Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/178569 
Erscheinungsjahr: 
2016
Quellenangabe: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 9 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2016 [Pages:] 1-6
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
VaR
expected shortfall
put option
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