 Amendment to Latin America," Research Department Publications 4072, Inter-American Development Bank, Research Department.
    2. Andrew Powell & Veronica Balzarotti, 1997. "Requisitos de capital de los bancos latinoamericanos en relación con sus niveles de riesgo de mercado: importancia de la Enmienda de Basilea de 1996 para América Latina," Research Department Publications 4073, Inter-American Development Bank, Research Department.
    3. Ming-Yuan Leon Li & Hsiou-wei William Lin, 2004. "Estimating value-at-risk via Markov switching ARCH models - an empirical study on stock index returns," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 679-691.

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    Options (Finance) ; Risk;


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