Research On Measuring The Option Risk By Expected Shortfall

With VaR method research own limitation appearing gradually, scholars have pointed out criticisms and revisions, among which Coherence Risk Measurement is the most powerful comment to the VaR method. Expected Shortfall which is in this foundation to expect the insufficient risk measure has brought to people's attention. T But at present, research in our country only stays on measuring market risk of the traditional financial inshlunent. According to measuring market risk of financial derivative market, especially the research of measuring risk of the option risk, research in our country just stagnates in introducing the foreign researcher's achievements, and there are some mistakes among them, so it demands innovation urgently in both theory and practice. In addition, because of no option market in our country at present, this paper as perspective research can provide certain reference for finance derived product researcher and designer of our country on the theory and practice.This paper is on the basis of studying domestic and international option pricing and financial market risk management theory, using the major method of measuring the risk of financial market at present --ES, studies the market risk of the option overall, has made some break-throughs in two respects of the theory and real example.By introducing the option and development of option market and analyzing the characteristic of several kinds of typical options, this paper clearly points out several important factors which influence the option price, and indicates the market risk of the option and deduces call option risk formula by expected shortfall. Using the closing price of zhaoshangzhengquan between March 17, 2003 and September 6, 2006, which add up to 801 data, this paper studies on simulation option. Finally, the paper analyses the result and concludes the ES formulae derived out in the paper are more excellent in measuring the market risk of option.