Market Risk for Foreign Currency Options: Basle's Simplified Model
指出巴塞尔委员会提出的外汇期权标准化模型计算出的资本金与风险价值不一致，并提出两种简化模型，证明标准化模型对小规模组合效果不亚于内部模型。
We show that capital charges for foreign currency options estimated using a standardized model proposed by the Basle Committee on Banking Supervison are not consistently related to value at risk (VAR). We propose a simplified incremental model (SIM) and a simplified value at risk (SVAR) model and compare them to an internal model based on J.P. Morgan's RiskMetricsTM. We conclude that it is possible to construct a standardized model that is as effective as an internal model, especially for small portfolios. Since inaccurate forecasting under internal models is now subject to penalties, some banks may prefer standardized models.