Abstract
In this contribution we develop a profit & loss-dependent, continuous market risk budgeting approach for financial institutions. Based on standard modelling of financial market stochastics we provide a method of risk limit adjustment adopting the idea of synthetic portfolio insurance. Due to varying the strike price of an implicit synthetic put option we are able to keep within limits accepting a certain default probability. © Springer-Verlag Berlin, Heidelberg 2005.
Cite
CITATION STYLE
Straßberger, M. (2005). Continuous market risk budgeting in financial institutions. In Studies in Classification, Data Analysis, and Knowledge Organization (pp. 466–473). Kluwer Academic Publishers. https://doi.org/10.1007/3-540-28084-7_54
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