WTI crude oil option implied VaR and CVaR: An empirical application

• المؤلفون الرئيسيون: BARONE-ADESI, Giovanni, FINTA, Marinela Adriana, LEGNAZZI, Chiara, SALA, Carlo
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2019
• الموضوعات: Backtest; Elicitability; Option prices; VaR and CVaR; Agribusiness; Economics; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/6976; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7977/viewcontent/WTI_Crude_Oil_VaR_CVar_sv.pdf

Using option market data we derive naturally forward-looking, non-parametric and model-free risk estimates, three desired characteristics hardly obtainable using historical returns. The option-implied measures are only based on the first derivative of the option price with respect to the strike pric...