Option-implied risk measures: An empirical examination on the S&P 500 index

Giovanni Barone-Adesi, Chiara Legnazzi, Carlo Sala

Research output: Indexed journal article Articlepeer-review

6 Citations (Scopus)


The forward-looking nature of option market data allows one to derive economically based and model-free risk measures. This article proposes an extensive analysis of the performances of option-implied value at risk and conditional value at risk and compares them with classical risk measures for the S&P 500 index. Delivering good results both at short and long time horizons, the proposed option-implied risk metrics emerge as a convenient alternative to the existing risk measures.

Original languageEnglish
Pages (from-to)1409-1428
Number of pages20
JournalInternational Journal of Finance and Economics
Issue number4
Publication statusPublished - 1 Oct 2019
Externally publishedYes


  • S&P 500 index
  • long and short-term risk measures
  • option prices
  • option-implied VaR and CVaR


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