Sensitivity-based Conditional Value at Risk (SCVaR) : an efficient measurement of credit exposure for options
Ruoshi Shi, Yanlong Zhao, Ying Bao, Cheng Peng
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101781 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013539080