Con preghiera di diffusione.

Seminario del Dipartimento di Informatica

venerdì 16 settembre 2016, Sala Verde, ore 15.00 (rinfresco 14.45, inizio seminario 15.00)

Giovanni Barone Adesi, Università della Svizzera italiana

"WTI Crude oil option implied VaR and CVaR: an empirical application"

Abstract

In a recent theoretical paper Barone Adesi (2015) shows how to extract the option implied VaR and CVaR. This is the fi rst empirical application of that paper. We extract the 2014-2015 daily option implied VaR and CVaR from the WTI crude oil future prices and the options written on it. Without relying on any distributional assumption we are able to backtest the CVaR values, thus proposing a coherent and elicitable risk measure. From a forecasting viewpoint a ratio of the two risk measures allows us to predict the probability density of jumps in the underlying price, which would have been unpredictable with standard inference methods.

Keywords: Option Prices, Risk Measures, Var and Cvar, Elicitability.

http://search.usi.ch/people/5be736fa2b7c09db295e1b3747f643b9/Barone-Adesi-Gi...

Contact Person: Luca Di Persio

__ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance

Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy

Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686