S&P 500 Index, an Option-Implied Risk Analysis

Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
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Giovanni Barone-Adesi: Swiss Finance Institute
Chiara Legnazzi: Swiss Finance Institute
Carlo Sala: ESADE Business School and University of Lugano

No 18-29, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: The forward-looking nature of option market data allows one to derive economically-based and model-free conditional risk measures. The option-implied methodology is a tool for regulators and companies to perform external or internal risk analysis without posing assumptions on the distribution of returns. The article proposes the first comprehensive and extensive analysis of the performances of these measures compared with classical risk measures for the S&P500. Delivering good results both at short and long time horizons, the option-implied estimates emerge as a convenient alternative to the existing risk measures.

Keywords: Option Prices; VaR and CVaR; Long and Short-term Risk Measures; S&P 500 Index (search for similar items in EconPapers)
JEL-codes: D81 G13 G32 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2018-04
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1829

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