基于汇率回报厚尾性的外汇期权组合非线性VaR模型  

Measure Model of Non-linear VaR about FX Options Portfolio Based on Heavy-tailed Exchange Rate Returns

作　　者：陈荣达[1] 马庆国[2] 孙元[2] 

机构地区：[1]浙江财经学院金融学院,浙江杭州310018 [2]浙江大学管理学院,浙江杭州310058

出　　处：《管理工程学报》2009年第3期115-119,84,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70771099);中国博士后科学基金资助项目(20070421167);浙江省哲学社会科学规划资助项目(07CGLJ009YBG)

摘　　要：为了克服多元厚尾分布情形下的非线性VaR数值计算的困难,本文将重要抽样技术发展到多元t-分布情形下的外汇期权组合非线性VaR模型中,通过对市场变量回报分布进行概率测度的指数变化,在相应区域产生更多的样本,使得该情形下不再是稀有事件Monte Carlo模拟,从而减少Monte Carlo模拟计算工作量,更精确地估计出组合的损失概率。数值结果表明该算法比常用Monte Carlo模拟法的计算效率更有效,且能很大程度上减少所要估计的损失概率的方差。To overcome the difficulty in non-linear VaR calculation under heavy-tailed exchange rate returns, the paper proposes that importance sarnping technique is developed upto non-linear VaR model of FX option portfolio when exchange rate returns have multivariate t distribution. Producing more sames in corresponding region through exponential change of measure of distribution of market factors returns, this makes the state not be rare event simulation. Accordingly, this decreases calculating effort in Monte Carlo simulation. Moreover, the loss probability of portfolio is estimated precisely. The simulation result shows the algorithm has more much effectiveness of computational efficiency than the standard Monte Carlo simulation, and can lead to large variance reductions when estimating the loss probability of portfolio.

关 键 词：外汇期权 多元t-分布 MONTE CARLO模拟 重要抽样技术 

分 类 号：F830.91[经济管理—金融学]