Next Article in Journal
Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market
Next Article in Special Issue
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
Previous Article in Journal / Special Issue
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions
Article Menu

Export Article

Open AccessArticle

VaR and CVaR Implied in Option Prices

The Swiss Finance Institute at the Università della Svizzera italiana, 6904 Lugano, Switzerland
Academic Editors: Stefan Mittnik and Marc S. Paolella
J. Risk Financial Manag. 2016, 9(1), 2;
Received: 16 November 2015 / Revised: 25 January 2016 / Accepted: 12 February 2016 / Published: 29 February 2016
(This article belongs to the Special Issue Advances in Modeling Value at Risk and Expected Shortfall)
PDF [189 KB, uploaded 29 February 2016]


VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications. The computation of CVaR from option price is very convenient, because this measure is not elicitable, making direct comparisons of statistical inferences from market data problematic. View Full-Text
Keywords: VaR; expected shortfall; put option VaR; expected shortfall; put option
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

Share & Cite This Article

MDPI and ACS Style

Barone Adesi, G. VaR and CVaR Implied in Option Prices. J. Risk Financial Manag. 2016, 9, 2.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top