Common Factors Governing VDAX Movements and the Maximum Loss
Journal
Financial Markets and Portfolio Management
ISSN
1555-4961
ISSN-Digital
2373-8529
Type
journal article
Date Issued
2002-03-01
Author(s)
Abstract
Based on daily VDAX data we analyse the factors governing the movements of implied volatilities of options on the German stock index DAX. We derive common factors representing shift and slope of the term structure of ATM implied volatilities. Further we present a risk management tool for option portfolios using the maximum loss concept and give empirical results.
Language
English
Keywords
implied volatility
maximum loss
stress testing
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Swiss Society for Financial Market Research
Publisher place
Zürich
Volume
16
Number
1
Start page
16
End page
29
Pages
14
Subject(s)
Eprints ID
86947