This article proposes implied risk aversion as a rating methodology for retail structured products. Implied risk aversion is based on optimal expected utility risk measures as introduced by Geissel et al. (Stat Risk Model 35(1–2):73–87, 2017) and, in contrast to standard V@R-based ratings, takes into account both the upside potential and the downside risks of such products. In addition, implied risk aversion is easily interpreted in terms of an individual investor’s risk aversion: a product is attractive for an investor if his individual relative risk aversion is smaller than the product’s implied risk aversion. We illustrate our approach in a case study with more than 15,000 short-term warrants on DAX that highlights some differences between our rating system and the traditional V@R-based approach.

中文翻译：

---

隐含的风险规避：零售结构性产品的替代评估系统

本文提出了隐含风险规避作为零售结构性产品的评级方法。隐含的风险规避基于Geissel等人提出的最佳预期效用风险度量。（Stat Risk Model 35（1-2）：73-87，2017年），与基于V @ R的标准评级相反，它同时考虑了此类产品的上行潜力和下行风险。此外，隐含的风险规避很容易用个人投资者的风险规避来解释：如果产品的个人相对风险规避小于产品隐含的风险规避，则该产品对投资者有吸引力。我们在一个案例研究中说明了我们的方法，该案例研究包含DAX上超过15,000份短期认股权证，突出了我们的评级系统与基于V @ R的传统方法之间的某些差异。