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Analysis of Two Methods of Systemic Risk Measurement Based on Option

Peng Wang 1 Mingjia Xie 1 
1 Southwestern University of Finance and Economics [Chengdu, China]
Abstract : This paper makes a comparison and analysis about those two main systemic risk measurement methods based on option. Through the comparison and analysis in 5 aspects, more knowledge about each method can be discovered including its advantages and disadvantages. Some conclusions about extensions of credit risk measurement methods can also be included in this paper.
Keywords : Systemic risk measurement contingent claim analysis option-iPoD
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IFIP | IFIP-AICT | IFIP-TC | IFIP-WG | IFIP-TC6 | IFIP-WG6-11 | IFIP-I3E | IFIP-AICT-445

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Peng Wang, Mingjia Xie. Analysis of Two Methods of Systemic Risk Measurement Based on Option. 13th Conference on e-Business, e-Services and e-Society (I3E), Nov 2014, Sanya, China. pp.346-357, ⟨10.1007/978-3-662-45526-5_32⟩. ⟨hal-01342165⟩

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