{"product_id":"basel-ii-and-the-risk-international-journal-of-central-banking-9781249569930","title":"Basel II and the Risk Management of Basket Options with Time-Varying Correlations","description":"The impact of jumps, regime switches, and linearly changing correlation term structures on the risk management of basket options has been examined in this paper. First, the results show that there is an asymmetric correlation effect on the value-at-risk of basket options. Second, the time at which a correlation shock occurs during the life of an option is particularly important for hedged basket options. Finally, the square-rootof- time rule can lead to severe underestimation of value-at-risk for basket options with time-varying correlations - for some cases, even by a factor exceeding the minimum regulatory stress factor.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e International Journal of Central Banking,Amy S. K. Wong\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 1249569931\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9781249569930\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Bibliogov\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 10\/01\/2012\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 34\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.18lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.69h x 7.44w x 0.07d","brand":"International Journal of Central Banking","offers":[{"title":"Paperback","offer_id":48449366065407,"sku":"9781249569930","price":15.75,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_fbcef348-cdf5-41c9-bd80-3b2171c3f6c5.jpg?v=1777263061","url":"https:\/\/www.whiterainbookhouse.com\/products\/basel-ii-and-the-risk-international-journal-of-central-banking-9781249569930","provider":"WR Book House","version":"1.0","type":"link"}