Market volatility and the dynamic hedging of multi-commodity price risk

Commodity cash and futures prices experienced a severe boom-and-bust cycle between 2006 and 2009. Increases in commodity price volatility have raised concerns about the usefulness of commodity futures and options as risk management tools. Dynamic hedging strategies have the potential to improve risk management when conditional (co)variances depart significantly from their unconditional, long-run counterparts and may be useful to decision-makers despite their greater complexity and higher transaction costs. We propose a Nonparametric Copula-based Generalized Autoregressive Conditional Heteroscedastic (NPC-GARCH) approach to estimate time-varying hedge ratios, and evaluate the benefits of dynamic hedging during four sub-periods between 2000 and 2011 using a stylized Texas cattle feedlot management problem. The NPC-GARCH approach allows for a flexible, nonlinear and asymmetric dependence structure between cash and futures prices for different commodities. We find that NPC-GARCH dynamic hedging performs better than either static, GARCH-Dynamic Conditional Correlation (DCC) or GARCH-Baba, Engle, Kraft and Kroner (BEKK) hedging in terms of lower tail risk (expected shortfall), but that there is no significant difference between hedging approaches in terms of portfolio variance reduction.     

Hedging effectiveness comparisons: A note

This note examines the hedging effectiveness of three hedge strategies on twenty-four commodity and financial markets. Lien (Lien, D., 2005a, The use and abuse of the hedging effectiveness measure, International Review of Financial Analysis 14, 277–282, Lien, D., 2005b, A note on the superiority of the OLS hedge ratio, Journal of Futures Markets 25, 1121–1126.) suggest that, absent from estimation errors, the minimum variance (MV) hedge ratio attains the maximum post-sample hedging effectiveness when there is no structural change across estimation and comparison samples. When comparing the MV strategy with the naïve hedge ratio, we find sufficiently strong support for the conclusion. On the other hand, driven by estimation errors, weaker support is produced when comparing MV and error correction (EC) hedge strategy.     

Hedging exchange rate risk: The multiperiod case

We analyse production and hedging in a multiperiod framework for a risk-averse exporting firm facing a random exchange rate. We extend the separation theorem to this multiperiod model. Our study shows that unbiased currency forward markets in all periods do not imply standard full hedging. Under some conditions, the firm tends to overhedge compared to the one-period hedging models.     

风险与监管双重影响下的商业银行行为选择

本文运用微观银行理论的产业组织方法，构建了一个含有信用风险和准备金监管要求的风险中性商业银行行为模型。在引入资本监管要求后，借助风险价值（MaR）概念，分析了影响银行行为的因素。结果发现，法定准备金不影响银行的风险行为，但资本监管要求导致风险中性的银行表现出风险厌恶。商业银行有内在的激励去从事风险对冲，并可以从中获益。最后，结合我国的实际情况，提出了银行改革和金融市场建设的相关建议。     

Hedging the portfolio of raw materials and the commodity under the mark-to-market risk

This paper considers the hedging problem of a portfolio composed of raw materials and a commodity. A new theoretical model is presented to manage the risk exposure of the portfolio under the mark-to-market risk. Moreover, we employ the Lemke algorithm to obtain the optimal hedging strategy. We use a case of the soybean oil manufacturer from May 2008 to June 2011 to illustrate the proposed model and algorithm. The results show that the mark-to-market risk must be taken into account when devising the hedging strategies.     

Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions

This article proposes to use the three multivariate skew distributions (generalized hyperbolic distribution, multivariate skew normal distribution, and multivariate skew Student-t distribution) for estimating the minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge effectiveness are employed: hedging instrument effectiveness, overall hedge effectiveness, and relative-to-optimal hedge ratio effectiveness (RHRE). Three portfolios of spot and futures series are formed for empirical analysis. The outcomes confirm that the three multivariate skew distributions are more helpful in deciding the minimum variance hedge ratio, especially the generalized hyperbolic distribution, than the symmetrical normal and Student-t distributions. This outperformance is significant especially at critical market moments and it is indicated by three hedge effectiveness measures. This advantage is held without the cost of lowering portfolio return. In addition, there is speculation possibility existing in the portfolio hedged by the traditional optimal hedge ratio and this potential can be detected especially by RHRE.     

Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries

This article examines the interactions of emerging markets sovereign credit default swaps (CDS). Using a generalized vector autoregressive framework and principal component analysis, we find significant spillover effects within the two groups of emerging markets under study. Using the principal component analysis, we show that global financial market factors are important drivers of BRICS and MIST sovereign CDS spreads variability. Focusing on the forecast error variance decomposition, most of the spillover effects are documented among the emerging markets CDS. Brazil and Mexico contribute the largest net directional spillovers to the other emerging markets studied.

Highlights:

• There exist significant CDS spillover effects for MIST and BRICS countries.

• Mexico dominates the spillover effects within the MIST group while Brazil dominates the spillover effects within the BRICS group.

• As determined by principal component analysis, global financial market factors are important drivers of BRICS and MIST sovereign CDS spreads variability.

• There exists a relatively small net directional spillover from global financial market factors to the countries under study; however, the total spillover is time-varying.

• A large proportion of the forecast error variance in the markets studied comes from spillovers.

     

煤炭价格指数的理论设计与应用研究

论证了在当前煤炭价格风险凸现的情况下,推出煤炭价格指数是运用煤炭期货、期权及互换等金融衍生工具的重要前提,并借鉴国外煤炭价格指数应用与研究的经验,提出我国煤炭价格指数的基本体系及编制的基本原则和基本方法.     

股指期货套期保值理论及模型的演进与实证研究

将对股指期货套期保值策略进行比较全面的理论和实证研究。首先,概述了股指期货套期保值的相关理论,综述了套期保值的关键环节是最优套期保值比率的确定的相关的模型;其次,运用协整等分析方法,采用最小二乘回归模型（OLS）、向量自回归模型（VAR）、误差修正模型（ECM）、广义自回归条件异方差模型（GARCH）,分别对中国沪深300股指期货最优套期保值比率进行了实证研究,并对各模型的套期保值绩效做出了评价,得出ECM模型是最优的,是最适合中国沪深300股指期货的套期保值率估计模型。     

Export,Exchange Rate Risk and Hedging: The Duopoly Case

Abstract. This paper studies a Cournot duopoly in international trade with firms exposed to exchange rate risk. A hedging opportunity is introduced by a forward market on which one firm can trade the foreign currency. We investigate two settings: First, we assume that hedging and output decisions are taken simultaneously. It is shown that hedging is exclusively done for risk‐managing reasons as it is not possible to use hedging strategically. Second, the hedging decision is made before the output decisions. We show that hedging is not only used to manage the risk exposure but also as a strategic device.     

制造业企业套期保值方案实施的绩效评价研究

套期保值是现代企业规避商品价格剧烈波动的最理想的风险管理工具之一,通过套期保值,可以改变企业在原材料采购过程中的被动性,使企业主动控制生产成本,保证经营利润。对企业开展的套期保值业务进行正确的绩效评价,对提高企业开展套期保值业务的积极性具有重要的指导意义。通过对影响企业套期保值效果因素的分析,提出企业可以将期货和现货市场的综合收益以及期货市场套保品种的均价作为评价套期保值绩效的参考对象,能够正确引导企业合理参与套期保值,正确评价套期保值效果。     

中国大豆期货市场最优套期保值比率的实证研究

在总结评述国际上成熟的最优套期保值比率估计方法的基础上,采用OLS、VAR、B-ECM、B-GARCH、ECM-B-GARCH五种模型和Lien提出的套期保值绩效衡量指标,对我国大豆期货市场的套期保值比率和套期保值绩效进行了实证研究。结果表明:对于中国大豆期货市场而言,按照OLS模型估计的最优套期保值比率进行动态套期保值能够最大程度地降低风险;基于VAR模型与B-ECM模型的结果次之;按照B-GARCH模型和ECM-B-GARCH模型估计的最优套期保值比率进行动态套期保值,风险降低程度最小。     

开放经济条件下公司使用利率互换的动机

在开放经济条件下,以公司为背景,对利率互换的使用动机进行研究。给出了一个利率互换对利率风险控制作用的信息经济学解释,证明了利用利率互换,有利于公司利率风险暴露的降低,尤其是在债务融资时同时使用利率互换可以有效控制利率风险并减少融资成本。     

便利收益下碳排放动态套期保值效果

随机的碳排放价格变化直接导致资产组合的投资风险加剧,影响碳排放现货与期货资产的投资组合策略。依靠商品期货价格的期限结构,本文提出了一种新的在便利收益下动态套期保值比率及其套期保值效果评价方法。动态套期保值比率是由现货和便利收益的波动率、协方差及其相关系数、距离到期日时间、便利收益均值回复速度等参数存在紧密关联性。为了有效地规避碳排放现货价格剧烈波动所引发的市场风险,市场参与者利用便利收益的历史信息优化调整期货与现货的对冲比例,确定最优化的套期保值比率,可以有效规避现货资产的市场风险,实现资产投资组合最佳的投资收益。     

The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa

This article provides an assessment of the comparative effectiveness of four econometric methods in estimating the optimal hedge ratio in an emerging equity market, particularly the South African equity and futures markets. The article bases the effectiveness of hedging on volatility reduction and minimization of the coefficient of variation of hedged returns as well as risk-aversion-based utility maximization. The empirical analysis shows that the vector error-correction method and multivariate generalized autoregressive conditional heteroscedasticity methods are most effective over relatively long horizon, weekly and monthly hedging periods.     

天气衍生品套期保值福利效应研究——基于中美城市对接方法

近年来,天气风险管理日益受到各界关注。文章利用2007-2012年28个中美城市的天气日数据,将中国直辖市对接到CME Group交易的天气衍生品之标的城市,在数值分析的框架下推导出福利效应模型,通过参数估计和模拟求解,研究中国区域农业在引进天气衍生品套期保值前后的福利变化。通过引入Ornstein-Uhlenbeck过程,使用聚类分析和神经网络方法成功解决了中国农户因缺乏天气衍生工具而难以评价其套期保值福利效应的窘境。研究发现,对中国区域农业来说,引进天气衍生品进行套期保值将带来正的福利效应。且高基本消费量、高需求弹性、高投机者成本系数、低投机者风险规避度、低需求扰动和低供给扰动有利于发生正的福利效应。本文的研究区分了"气候"与"天气",丰富了对"绿色金融"的认识,并为从福利改善角度评估引入天气衍生品的政策效果作出基础性研究。     

财产保险对国民经济总量和经济波动性的影响——基于套期保值模型与中国的实证

财产保险与国民经济之间存在何种内在联系一直是理论界探索的重要问题。文章创造性地将产险的套期保值原理与考虑了灾害损失的宏观经济模型相结合,得出了一定条件下财产保险对国民经济影响的数量模型。通过比较我国东、中、西部三个具有区域代表性省份的相关实证结果,进一步发现在前期投资功能受到限制的条件下,即使在区域特征明显的地区也呈现一个共同规律:尽管财产保险对经济总量不会产生明显影响,但对促进经济的平稳运行却能起到十分重要的作用。     

Cost effectiveness of rimonabant use in patients at increased cardiometabolic risk: estimates from a Markov model

Summary

Rimonabant, the first selective CB-1 receptor blocker, is expected to reduce cardiometabolic risk substantially. This study assesses the economics of such treatment in patients at elevated cardiometabolic risk.

A Markov model was developed using data from the Rimonabant in Obesity (RIO) trial, published risk equations, and UK cost and utility data. Patients begin either in a diabetic or a non-diabetic state and can transition to cardiovascular disease or to death (based on UK life tables). Transitions to diabetes and subsequent cardiovascular events are also counted. Resource use due to events and long-term management were translated to UK costs (2005 GBP). Tariffs for events and states were applied to age-dependent utilities. Extensive univariate and multivariate probabilistic sensitivity analyses were carried out.

Over 10 years, 8% will suffer a cardiovascular event with a loss of more than 1,000 quality-adjusted life years (QALYs) and a cost of more than £500,000 per 1,000 patients. Projecting risk for a lifetime, 1 year of rimonabant use is estimated to gain >65 QALYs at £8,574/QALY. In probabilistic sensitivity analysis, incremental cost-effectiveness ratios varied from £2,657 to £22,141/QALY.

Based on the metabolic effects seen in clinical trials, rimonabant should reduce cardiovascular risk in obese or overweight people at reasonable cost.     

规避基差风险策略研究

基差风险是指基差的不确定性．它是由于人们在对现货市场进行套期保值时转移价格风险而产生的。在非完美市场的情况下,基差的变化往往不尽如入意。如何控制或规避基差风险是摆在人们面前的又一课题。本文对基差风险的产生、成因及控制或规避进行了系统分析和研究。