| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6158 |
| 来源ID | Working Paper 6158 |
| Optimal Risk Management Using Options | |
| Dong-Hyun Ahn; Jacob Boudoukh; Matthew Richardson; Robert F. Whitelaw | |
| 发表日期 | 1997-09-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper addresses the question of how an institution might optimally manage the market risk of a given exposure. We provide an analytical approach to optimal risk management under the assumption that the institution wishes to minimize its Value-at-Risk (VaR) using options follows a geometric Brownian. The optimal solution specifies the VaR-minimizing level of moneyness of the option as a function of the asset's distribution, the risk-free rate, and the VaR hedging period. We find that the optimal strike of the put is independent of the level of expense the institution is willing to incur for its hedging program. The costs associated with a suboptimal choice of exercise price, in terms of either the increased VaR for a fixed hedging cost or the increased cost to achieve a given VaR, are economically significant. Comparative static results show that the optimal strike price of these options is increasing in the asset's drift, decreasing in its volatility for most reasonable parameterizations, decreasing in the risk-free interest rate, nonmonotonic in the horizon of the hedge, and increasing in the level of protection desired by the institution (i.e., the percentage of the distribution relevant for the VaR). We show that the most important determinant is the conditional distribution of the underlying asset exposure; therefore, the optimal exercise price is very sensitive to the relative magnitude of the drift and diffusion of this exposure. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w6158 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563666 |
| 推荐引用方式 GB/T 7714 | Dong-Hyun Ahn,Jacob Boudoukh,Matthew Richardson,et al. Optimal Risk Management Using Options. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6158.pdf（874KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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