2005-09-30Buch DOI: 10.18452/3418
Common Factors Governing VDAX Movements and the Maximum Loss
Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the term structure of "at the money" DAX options. We present a risk management tool for options portfolios using the "Maximum Loss" methodology based on Principal Components.
Dateien zu dieser Publikation
Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 97, SFB 373 Papers, ISSN:1436-1086