The paper analyzes the sensitivity of the downside risk of a standard derivatives portfolio to a change in the mean-reversion level of its underlyings. From Monte-Carlo simulation, it is found that the higher the intensity of mean-reversion, the lower the probability of reaching a predetermined...

We analyze the sensitivity of the downside risk of a standard derivatives' portfolio to a change of the mean-reversion level of its underlyings. In a Monte-Carlo simulation, we find that the higher the intensity of mean-reversion, the lower the probability of reaching a pre-determined loss...

Derivatives are at the very heart of the recent financial disasters, and the surveillance of their downside risk is of paramount importance both to practitioners and regulators. We survey and present original managerial methods to efficiently control the downside risk of derivatives portfolios....