An Optimization of the Risk Management using Derivatives

This article aims to provide a process that can be used in financial risk management by resolving problems of minimizing the risk measure (VaR) using derivatives products, bonds and options. This optimization problem was formulated in the hedging situation of a portfolio formed by an active and a put option on this active, respectively a bond and an option on this bond. In the first optimization problem we will obtain the coverage ratio of the optimal price for the excertion of the option which is in fact the relative cost of the option’s value. In the second optimization problem we obtained optimal exercise price for a put option which is to support a bond.