Using a tractable extension of the Leland (1985) model, we study how a delta-hedging strategy can realistically be implemented using market and limit orders in a centralized, automated market-making desk that integrates trading and liquidity provision for both options and their underlyings. In...

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...