t分布下期货套期保值VaR险的敏感度分析

使用风险价值的方法度量期货套期保值的风险,并且分析套期保值风险价值的敏感性。在t分布下,分别导出空头和多头套期保值风险价值关于期货量的一阶、二阶变化率,并解释其经济意义,这样就为套期者根据套期保值风险价值的敏感程度增减期货量提供指导。     

对数正态分布下期货套期保值VaR风险的敏感度分析

本文应用风险价值计量技术来度量期货套期保值的风险,并且分析期货套期保值VaR风险的敏感性。在对数正态分布下,分空头和多头期货套期保值两种情况,导出期货套期保值VaR风险关于套期比的一阶、二阶变化率,并解释其经济意义,其分析可为套期保值者根据期货套期保值VaR风险的敏感程度增减期货量提供帮助。     

正态分布下期货套期保值VaR风险的敏感度分析

本文把风险价值(Value-at-Risk,简记为VaR)计量技术应用于期货套期保值,并且分析期货套期保值VaR的敏感性。在正态分布下,分空头期货套期保值和多头期货套期保值两种情况,导出期货套期保值VaR关于期货头寸的一阶、二阶变化率,并解释其经济意义,为套期保值者根据期货套期保值VaR的敏感程度增减期货头寸提供指导。     

就期货与期权组合在套期保值中的运用分析

期货、期权是两种重要的金融衍生产品,在现代金融市场中发挥着越来越重要的市场影响和经济价值。套期保值策略是人们规避现货交易价格风险的重要方法,对期货与期权进行套期保值组合,是实现优势互补和合作共赢的理性选择。本文分别探讨了期货套期保值交易原理和期权套期保值交易原理,在前人的研究基础上,坚持理论与实际相结合的原则,用数理公式分析了期货与期权组合套期保值的收益与风险,并从标的物、买卖方市场、买卖双方保证金等方面对比分析了期货套期保值与期权套期保值的差别,得出了“加强期货与期权组合在套期保值中的运用是一种优化组合,是金融领域的一项发展趋势”的结论,为金融改革实践实践提供了参考思路。     

浅析股指期货的套期保值功能及其会计处理

股指期货是以股票市场的股票价格指数为买卖对象的期货,是期货市场与股票市场相结合的产物。套期保值是股指期货的最基本功能,是规避市场风险的有效工具。因此,用于套期保值的股指期货合约在持有期间发生的一切价值变动都应归于被保值项目,与被保值项目的价值变动损益相配比,并在此基础上进行确认、计量和报告。     

期货套期保值,期权套期保值和贡献率

用方差来度量期货、期权套期保值的风险,求出风险最小的套期比和期货和期权在组合套期保值中的贡献率,使企业能够根据贡献率的大小应用这些套期保值策略规避现货交易的风险,稳定企业的收入。     

浅析股指期货的套期保值功能及其会计处理

股指期货是以股票市场的股票价格指数为买卖对象的期货，是期货市场与股票市场相结合的产物。套期保值是股指期货的最基本功能，是规避市场风险的有效工具。因此，用于套期保值的股指期货合约在持有期间发生的一切价值变动都应归于被保值项目，与被保值项目的价值变动损益相配比，并在此基础上进行确认、计量和报告。     

套期保值业务及风险管理 ——以株冶集团为例

本文介绍了期货套期保值原理以及株冶集团从事期货套期保值业务的目的,结合株冶自身特点及多年来从事套期保值业务情况,总结成功与失败的经验和教训,明确了期货套期保值业务中风险管理的重要性,套期保值业务的任何一步都需在严格的风险管控下进行.     

利用金融期货规避商品价格风险的研究

本文利用韩国综合股票价格指数期货对我国钢材进行了交叉套期保值研究,建立了基于随机波动模型下的利用国外金融期货对我国商品现货交叉套期保值风险度量模型,并通过实证分析认为.基于随机波动模型下的风险在险值基本能够刻画出基差风险状况.本研究为利用金融期货对商品现货交叉套期保值提供了理论依据,对我国推出金融期货后,企业规避商品价格风险扩大套期保值品种具有一定的借鉴意义.     

沪深300股指期货套期保值的实证研究

股指期货作为金融衍生产品的一个重要用途是套期保值,沪深300股指期货是我国推出的第一只股指期货,具有较强的开拓性和代表性。本文在基差风险不为零的前提下,运用GARCH模型研究沪深300股指期货的套期保值的可行性,以及最优套期保值比率,为风险厌恶型投资者提供有效规避现货市场系统性风险和非系统性风险的投资决策建议。     

Hedging and value at risk: A semi‐parametric approach

The non‐normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum‐variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns. Thus, the reduction in Value at Risk (VaR) and Conditional Value at Risk (CVaR) that minimum‐variance hedging generates can be significantly lower than the reduction in standard deviation. In this study, we provide a new, semi‐parametric method of estimating minimum‐VaR and minimum‐CVaR hedge ratios based on the Cornish‐Fisher expansion of the quantile of the hedged portfolio return distribution. Using spot and futures returns for the FTSE 100, FTSE 250, and FTSE Small Cap equity indices, the Euro/US Dollar exchange rate, and Brent crude oil, we find that the semiparametric approach is superior to the standard minimum‐variance approach, and to the nonparametric approach of Harris and Shen (2006). In particular, it provides a greater reduction in both negative skewness and excess kurtosis, and consequently generates hedge portfolios that in most cases have lower VaR and CVaR. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:780–794, 2010     

Hedging and value at risk

In this article, it is shown that although minimum‐variance hedging unambiguously reduces the standard deviation of portfolio returns, it can increase both left skewness and kurtosis; consequently the effectiveness of hedging in terms of value at risk (VaR) and conditional value at risk (CVaR) is uncertain. The reduction in daily standard deviation is compared with the reduction in 1‐day 99% VaR and CVaR for 20 cross‐hedged currency portfolios with the use of historical simulation. On average, minimum‐variance hedging reduces both VaR and CVaR by about 80% of the reduction in standard deviation. Also investigated, as an alternative to minimum‐variance hedging, are minimum‐VaR and minimum‐CVaR hedging strategies that minimize the historical‐simulation VaR and CVaR of the hedge portfolio, respectively. The in‐sample results suggest that in terms of VaR and CVaR reduction, minimum‐VaR and minimum‐CVaR hedging can potentially yield small but consistent improvements over minimum‐variance hedging. The out‐of‐sample results are more mixed, although there is a small improvement for minimum‐VaR hedging for the majority of the currencies considered. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:369–390, 2006     

Futures market hedging efficiency in a new futures exchange: Effects of trade partner diversification

This paper uses transaction data to examine hedging efficiency in a new futures exchange; the Fish Pool salmon futures exchange in Norway. The paper utilizes data on firm-level exporter/importer transaction prices to quantify firm-level futures hedging efficiency. This allows us to address heterogeneity in hedging efficiency and basis risk at the firm level. The main result of this paper shows that larger firms with greater trade partner diversification have lower basis risk. Such firms align their internal transaction price closer to the common spot price in the market, which encourages greater futures market participation. Results are discussed in light of recent declines in participation in the salmon futures exchange.     

Hedging in Futures and Options Markets with Basis Risk

This paper analyzes the hedging decisions for firms facing price and basis risk. Two conditions assumed in most models on optimal hedging are relaxed. Hence, (i) the spot price is not necessarily linear in both the settlement price and the basis risk and (ii) futures contracts and options on futures at different strike prices are available. The design of the first‐best hedging instrument is first derived and then it is used to examine the optimal hedging strategy in futures and options markets. The role of options as useful hedging tools is highlighted from the shape of the first‐best solution. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:59–72, 2002     

沪深300股指期货与标准普尔500指数套期保值效果的比较研究

采用OLS、ECM、GARCH模型分别对沪深300股指期货和标准普尔500股指期货的最优套期保值比率及其套期保值效果进行了对比分析,结果表明:无论是沪深300还是标准普尔500股指期货,如果不考虑期货与现货之间的协整关系,得出的最优套期保值比率均偏小,致使套期保值效果不能达到最佳;基于套期保值效果稳定性方面考虑,最优套期保值模型均是GARCH模型;不管是在样本内还是样本外沪深300股指期货的套期保值效果均比标准普尔500股指期货的套期保值效果差。我国政府应该采取相应措施,引导股指期货市场进一步完善和发展。     

中美玉米期货市场功能效率比较

价格发现与套期保值是期货市场的基本功能,能够反映期货市场的运行效率。通过对比中美贸易摩擦前后期货市场的价格发现和套期保值功能,分析中美玉米期货市场效率间的差距,探究我国玉米期货市场运行效率低的原因。利用格兰杰(Granger)因果分析、协整检验、分位信息份额模型、套期保值比率及绩效分析方法,定量对中美两国2013—2019年玉米期货及现货的数据进行分析,结果表明,中国玉米期货市场存在较强的价格发现功能,但套期保值绩效不佳。使用前沿分位信息份额模型和滚动格兰杰因果法分析中美两国期现货市场动态关系的区别,发现中国仅存期货市场对现货市场的单向引导,而美国在中美贸易摩擦前表现为玉米期现货市场具有相近的引导能力,套期保值效率较高,中美贸易摩擦增强了其现货市场对期货市场的引导能力,降低了期货市场运行效率。从期现货市场双向引导关系视角来看,中国玉米期货市场效率低的原因主要是现货市场的信息不完全、发展不完善,期现货市场缺少长期稳定的双向引导关系抑制了期货市场功能发挥。中国应全面加强期货市场建设,提升期货市场定价效率,推动农产品期货市场快速健康发展。     

Production and hedging under Knightian uncertainty

This article introduces Knightian uncertainty into the production and futures hedging framework. The firm has imprecise information about the probability density function of spot or futures prices in the future. Decision‐making under such scenario follows the “max‐min” principle. It is shown that inertia in hedging behavior prevails under Knightian uncertainty. In a forward market, there is a region for the current forward price within which full hedge is the optimal hedging policy. This result may help explain why the one‐to‐one hedge ratio is commonly observed. Also inertia increases as the ambiguity with the probability density function increases. When hedging on futures markets with basis risk, inertia is established at the regression hedge ratio. Moreover, if only the futures price is subject to Knightian uncertainty, the utility function has no bearing on the possibility of inertia. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 397–404, 2000     

Delivery risk and the hedging role of options

Multiple delivery specifications exist on nearly all commodity futures contracts. Sellers typically are allowed to deliver any of several grades of the underlying commodity and at any of several locations. On the delivery day, the futures price as such needs not converge to the spot price of the par‐delivery grade at the par‐delivery location, thereby imposing an additional delivery risk on hedgers. This article derives the optimal hedging strategy for a risk‐averse hedger in the presence of delivery risk. In particular, it is shown that the hedger optimally uses options on futures for hedging purposes. This article provides a rationale for the hedging role of options when futures markets allow for multiple delivery specifications. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:339–354, 2002     

现代金融背景下外贸企业的外汇期货套期保值策略研究

外贸企业利用外汇期货套期保值可以规避金融风险,实现稳定赢利.然而我国企业在这方面远落后于时代.文章探讨了现代金融风险特征和套期保值的必要性与可行性,分析了制约我国企业实施套期保值策略的因素,提出了相应的建议与措施.研究结果说明现代金融背景下企业实施外汇期货套期保值不仅是必要的,也是完全可行的,为企业实施套期保值提供了理论支持.     

沪深300股指期货套期保值效率度量研究——基于沪深300ETF的实证分析

基于沪深300股指期货真实交易数据,选取对指数拟合程度高且可交易的沪深300ETF为现货研究对象,运用静态套期保值比率估计模型（OLS、B-VAR、VECM）和动态套期保值比率估计模型（VECMBGARCH、DBEKK-GARCH、DCC-GARCH、NormCopula-GARCH、tCopula-GARCH）对最优套期保值比率进行估计,并对规避风险效果进行比较。结果表明：无论在样本内期间和样本外期间中,各模型反映出的沪深300股指期货套期保值效率都较高,考虑期货与现货市场动态相关性的NormCopula-GARCH模型套期保值效果最优。