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Market Risk and Model Risk for a Financial Institution Writing Options
Company: Journal of Finance
Year Of Publication: 1999
Month Of Publication: August
Pages: 35
Download Count: 6
View Count: 1467
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-30-2010
Publisher: Administrator
Summary
Derivatives valuation and risk management involve heavy use of quantitative models. To develop a quantitative assessment of model risk as it affects the basic option writing strategy that might be followed by a financial institution, we conduct an empirical simulation, with and without hedging, using data from 1976 to 1996.
(volume 54, number 4)
Author(s)
Figlewski, Stephen Sign in to follow this author
Green, T. Clifton Sign in to follow this author
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