Option‐implied risk measures: An empirical examination on the S&P 500 index
利用期权市场数据的远期特性，推导出经济上合理且无模型的风险度量，并实证检验期权隐含在险价值和条件在险价值在标普500指数上的表现，发现其在短长期均优于传统风险度量。
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 value at risk and conditional value at risk and compares them with classical risk measures for the S&P 500 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.