INDUSTRIALIZATION OF DERIVATIVE DESIGN: INTEGRATED RISK MANAGEMENT WITH THE FINANCIAL INFORMATION SYSTEM WARRANT-PRO-2
Risk management is essential in a modern financial services industry. Derivative instruments like options have a particular status. Appropriate derivatives allow financial service providers to redistribute risks towards others. The process of creating customer tailored derivatives is not wellinvestigated today. With the financial information system (FIS) WARRANT-PRO-2 derivative prices are computed for given payments. The deviation, for example, from a predefinable Delta of an option can be minimized. Automatic creation of optimally synthesized options is very promising for buyer and seller. An example is presented to show the easy process of creating a customer tailored option.
Mettenheim, Hans-Jörg von and Breitner, Michael H., "INDUSTRIALIZATION OF DERIVATIVE DESIGN: INTEGRATED RISK MANAGEMENT WITH THE FINANCIAL INFORMATION SYSTEM WARRANT-PRO-2" (2009). Wirtschaftsinformatik Proceedings 2009. 104.