两种外汇期权市场风险非线性VaR计算方法

引入金融参数Delta、Gamma、Theta，将外汇期权近似表达式拓展成Delta-Gamma-Theta模型(简称DGT模型)，分别运用了Cornish-Fisher方法、Fourier-Inversion方法来计算外汇期权组合的风险度，并且对各自估计出的结果进行了比较分析，结果表明Comish-Fisher方法计算简单，且能很快地计算出结果，而Fourier-Inversion比Cornish-Fisher方法更合理地度量VaR值，是一个较好的度量外汇期权风险的方法。

Two ways of computing nonlinear VaR about market risk of FX options

Measuring the risk based a Delta Model is unlikely to be robust when applied to the portfolio containing non-linear FX_options. In this paper we introduce finance parameter: Delta, Gamma, Theta, and develop an approximate expression of the change in the value of FX options and extend it into Delta-Gamma-Theta model. Then we use Cornish-Fisher and Fourier-Inversion approach to compute VaR value of portfolio, and compare each model. The gained result indicates that the Cornish-Fisher way is simple in the process of computation and gets quickly the VaR value, however, the Fourier-Inversion way is more reasonable to measure the risk of FX options than the Cornish-Fisher way, as a kind of tool to measure risk of FX options is better than others.