Posts Tagged ‘skew

03
Aug
11

Paper: #in Merton Model

Marking systemic portfolio risk with the Merton model

The downside risk of a portfolio of assets is generally substantially higher than the downside risk of its components. In times of crisis, when assets tend to have high correlation, the understanding of this difference can be crucial in managing the systemic risk of a portfolio.
In this article, Alex Langnau and Daniel Cangemi generalise Merton’s option formula in the presence of jumps to the multi-asset case. The methodology provides a new way to mark and risk-manage the  systemic risk of portfolios in a systematic way.

Link al Paper

______________________

A esta lectura, le sumaria este paper del 2006.


			
30
May
10

La mueca del VIX

Adam Warner tiene breve post sobre la mueca (skew) del VIX y la percepción de los cambios en el mismo (el VIX) desde el mercado de opciones.

(…)

The VIX uses a set formula based on the volatility of each qualifying SPX option. It normalizes to create a 30-day option, so it will incorporate the two nearest expiration cycles, up until the nearer one gets within eight days of expiration, at which time it leaves the calculation.

(…)

The next thing it does is weigh the options such that closer strikes carry more weight. And that’s where skew comes into play.

(…)

What I’m trying to say is that many of these VIX tweaks are simply mathematical. Skew is on the high side right now, so the effect is particularly pronounced at the moment. But for a guy simply trading SPX options and not caring about the VIX, he would not detect any change in volatility.




Fun & Finance

Vimeo

Fun & Finance Rollover

Contacto

informes@qfclub.com.ar
"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

Powered by

May 2020
M T W T F S S
 123
45678910
11121314151617
18192021222324
25262728293031

Categorias

Archivo

Ingrese su dirección de email para suscribirse a este blog y recibir las notificaciones de nuevos posts via email

Join 35 other followers

Web Analytics Clicky