基于蒙特卡洛模拟法测算远期汇率的风险价值

针对用宏观经济变量与汇率之间的关系来推测未来的汇率存在的不足,采用几何布朗运动来描述汇率变化,在此基础上推导出风险价值VaR模型,采取蒙特卡洛模拟方法预测美元兑人民币远期汇率的VaR,得出未来汇率的波动范围,由此可以算出外汇资产或投资在一定概率下的未来最大损失。结果表明,蒙特卡洛模拟法很好地将未来的汇率包含在预测范围内,能够为投资者和机构决策提供参考。

Calculation VaR of future foreign exchange rate based on Monte Carlo simulation

Early studies often predicted future foreign exchange rate through the relation between macroeconomics and foreign exchange rate itself.Based on the assumption that the volatility of foreign exchange rate can be described with Geometric Brownian motion,this paper deduces the VaR model and uses Monte Carlo simulation to calculate the VaR of RMB forwards,and result in the fluctuatingrange of future exchange rate.Through this way we can predict,under the certainprobability rate,the largest loss we would bear in future on the foreign exchange assets or investments.The result shows that VaR predicted by Monte Carlo simulation can cover the range of future foreign exchange rate very well,thus providing advice for investors and institutions decision-makers.