Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston and Variance-Gamma models.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/31059 |
| Date | 13 February 2020 |
| Creators | Ngwenza, Dumisani |
| Contributors | Mahomed, Obeid, Ouwehand, Peter |
| Publisher | Faculty of Commerce, African Institute of Financial Markets and Risk Management |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Masters Thesis, Masters, MPhil |
| Format | application/pdf |
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