Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Save to My Library
Look up keyword or section
Like this
1Activity

Table Of Contents

Introduction
1.1 Market risk
1.2 Capital guarantee
1.3 Purpose
1.4 Outline
Theoretical Background
2.1 Risk measures
2.1.1 Absolute lower bound
2.1.2 Value-at-Risk
2.3. Scenario based optimization
2.3 Scenario based optimization
2.3.1 Conditional Value-at-Risk
2.3.2 Minimum regret
2.4 Transaction costs
Financial Assets
3.1 Definition of a structured product
3.1.1 Dynamics
3.2. Zero-coupon bond
3.2 Zero-coupon bond
3.3 Plain vanilla call option
The Capital Protection Property
4.1 Capital guarantee
4.2 Naive fund constructions
4.2.1 Naive fund construction number 1
4.2.2 Naive fund construction number 2
4.2.3 Analysis and summary
4.2.4 Prevalent risk factors
4.3 Investigation of the option portfolio
4.3.1 Portfolio construction and modeling
4.3.2 Portfolios and results
4.3.3 Analysis and implications
4.4 Comparison with competition
4.4.1 Client base
4.4.2 Benchmark fund
4.4.3 Structured products fund 1
4.4.4 Scenarios
4.4.5 Results, structured products fund vs benchmark
4.4.6 Analysis and summary
4.4.7 Additional stress test
4.4.8 Backtesting
4.4.9 Structured products fund 2
4.5. Alternative definitions of capital protection
4.5 Alternative definitions of capital protection
4.5.1 Definition 1 - Absolute lower bound
4.5.2 Definition 2 - CVaR
Modeling Financial Assets
5.1 Volatility and option pricing
5.2 Index
5.3 Yield curve
5.4 A PCA model for the yield curve and index
5.4.1 Data set
5.4.2 PCA results
5.4.3 Historical simulation
5.4.4 Monte Carlo simulation
Portfolio Optimization
6.1 Fixed portfolio weights
6.2. Rolling portfolio weights
6.2 Rolling portfolio weights
6.3. Benchmark fund
6.3 Benchmark fund
6.4 Dynamic portfolio weights
6.4.1 Modifying the Korn and Zeytun framework
6.4.2 Dependence of the initial yield curve
6.4.3 Observed paths
6.5 Transaction costs
6.7 Backtesting
Conclusions
Bibliography
Naive fund constructions - Additional scenarios
Option portfolios - Additional portfolios
SPF vs Benchmark - Additional scenarios
Correlations between the market index and the yield curve
Optimization problem - Arbitrary start yield curve
0 of .
Results for:
No results containing your search query
P. 1
110131 b

110131 b

Ratings: (0)|Views: 34 |Likes:
Published by tsitos

More info:

Published by: tsitos on Apr 07, 2012
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

04/07/2012

pdf

text

original

You're Reading a Free Preview
Pages 4 to 87 are not shown in this preview.
You're Reading a Free Preview
Pages 91 to 111 are not shown in this preview.

You're Reading a Free Preview

Download
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->