Theoretical and Applied Economics
No. 7 / 2011 (560)
An Optimization of the Risk Management using Derivatives
Bucharest Academy of Economic Studies
Ion STANCU
Bucharest Academy of Economic Studies
Abstract. This article aims to provide a process that can be used in financial risk management by resolving problems of minimizing the risk measure (VaR) using derivatives products, bonds and options. This optimization problem was formulated in the hedging situation of a portfolio formed by an active and a put option on this active, respectively a bond and an option on this bond. In the first optimization problem we will obtain the coverage ratio of the optimal price for the excertion of the option which is in fact the relative cost of the option’s value. In the second optimization problem we obtained optimal exercise price for a put option which is to support a bond.
Contents
Characteristics of Criteria for Selecting Investment Projects under Uncertainty
Online Services Management Support for an Intelligent Locality
The Meanings of “Made in Romania” among the Romanian Consumers
Forms and Strategies of the Banks to Enter on a Foreign Market
Effects of Macroeconomic Variables on the Stock Market: The Case of the Czech Republic
The European Recovery Economic Plan and Quality of Public Finances – Instruments for Monitoring and Improving Fiscal and Economic Systems
An Optimization of the Risk Management using Derivatives
Towards to the Respiritualization of the Economics
Financial Crisis from the Trust and Loss Aversion Perspective in Emerging Romanian Capital Market
The Contribution of the Neo-Schumpeterian Approach to the Development of the Economic Theory: Emphasis on the Meso-Economic Level
Dobrogea as Romanian Tourism Micro-destination
The Rethinking of the Economic Activity Based on Principles of Eco-Efficiency
The Correlation between the Conceptual System of the Political Economy and that of the Accountancy – a Solution for Reducing the Risks Connected to the Administration Activities in any Stage of the Economic