Estrella, Arturo; Hendricks, Darryll; Kambhu, John; … - In: Quarterly Review (1994) Sum, pp. 44-75
This article evaluates supervisory approaches to the measurement and capital treatment of the price risk of options positions. The authors find that approximate value-at-risk rules tend to provide better estimates of potential losses than simple strategy-based rules. The value-at-risk rules are...