Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel

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dc.contributor.advisor Mr. C.H. van Schalkwyk en_US
dc.contributor.author Goosen, Eugene
dc.date.accessioned 2012-08-28T09:27:31Z
dc.date.available 2012-08-28T09:27:31Z
dc.date.issued 2012-08-28
dc.date.submitted 1996
dc.identifier.uri http://hdl.handle.net/10210/6752
dc.description M.Comm. en_US
dc.description.abstract ffntroduction Measuring and evaluating risks are essential in a dynamic derivative market to minimize risks. The management of risks in the derivative market is complex due to the non-linear properties of option pricing Method of study The a first step of the study analyzed the "greek" derivatives of a single option contract (e.g. delta, gamma, vega, theta). The next step was to combine and analyze the derivatives of various option contracts. The study pointed out that the risk profile can be amended by combining option contracts. A risk measurement and evaluation model was constructed by creating a table that will simulate option prices at different time horizons and at different market prices. The model will also simulate all the derivatives of options in a table form at different time horizons and at different market prices. The model finally used the tables to reflect the results graphically. Findings The last section of the study was devoted to scenario simulation to identify risks. Firstly the management of the delta was analyzed, and the use of the gamma to identify delta sensitivity was illustrated. The management of the vega was addressed next. The study showed that a combination of options can minimize the risk of vega. The effect of theta or the time value of a option was illustrated and linked to both gamma and vega. The study demonstrated that the results of volatile movements in the market can be simulated by combining the derivatives of options (e.g. add the deltas of options together), and to stress test the strategy. "What if' scenarios can be simulated to illustrate the effect on a current position combined with some amendments. en_US
dc.language.iso afr en_US
dc.subject Risk assessment en_US
dc.subject Pricing en_US
dc.subject Portfolio management en_US
dc.title Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel en_US
dc.type Thesis en_US

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