In a recent theoretical paper Barone Adesi (2015) shows how to extract the option implied VaR and CVaR. This is the first empirical application of that paper. We extract the 2014-2015 daily option implied VaR and CVaR from the WTI crude oil future prices and the options written on it. Without relying on any distributional assumption we are able to backtest the CVaR values, thus proposing a coherent and elicitable risk measure. From a forecasting viewpoint a ratio of the two risk measures allows us to predict the probability density of jumps in the underlying price, which would have been unpredictable with standard inference methods.
Keywords: Option Prices, Risk Measures, Var and Cvar, Elicitability.
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