Sensitivity-based Conditional Value at Risk (SCVaR) : an efficient measurement of credit exposure for options
Year of publication: |
2022
|
---|---|
Authors: | Shi, Ruoshi ; Zhao, Yanlong ; Bao, Ying ; Peng, Cheng |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 62.2022, p. 1-19
|
Subject: | CVaR | VaR | Counterparty credit exposure | Greeks | Sensitivity | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Derivat | Derivative | Griechenland | Greece | Messung | Measurement | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | VAR-Modell | VAR model | Risikomanagement | Risk management |
-
The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan, (2015)
-
Credit risk calibration based on CDS spreads
Chao, Shih-kang, (2014)
-
S&P 500 index, an option-implied risk analysis
Barone-Adesi, Giovanni, (2018)
- More ...
-
Sample average approximation of CVaR-based hedging problem with a deep-learning solution
Peng, Cheng, (2021)
-
Explicit expressions to counterparty credit exposures for Forward and European Option
Li, Shuang, (2020)
-
Arbitrage-free conditions for implied volatility surface by Delta
Wang, Ximei, (2019)
- More ...