Smile Risk: Difference between revisions
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Latest revision as of 18:38, 28 January 2020
Definition
Smile Risk is the risk of a change in an Implied Volatility parameter necessary for determination of the value of an instrument with optionality relative to the implied volatility of other instruments optionality with the same underlying and maturity, but different moneyness[1]
References
- ↑ Minimum capital requirements for market risk, BCBS D352
