Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options

Detalhes bibliográficos
Autor(a) principal: Peters, Sven
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/161195
Resumo: Banco Invest offers various over-the-counter (OTC) derivatives to institutional clients as part of its structured investment solutions. These derivatives are managed within the bank’s Proprietary Trading Book. The focus of this consulting project is developing a Delta-Gamma Value-at-Risk (VaR) model that Banco Invest can implement to actively manage its equity derivative portfolio`s underlying risks. The first part contains the estimation of the portfolio delta and gamma. The second part consists of the quadratic approximation to calculate the portfolio standard deviation. In the last section, the authors calculate the Delta-Gamma Value at-Risk and provide recommendations to Banco Invest.
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spelling Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall optionsValue-at-RiskAutocall optionPortfolio DeltaPortfolio GammaDelta-GammaValue-at-RiskDomínio/Área Científica::Ciências Sociais::Economia e GestãoBanco Invest offers various over-the-counter (OTC) derivatives to institutional clients as part of its structured investment solutions. These derivatives are managed within the bank’s Proprietary Trading Book. The focus of this consulting project is developing a Delta-Gamma Value-at-Risk (VaR) model that Banco Invest can implement to actively manage its equity derivative portfolio`s underlying risks. The first part contains the estimation of the portfolio delta and gamma. The second part consists of the quadratic approximation to calculate the portfolio standard deviation. In the last section, the authors calculate the Delta-Gamma Value at-Risk and provide recommendations to Banco Invest.D’arienzo, DanieleRUNPeters, Sven2023-12-13T12:28:47Z2022-01-112022-01-112022-01-11T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/161195TID:203312015enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:44:02Zoai:run.unl.pt:10362/161195Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:58:25.314361Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options
title Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options
spellingShingle Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options
Peters, Sven
Value-at-Risk
Autocall option
Portfolio Delta
Portfolio Gamma
Delta-Gamma
Value-at-Risk
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options
title_full Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options
title_fullStr Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options
title_full_unstemmed Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options
title_sort Banco invest consulting project: delta-gamma value-at-risk model for portfolio of autocall options
author Peters, Sven
author_facet Peters, Sven
author_role author
dc.contributor.none.fl_str_mv D’arienzo, Daniele
RUN
dc.contributor.author.fl_str_mv Peters, Sven
dc.subject.por.fl_str_mv Value-at-Risk
Autocall option
Portfolio Delta
Portfolio Gamma
Delta-Gamma
Value-at-Risk
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Value-at-Risk
Autocall option
Portfolio Delta
Portfolio Gamma
Delta-Gamma
Value-at-Risk
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Banco Invest offers various over-the-counter (OTC) derivatives to institutional clients as part of its structured investment solutions. These derivatives are managed within the bank’s Proprietary Trading Book. The focus of this consulting project is developing a Delta-Gamma Value-at-Risk (VaR) model that Banco Invest can implement to actively manage its equity derivative portfolio`s underlying risks. The first part contains the estimation of the portfolio delta and gamma. The second part consists of the quadratic approximation to calculate the portfolio standard deviation. In the last section, the authors calculate the Delta-Gamma Value at-Risk and provide recommendations to Banco Invest.
publishDate 2022
dc.date.none.fl_str_mv 2022-01-11
2022-01-11
2022-01-11T00:00:00Z
2023-12-13T12:28:47Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/161195
TID:203312015
url http://hdl.handle.net/10362/161195
identifier_str_mv TID:203312015
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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