Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options
文献类型：期刊论文
| 作者 | Shi, Ruoshi1,2; Zhao, Yanlong1,2; Bao, Ying3; Peng, Cheng1,2 |
| 刊名 | NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
 |
| 出版日期 | 2022-11-01 |
| 卷号 | 62页码:19 |
| 关键词 | Counterparty credit exposure VaR CVaR Sensitivity Greeks |
| ISSN号 | 1062-9408 |
| DOI | 10.1016/j.najef.2022.101781 |
| 英文摘要 | Counterparty Credit Risk (CCR) has received extensive attention in the Over-The-Counter (OTC) derivative markets. This paper proposes a credit risk exposure measurement for European options: Sensitivity-based Conditional Value at Risk (SCVaR), which can cover the future credit risk by a stable sensitivity weight, and improve the accuracy of risk tracking in most cases. Compared with VaR and CVaR, SCVaR has superiority in extensibility, computational efficiency and stability. We further derive the tendency and upper bound of sensitivity weights, consequently obtaining a practical value of price weight for long-term stability. The simulation and empirical analysis in the Chinese options market also show good applicability of SCVaR. The risk exposures are efficiently covered during periods of fluctuation, which alleviates the procyclicality to some extent. These results provide a useful guidance for the development of financial risk management. |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000856904500007 |
| 出版者 | ELSEVIER SCIENCE INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/60911]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zhao, Yanlong |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, KLSC, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 3.Ind & Commercial Bank China, Beijing 100032, Peoples R China |
| 推荐引用方式 GB/T 7714 | Shi, Ruoshi,Zhao, Yanlong,Bao, Ying,et al. Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,2022,62:19. |
| APA | Shi, Ruoshi,Zhao, Yanlong,Bao, Ying,&Peng, Cheng.(2022).Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options.NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,62,19. |
| MLA | Shi, Ruoshi,et al."Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options".NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 62(2022):19. |
入库方式： OAI收割
来源：数学与系统科学研究院
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