Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options

doi:10.1016/j.najef.2022.101781

	Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options
	Shi, Ruoshi 1,2; Zhao, Yanlong 1,2; Bao, Ying 3; Peng, Cheng 1,2
刊名	NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
	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
出版者	ELSEVIER SCIENCE INC
WOS记录号	WOS:000856904500007
内容类型	期刊论文
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.