Credible Delta Normal Value at Risk for Risk Evaluation of European Call Option
Penulis/Author
EVY SULISTIANINGSIH (1); Prof. Dr.rer.nat. Dedi Rosadi, S.Si.,, M.Sc. (2); Prof. Dr. Abdurakhman, S.Si., M.Si. (3)
Tanggal/Date
1 2023
Kata Kunci/Keyword
Abstrak/Abstract
This paper develops a Credible Delta Normal Value at Risk (CredDN) as a method to assess the options risk. The me-
thod is constructed by combining Credible Value at Risk (CrVaR) with Delta Normal VaR. The new method is in-
itiated as an alternative instrument to measure the European call option portfolio risk. Using the Black-Scholes For-
mula, the new method contemplates the nonlinear dependence of the market risk factors specifying the value of a Eu-
ropean call option. Then, utilizing simulated financial data that represents assets profit/loss over ten investment pe-
riods, we applicate the proposed method for analysis. The novel method is also employed to assess the portfolio’s risk
consisting of the active stocks which are involved in option trading. The performance of CredDN in this study is eva-
luated by administering Kupiec backtesting. The results of Kupiec backtesting suggest that the proposed method ef-
fectively quantifies the risk of each option constructing a portfolio at 80%, 90%, and 95% confidenc
