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

doi:10.1016/j.najef.2022.101781

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	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
	2022-11-01
发表期刊	NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
ISSN	1062-9408
卷号	62 页码:19
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.
关键词	Counterparty credit exposure VaR CVaR Sensitivity Greeks
DOI	10.1016/j.najef.2022.101781
收录类别	SCI
语种	英语
WOS研究方向	Business & Economics
WOS类目	Business, Finance ; Economics
WOS记录号	WOS:000856904500007
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/60912
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.