Measurement And Optimization Of Market Risk

Recently,the standardized RMB option scheme has helped to improve the RMB foreign exchange market function and promote the internationalization of the rmb.The foreign exchange option is an integral part of the mature foreign exchange market,so the future development of the foreign exchange option is not to change the trend,but because the option has a high leverage and high risk,it is individual and institutional investors for speculation,so the risk management options need to cause the attention of people.Risk management is accompanied by the birth and development of the financial industry,and its own development will continue.Foreign exchange power will be the field to be involved.Risk management runs through this article,and optimization of risk management is an urgent breakthrough in the field of practice and theory.Risk management cannot do without mathematics,probability theory,weshould combine the principle of mathematical statistics,the current risk management tool for thinking and analysis,to tap the historical simulation method and non parameter method,historical simulation method and parameter method-normal distribution method of the advantages and disadvantages of.In the following research,this paper introduces the extreme value theory,introduces the definition of extreme value theory,the tail characteristic corresponding to the background,definition and main types of domain,have greatly expanded the accuracy of risk measurement.The characteristics of big financial data are that the probability of extreme value is large,so the skewness of distribution is often very large,and the normal distribution hypothesis has great drawbacks.Compared with the assumption of normal distribution,the hypothesis of the extreme value theory is more loose,more adaptive to the tail of the distribution,and has the advantages of not having to consider the specific distribution.Considering that this is methodological optimization,we have higher requirements for empirical samples.The foreign exchange option is OTC options,the renminbi dollar exchange rate implied volatility as a starting point,through the BSGK formula will be reduced into the foreign exchange purchase price,and then as a standard,compare the history simulation of different distribution of non parameter method and parameter method under the value validity measure in the insurance price.Considering the normality of weak tail distribution option price by using extreme value theory and its variety derived from the distribution of parameter model hypothesis is improved,and the use of Kupiec standards will be improved after the parametric method and historical simulation method,compare the improved parameter method before.In the analysis of the empirical results,we find that the U.S.dollar-RMB exchange rate has fluctuated greatly at the beginning of the year,breaking the limit of the model setting.In order to continue to improve the method,this paper decided to sort the data in the observation window,and select the data modeling which is the biggest risk fluctuation.In this case,compared with the other two models,the model based on extreme value distribution theory has the best robustness level.The conclusion is that in the non extreme events occurred,the extreme value theory assumption that the model has the strongest adaptability;in extreme market conditions,to the extreme value theory to non parameter model assumptions made by the model has better accuracy.Therefore,it is a good idea to use the extreme value theory as the hypothesis and optimize the historical simulation method-parameter method to carry out risk management of options.