Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach - This paper first suggests an algorithm for implementing the FRTB...

We review the main approaches to dynamically reallocate capital between a risky portfolio and a risk-free account: expected utility maximization; option-based portfolio insurance (OBPI); and drawdown control, closely related to constant proportion portfolio insurance (CPPI). We present a...

An increasingly important aspect of managerial finance, derivatives and risk management practices internationally can provide some important lessons. Issues in Sweden, Hong Kong, Singapore, the UK and the US are addressed in this e-book, along with references to exchange rate exposure, the use...