ACADSTAFF UGM
| Title | : | Delta normal and delta gamma normal approximation in risk measurement of portfolio consisted of option and stock |
| Author | : |
EVY SULISTIANINGSIH (1) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (2) Dr. Abdurakhman (3) |
| Date | : | 19 2019 |
| Keyword | : | derivative, normal, tail-loss derivative, normal, tail-loss |
| Abstract | : | Measuring risk of a portfolio comprising of multi assets such as option and stock by Value at Risk (VaR) will become more challenging because unlike stock price, value of an option has a nonlinear dependence on market risk factor. This paper considered to utilize Delta Normal and Delta Gamma Normal as a linear approach of the factor determining price of the assets. The methods use consecutively the expansion of first and second-order Taylor Series to approximate the profit loss, which is prominent to develop VaR of a multi-asset portfolio. As an application of these methods, this paper analyzed a portfolio comprising of one stock (Exxon Mobile Corporation (XOM)) and two options from two different enterprises, namely JD.com, Inc. (JD), and Eni. S.p. A (E). According to Kupiec Backtesting, it can be concluded that in this case, VaR Delta Normal and VaR Delta Gamma Normal Models provide a good risk measurement at some different confidence levels (90, 95, and 99 percent). |
| Group of Knowledge | : | |
| Level | : | Internasional |
| Status | : |
Published
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