SPX-VIX Risk Computations Via Perturbed Optimal Transport
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A Swiss finance-focused summary: Researchers have developed a model-independent framework for generating risk scenarios for the S&P 500 (SPX) and Volatili
SPX-VIX Risk Computations Via Perturbed Optimal Transport
A Swiss finance-focused summary:
Researchers have developed a model-independent framework for generating risk scenarios for the S&P 500 (SPX) and Volatility Index (VIX) based on their market smiles. This framework, grounded in optimal transport theory, enables the computation of risk sensitivities without requiring a full recalibration after market shocks. The approach has implications for Swiss banks and financial institutions, which can leverage this method to better quantify and manage risk in their portfolios. By utilizing this framework, Swiss fintech companies may also develop more sophisticated risk management tools and AI-driven solutions for the financial sector.
Source
Original Article: SPX-VIX Risk Computations Via Perturbed Optimal Transport
Published: March 11, 2026
Author: Charlie Che
This article was automatically aggregated from ArXiv Computational Finance for informational purposes. Summary written by AI.
References
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Original Source
This article is based on SPX-VIX Risk Computations Via Perturbed Optimal Transport (ArXiv Computational Finance)
