In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … simulation results on model risk show that the locally risk-minimizing hedges are robust with respect to uncertainty and even … misconceptions about the underlying data generating process. The empirical study indicates that locally risk-minimizing hedge …

calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss … the application of stochastic approximation methods in risk management.Keywords …