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

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.