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Option‐implied risk measures: An empirical examination on the S&P 500 index

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  • Giovanni Barone‐Adesi
  • Chiara Legnazzi
  • Carlo Sala

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.

Suggested Citation

  • Giovanni Barone‐Adesi & Chiara Legnazzi & Carlo Sala, 2019. "Option‐implied risk measures: An empirical examination on the S&P 500 index," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1409-1428, October.
    • Handle: RePEc:wly:ijfiec:v:24:y:2019:i:4:p:1409-1428
    DOI: 10.1002/ijfe.1743
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    References listed on IDEAS

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