Banco invest consulting project «Delta-Gamma value-at-risk model for - portfolio of indicap options

Detalhes bibliográficos
Autor(a) principal: Saidowsky, Christopher Carl
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/10362/162538
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 indicap optionsValue-at-riskIndicap optionPortfolio deltaPortfolio gammaDelta-gamma value-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.RUNSaidowsky, Christopher Carl2024-01-19T16:51:59Z2023-04-182022-01-112023-04-18T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/162538TID:203312023enginfo: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:RCAAP2024-03-11T05:45:30Zoai:run.unl.pt:10362/162538Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:58:58.258459Repositório 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 indicap options
title Banco invest consulting project «Delta-Gamma value-at-risk model for - portfolio of indicap options
spellingShingle Banco invest consulting project «Delta-Gamma value-at-risk model for - portfolio of indicap options
Saidowsky, Christopher Carl
Value-at-risk
Indicap 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 indicap options
title_full Banco invest consulting project «Delta-Gamma value-at-risk model for - portfolio of indicap options
title_fullStr Banco invest consulting project «Delta-Gamma value-at-risk model for - portfolio of indicap options
title_full_unstemmed Banco invest consulting project «Delta-Gamma value-at-risk model for - portfolio of indicap options
title_sort Banco invest consulting project «Delta-Gamma value-at-risk model for - portfolio of indicap options
author Saidowsky, Christopher Carl
author_facet Saidowsky, Christopher Carl
author_role author
dc.contributor.none.fl_str_mv RUN
dc.contributor.author.fl_str_mv Saidowsky, Christopher Carl
dc.subject.por.fl_str_mv Value-at-risk
Indicap option
Portfolio delta
Portfolio gamma
Delta-gamma value-at-risk
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Value-at-risk
Indicap 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
2023-04-18
2023-04-18T00:00:00Z
2024-01-19T16:51:59Z
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/10362/162538
TID:203312023
url http://hdl.handle.net/10362/162538
identifier_str_mv TID:203312023
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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