Option‐implied risk measures: An empirical examination on the S&P 500 index

Autor:	Giovanni Barone-Adesi, Chiara Legnazzi, Carlo Sala
Rok vydání:	2019
Předmět:	Economics and Econometrics 050208 finance Actuarial science Index (economics) 05 social sciences Expected shortfall Empirical examination Accounting Option market 0502 economics and business Economics 050207 economics Finance Value at risk
Zdroj:	International Journal of Finance & Economics. 24:1409-1428
ISSN:	1099-1158 1076-9307
DOI:	10.1002/ijfe.1743
Popis:	The forward‐looking nature of option market data allows one to derive economically based and model‐free risk measures. This article proposes an extensive analysis of the performances of option‐implied value at risk and conditional value at risk and compares them with classical risk measures for the S&P 500 index. Delivering good results both at short and long time horizons, the proposed option‐implied risk metrics emerge as a convenient alternative to the existing risk measures.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2859cf59d2e6befc904b0ace067b2476 https://doi.org/10.1002/ijfe.1743 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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