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Found 1 from your keywords: author="Stephen Figlewski,T. C...
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Market Risk and Model Risk For a Financial Institution Writing Options
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Stephen Figlewski,T. Clifton Green

Trading in derivatives involves heavy use of quantitative models for valuation and risk management. These models are necessarily imperfect, and when options are involved, the models require a volatility input that must be forecasted, subject to error. This creates “model risk” to which nearly all participants in derivatives markets are exposed. In this paper, we conduct an empirical sim…

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