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

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

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...

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Bibliographic Details
Main Authors: BARONE-ADESI, Giovanni, FINTA, Marinela Adriana, LEGNAZZI, Chiara, SALA, Carlo
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Backtest
Elicitability
Option prices
VaR and CVaR
Agribusiness
Economics
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/2280
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3279&context=soe_research
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2280
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3279&context=soe_research

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