Nonlinear VaR Model of FX Options Portfolio Based on Importance Sampling Technique

摘要：

To overcome the difficulty in estimating low probability, the paper proposes that importance sampling technique is developed upto non-linear VaR model of FX option portfolio. Producing more samples in corresponding region by changing expectation vector and covariance matrix 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. Precise estimation of loss probability of portfolio is a prerequisite to calculating VaR, which is a percentile of the loss distribution. 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： FX option portfolio Delta-Camma-Theta model Monte Carlo simulation Importance sampling technique

作者: Rongda Chen Jinrong Lu

作者单位: School of Finance, Zhejiang University of Finance and Economics, Hangzhou, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 386-390

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）