文章基本信息

标题：Credible Delta-Gamma-Normal Value-at-Risk for European Call Option Risk Valuation
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作者：Evy Sulistianingsih ; Dedi Rosadi ; Abdurakhman 等
期刊名称：Engineering Letters
印刷版ISSN：1816-093X
电子版ISSN：1816-0948
出版年度：2021
卷号：29
期号：3
页码：1026-1034
语种：English
出版社：Newswood Ltd
摘要：This paper formulates a new risk measure called ascredible delta-gamma-normal Value-at-Risk (CredDGN). CredDGN is a generalization of credible Value-at-Risk (CredVaR),which determines risk by combining CredVaR with deltagamma-normal VaR. This novel method is proposed as anappropriate tool for measuring European call option portfoliorisk because it considers the nonlinear dependence of themarket risk factors that determine a European call option valuebased on the Black-Scholes Formula. We apply this method toevaluate simulated financial data representing the profit/loss ofseveral assets over ten investment periods. The new methodis also utilized to analyze the risk of a portfolio composed ofthe active stocks which trade the options. Based on Kupiec’sbacktesting results, the performance of CredDGN effectivelymeasures the risk of an option portfolio at 80%, 90%, and95% confidence levels even when the profit/loss (P/L) is nonnormally distributed.
关键词：nonlinear; greek; taylor-approximation; derivative; portfolio