Risk

Tom Hyer

Chapter 15 in Derivatives Algorithms:Volume 1: Bones, 2015, pp 307-315 from World Scientific Publishing Co. Pte. Ltd.

Abstract: To manage a derivatives book, we must measure its exposure to market prices and to less observable parameters – its risks – systematically and accurately. If we are to retain flexibility of models, or aggregate risks which are not all measured using the same models, we must ensure that risk is not mapped to model-specific parameters. Thus we emphasize the creation of uniform specifications of a change to a model, which describe a market rather than a model-specific change. Models have the responsibility of responding appropriately to changes thus described; we then think of risk computation as mostly a process of repeated valuation with a series of slightly different models.

Keywords: Derivatives; Quantitative; Numerical; Code Generation; C++; C++11; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Extensibility (search for similar items in EconPapers)
Date: 2015
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