Μοντελοποίηση του λειτουργικού κινδύνου μέσω της οικονομικής αντασφάλισης από δικαιώματα προαίρεσης
Operational risk of option pricing
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Abstract
Purpose of this work is the study of operational risk and the effort to model it through option hedging. Using various studies and examples, we will indicate that operational risk represents an essential factor in option hedging, which will be displayed using an appropriate model. Especially at the beginning, we will consider an exposure indicator for the operational risk of option hedging, and the resulting distribution for operational risk modeling. Moreover, we will prove analytical results for various risk measures including the equation of Value at Risk (VaR). Subsequently, we will be led to a new and very important result related to the quantile function of the half-normal distributions. In addition, we will define an analytical solution for option pricing under operational risk. Finally, we will derive analytical results based on empirical option data, so as to assess the effectiveness of the model but also to evaluate the value of VaR for option hedging.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
78Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές