ABSTRACT

VaR and CVaR are the criteria commonly used to evaluate potential risk to investors. For risk management, buying or selling underlying assets is useful for hedging potential risk. But as to the index option, this method does not work because of the difficulty of absolutely hedging against the movement of the index. Fortunately, it is possible for investors to hold the risk within a certain range by using the option itself. This is called self-risk management in this chapter.