The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile
基于连续时间资产定价模型，研究VaR风险管理对股票和期权价格的影响，发现其虽降低市场波动，但可能增加极端损失概率，并导致期权价格出现波动率微笑。
Value‐at‐risk (VaR) has become the standard criterion for assessing risk in the financial industry. Given the widespread usage of VaR, it becomes increasingly important to study the effects of VaR based risk management on the prices of stocks and options. We solve a continuous‐time asset pricing model, based on Lucas (1978) and Basak and Shapiro (2001), to investigate these effects. We find that the presence of risk managers tends to reduce market volatility, as intended. However, in some cases VaR risk management undesirably raises the probability of extreme losses. Finally, we demonstrate that option prices in an economy with VaR risk managers display a volatility smile.