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Maximum Loss Calculation Using Scenario Analysis, Heavy Tails and Implied Volatility Patterns
Company: Swedish School of Economics and Business Administration
Company Url: Click here to open
Year Of Publication: 2000
Month Of Publication: December
Pages: 26
Download Count: 824
View Count: 9810
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-30-2004
Publisher: Administrator
Summary
The objective of this paper is to imporve option risk monitoring by examining the information content of implied volatility and by introduction the calculation of a single-sum expected risk exposure similar to Value-at-Risk.
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Ronnie Soderman Sign in to follow this author
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