University of St.Gallen
research platform alexandria
search publications
browse publications
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year

Common Factors Governing VDAX Movements and the Maximum Loss

Matthias Fengler, Wolfgang K. Härdle & Peter Schmidt

fulltext etc. no fulltext attached
abstract Based on daily VDAX data we analyse the factors governing the movements of implied volatilities of options on the German stock index DAX. We derive common factors representing shift and slope of the term structure of ATM implied volatilities. Further we present a risk management tool for option portfolios using the maximum loss concept and give empirical results.
   
type journal paper
   
keywords implied volatility, maximum loss, stress testing
   
language English
kind of paper journal article
date of appearance 1-1-2002
journal Financial Markets and Portfolio Management
publisher Springer
ISSN 1555-4961
DOI 10.1007/s11408-002-0102-1
volume of journal 16
number of issue 1
page(s) 16-29
review double-blind review
   
citation Fengler, M., Härdle, W. K., & Schmidt, P. (2002). Common Factors Governing VDAX Movements and the Maximum Loss. Financial Markets and Portfolio Management, 16(1), 16-29, DOI:10.1007/s11408-002-0102-1.