• DocumentCode
    2583446
  • Title

    Coherent risk measures by the option pricing method and the empirical study

  • Author

    Fan, Yulian ; Wang, Dongfang ; Li, Guodong

  • Author_Institution
    Sch. of Sci., North China Univ. of Technol., Beijing, China
  • fYear
    2010
  • fDate
    7-10 May 2010
  • Firstpage
    238
  • Lastpage
    242
  • Abstract
    The author considers the negative payoff sets, and constructs a coherent risk measure based on expected loss by the option pricing method. Analyze the credit risks of the corporate debt, we find that the payoffs of the creditor is like that of the put option seller. Therefore the credit risk measurement can be put in our risk measure model. We measure the credit risks of firms randomly chosen from the Shanghai Stock Exchange, and the result show that the risks calculated by our risk measure are consistent with the real behavior of the firms. So our risk measure is effective.
  • Keywords
    financial management; pricing; risk analysis; stock markets; Shanghai Stock Exchange; coherent risk measurement; corporate debt; credit risk measurement; credit risks analysis; option pricing method; risk measure model; Instruments; Loss measurement; Portfolios; Position measurement; Pricing; Reactive power; Risk analysis; Risk management; Stock markets; Tail; coherent risk measure; credit risk; newton-raphson iterative algorithm; option pricing model;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Electronic Computer Technology (ICECT), 2010 International Conference on
  • Conference_Location
    Kuala Lumpur
  • Print_ISBN
    978-1-4244-7404-2
  • Electronic_ISBN
    978-1-4244-7406-6
  • Type

    conf

  • DOI
    10.1109/ICECTECH.2010.5479937
  • Filename
    5479937