Einmahl, John H.J.; Foppen, Walter N.; Laseroms, Olivier W. - In: Journal of Risk Finance 6 (2005) November, pp. 382-387
Purpose – It is the purpose of this article to improve existing methods for risk management, in particular stress testing, for derivative portfolios. The method is explained and compared with other methods, using hypothetical portfolios. Design/methodology/approach – Closed form option...