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.
Keywords: option; bond; risk management.
Contents
- Characteristics of Criteria for Selecting Investment Projects under Uncertainty
Dan ARMEANU
Adrian ENCIU
Dorina POANTA
- Online Services Management Support
for an Intelligent Locality
Lorena BĂTĂGAN
Adrian POCOVNICU
- The Meanings of “Made in Romania”
among the Romanian Consumers
Cătălin Mihail BARBU
- Forms and Strategies of the Banks to Enter on a Foreign Market
Nicoleta HURDUC
Alin NIŢU
- The European Recovery Economic Plan and Quality
of Public Finances – Instruments for Monitoring
and Improving Fiscal and Economic Systems
Mircea SOROCEANU
Carolina Daniela LUPAŞCU (SOROCEANU)
- An Optimization of the Risk Management
using Derivatives
Ovidiu ŞONTEA
Ion STANCU
- Towards to the Respiritualization
of the Economics
Constantin POPESCU
Mihaela COMĂNESCU
- Financial Crisis from the Trust and Loss Aversion
Perspective in Emerging Romanian Capital Market
Antoniade-Ciprian ALEXANDRU
Nicoleta CARAGEA
- The Contribution of the Neo-Schumpeterian Approach
to the Development of the Economic Theory:
Emphasis on the Meso-Economic Level
Radu HERMAN
Remus AVRAM
- Dobrogea as Romanian Tourism Micro-destination
Aurelia-Felicia STĂNCIOIU
Nicolae TEODORESCU
Anca-Daniela VLĂDOI
Ion PÂRGARU
Daniel MOISE