He also designed and built a global FX option risk
system for another bank.
Investors should also note that the risk factors titled "Put Option Risk
," "Equity Risk" and "Implied Volatility Risk" concern the features of the Fund from which the Fund expects to derive its investment return.
However, most depository institutions have significant exposure to option risk
embedded within many classes of financial assets and liabilities, which makes effective duration a more precise method when preparing the re-pricing gap analysis.
Exotics, Strategies, Greeks and Managing Option Risk
in a Trading Book on March 18 is an advanced course that looks at tools for calculating risk positions and composite derivatives strategies.
6 percent and receiving something less than 60 basis points net of taxes for the short option risk
A fee is not necessarily the way to go, yet it is an option risk
managers should be aware of," remarked Karen Miller, risk manager of LSI Logic Corp.
Additionally, equity option traders and risk managers can now analyse and automatically manage their risk exposure using an included option risk
Part 4: Further Topics Option Pricing Option Risk
Management CDS Pricing and Credit Risk Management.
Volatility ratings, which range from lowest volatility ('S1', with certain funds designated with a plus sign (+) to indicate the fund's extremely low sensitivity to changing market conditions) to highest volatility ('S6'), are based on an analysis of a fund's investment strategy and portfolio level risk, including interest-rate risk, credit quality, liquidity, concentration, call and option risk
, and currency risk.
Module 3: Introduction to the Options Markets Preface Overview of options Option pay-off profile Types of options Option trading strategies Option risk
Case study: market makers Answers to exercises
The option risk
measurements, focusing on the most active options contracts, display real-time market options prices with their underlying futures prices and corresponding implied volatility.
In a step-by-step fashion, making extensive use of real world cases and examples, it explains money markets, foreign exchange, bond markets, cash equity markets, equity valuation techniques, swaps, forwards, futures, credit derivatives, options, option risk
management and convertible bonds.