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Found 1 from your keywords: subject="Risk management for a...
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Risk management for a bond using bond put options
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Griselda Deelstra1, Dries Heyman2, and Mich`ele Vanmaele3

This paper studies a strategy that minimizes the risk of a position in a zero coupon bond by buying a percentage of a put option, subject to a fixed budget available for hedging. We consider two popular risk measures: Value-at-Risk(VaR) and Tail Value-at-Risk (TVaR). We elaborate a formula for determining the optimal strike price for this put option in case of a Hull-White stochastic interes…

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