The price risk of options positions: measurement and capital requirements
Abstract: This article evaluates supervisory approaches to the measurement and capital treatment of the price risk of options positions. The authors find that approximate value-at-risk rules tend to provide better estimates of potential losses than simple strategy-based rules. The value-at-risk rules are particularly effective when they adjust for nonlinear changes in options prices. The authors also consider the reporting burdens posed by the different approaches and the consistency of the rules with existing and proposed supervisory frameworks.
File(s): File format is application/pdf http://www.newyorkfed.org/research/quarterly_review/1994v19/v19n2article2.pdf
Provider: Federal Reserve Bank of New York
Part of Series: Quarterly Review
Publication Date: 1994