Journal Article
The price risk of options positions: measurement and capital requirements
Walter, Stefan; Shin, Soo; Hendricks, Darryll; Kambhu, John; Estrella, Arturo (1994-07)
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.
Quarterly Review , Volume 19 , Issue Sum , Pages 44-75

Report
Options positions: risk management and capital requirements
Hendricks, Darryll; Shin, Soo; Walter, Stefan; Estrella, Arturo; Kambhu, John (1994)
Research Paper , Paper 9415