| 基于多元t-分布的外汇期权市场风险非线性VaR度量模型 |
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| 引用本文： | 陈荣达,王韬,肖德云. 基于多元t-分布的外汇期权市场风险非线性VaR度量模型[J]. 管理工程学报, 2006, 20(1): 58-61 |
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| 作者姓名： | 陈荣达 王韬 肖德云 |
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| 作者单位： | 华中科技大学管理学院,湖北,武汉,430074 |
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| 摘 要： | 主要研究当汇率回报呈多元t-分布时,对于外汇期权非线性头寸的VaR(Value at Risk)度量的问题.在推导出多个外汇期权的投资组合的二次近拟的矩母函数表达式基础上,本文使用傅里叶变换、切比雪夫不等式、数值转换计算求出投资组合的VaR的值,并和基于多元正态分布Comish-Fisher模型以及基于Delta-正态模型计算所得的VaR值了进行比较.这种方法克服了厚尾分布的VaR计算的困难.
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| 关 键 词： | 外汇期权 VaR 厚尾分布 多元t-分布 矩母函数 |
| 文章编号： | 1004-6062(2006)01-0058-04 |
| 修稿时间： | 2004-03-12 |
Measuring Model of the Non-Linear VaR about Market Risk of FX Options Based on Multivariate t Distributions |
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| CHEN Rong-da,WANG Tao,XIAO De-yun. Measuring Model of the Non-Linear VaR about Market Risk of FX Options Based on Multivariate t Distributions[J]. Journal of Industrial Engineering and Engineering Management, 2006, 20(1): 58-61 |
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| Authors: | CHEN Rong-da WANG Tao XIAO De-yun |
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| Abstract: | This paper develops efficient method for computing the non-linear VaR of FX options when the exchange rate returns have multivariate t distributions.In modeling heavy tails,we focus on multivariate t distributions and derive the moment generating function of the quadratic approximation.Then we use Fourier transform,Chebychev's Inequality and numerical technique inversion to approximate VaR value of portfolio,compared with Cornish-Fisher Expansions normal model and Delta-Normal model.This method overcomes difficulties associated with non-linear VaR calculation with heavy-tailed exchange rate returns. |
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| Keywords: | FX options VaR heavy-tailed distribution multivariate t distribution moment generating function |
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