【摘要】 对于包含期权等非线性头寸的投资组合来说 ,其 Va R(Vaultat Risk)计算 ,通常是利用二阶或高阶泰勒展开式来近似投资组合在特定时期内相对于市场变量的价值变化 ,即所谓的 Delta- Gamma模型(简称 DGN模型 ) ,然后针对这个模型来进行 Va R计算。本文所提出的矩匹配方法是解决这一问题的普遍方法。且同时试图用 Chi- squared分布来拟合投资组合回报 ,运用矩匹配估计方法求得 Chi- squared分布的相应的未知参数 ,且得到的 Va R值与局部 Monte- Carlo模拟进行了比较。更多还原

【Abstract】 VaR methods based on a Delta model are unlikely to be robust when applied to the portfolio including nonlinear positions. We commonly used a moment matching method with the DGN model and calculated the VaR. In this paper, we tried to use a Chi squared distribution to fit the data. It is a simple method to acquire some fractiles when compared with the Monte Carlo method.But it needs a solution of a system of nonlinear simultaneous equations.更多还原