Il giorno martedì 19 dicembre alle ore 14.30, presso la aula demografica del DISMEQ al secondo piano dell'edificio U7 della Università di Milano-Bicocca, il dott. Carlo Sala dell'ESADE di Barcellona terrà un seminario su

S&P 500 Index, an Option-Implied Risk Analysis

Abstract

The forward-looking nature of option market data allows one to derive economically-based and model-free conditional risk measures. The option-implied methodology overcomes the elicitability issue and is an interesting tool for regulators and companies to perform external or internal risk analysis without posing assumptions on the distribution of returns. The article proposes the first comprehensive analysis of the performances of these measures compared with classical risk measures for the S&P500. The option-implied estimates deliver good results during the financial crisis and emerge as a convenient alternative to the existing risk measures.

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