Option-Implied Risk Measures: An Empirical Examination on the S&P500 Index

46 Pages Posted: 16 Apr 2018 Last revised: 12 Aug 2019

See all articles by Giovanni Barone-Adesi

Giovanni Barone-Adesi

University of Lugano; Swiss Finance Institute

Chiara Legnazzi

Swiss Finance Institute

Carlo Sala

ESADE Business School

Date Written: April 12, 2018

Abstract

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 VaR and CVaR, and compare them with classical risk measures for the S&P500 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.

Keywords: Option Prices, VaR and CVaR, Long and Short-term Risk Measures, S&P 500 Index

JEL Classification: G13, G32, D81

Suggested Citation

Barone-Adesi, Giovanni and Legnazzi, Chiara and Sala, Carlo, Option-Implied Risk Measures: An Empirical Examination on the S&P500 Index (April 12, 2018). International Journal of Finance and Economics, Forthcoming . Available at SSRN: https://ssrn.com/abstract=3162037 or http://dx.doi.org/10.2139/ssrn.3162037

Giovanni Barone-Adesi (Contact Author)

University of Lugano ( email )

Via Buffi 13
CH-6904 Lugano
Switzerland
+41 58 666 4671 (Phone)
+41 58 666 46 47 (Fax)

Swiss Finance Institute

c/o University of Geneva
40 Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Chiara Legnazzi

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Carlo Sala

ESADE Business School ( email )

Avenida de Torreblanca 59
Barcelona, Barcelona 08172
Spain

HOME PAGE: http://www.people.usi.ch/salaca

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