Variance swaps,non-normality and macroeconomic and financial risks

This paper studies the determinants of the variance risk premium and discusses the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of market returns. But the uncertainty that determines the variance risk premium – the fear by investors to deviations from normality in returns – is also strongly related to a variety of macroeconomic and financial risks associated with default, employment growth, consumption growth, stock market and market illiquidity risks. We conclude that the variance risk premium reflects the market willingness to pay for hedging against these financial and macroeconomic sources of risk. An out-of-sample asset allocation exercise shows that the inclusion of the variance swap reduces the modified value-at-risk with respect to a portfolio holding exclusively the equity market portfolio.     

Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

This paper extends the Fourier-cosine (COS) method to the pricing and hedging of variable annuities embedded with guaranteed minimum withdrawal benefit (GMWB) riders. The COS method facilitates efficient computation of prices and hedge ratios of the GMWB riders when the underlying fund dynamics evolve under the influence of the general class of Lévy processes. Formulae are derived to value the contract at each withdrawal date using a backward recursive dynamic programming algorithm. Numerical comparisons are performed with results presented in Bacinello et al. [Scand. Actuar. J., 2014, 1–20], and Luo and Shevchenko [Int. J. Financ. Eng., 2014, 2, 1–24], to confirm the accuracy of the method. The efficiency of the proposed method is assessed by making comparisons with the approach presented in Bacinello et al. [op. cit.]. We find that the COS method presents highly accurate results with notably fast computational times. The valuation framework forms the basis for GMWB hedging. A local risk minimisation approach to hedging intra-withdrawal date risks is developed. A variety of risk measures are considered for minimisation in the general Lévy framework. While the second moment and variance have been considered in existing literature, we show that the Value-at-Risk (VaR) may also be of interest as a risk measure to minimise risk in variable annuities portfolios.     

股指期货套期保值效率比较研究——基于沪深300股指期货与新华富时A5指数期货

文章基于我国股票型基金十大重仓股构建投资组合,并利用沪深300股指期货与新华富时A50指数期货的日数据对这两种股指期货的套期保值效率进行比较研究,以探究两者在套期保值效率上的差异和造成差异产生的原因。在利用OLS、VECM和ECM-BGRACH等静态和动态套期保值模型和基于风险最小化的套期保值绩效指标对沪深300股指期货与新华富时A50指数期货的套期保值效率进行研究后发现,在静态最优套保比、时变最优套保比和套期保值绩效指标的比较中,新华富时A50指数期货都要优于沪深300股指期货。这种套期保值效率上的差异主要来自于两个金融工具间的合约与交易规则的差别。建议通过设立适当时间的晚间电子盘交易,并允许金融机构在规定的份额内进行期指套利交易,以提升沪深300股指期货在套期保值市场功能上的效率。     

投资者是非理性的吗——卖空限制下我国权证价格偏离探析

本文研究了影响我国权证价格偏离的主要因素。以往文献的重售动机理论和便利收益理论不能诠释权证定价偏差的不对称性。我们的研究提出理性避险动机是权证价格偏离的主导因素,即我国投资者并不是非理性的进行重售投机,也并没有忽视权证的避险性能。本文避免了以往文献的Black-Scholes模型依赖,在平价准则的基础上构造了非模型的误差度量方法,从而剔除了模型假设导致的价格偏差,保证了研究结果的有效性和准确性。     

More hedging instruments may destabilize markets

This paper formalizes the idea that more hedging instruments may destabilize markets when traders have heterogeneous expectations and adapt their behavior according to performance-based reinforcement learning. In a simple asset pricing model with heterogeneous beliefs the introduction of additional Arrow securities may destabilize markets, and thus increase price volatility, and at the same time decrease average welfare. We also investigate whether a fully rational agent can employ additional hedging instruments to stabilize markets. It turns out that the answer depends on the composition of the population of non-rational traders and the information gathering costs for rationality.     

Why China＇s Public-Listed Firms Use Currency Derivatives

本文利用2005—2010年我国上市公司使用外汇衍生品的数据,分析公司使用外汇衍生品行为的影响因素,从而对破产成本等假设进行验证。研究发现,财务状况、投资机会等指标是使用衍生品的影响因素。本文还分析了公司的股权结构、产权性质、市场化程度、政治关联度对使用衍生品的影响,使用连续变量的稳健性检验支持了本文的结论。论文拓展了外汇衍生品使用动机的研究,在规范上市公司衍生品信息披露和加强公司衍生品行为监管方面提出了相应的政策建议。     

Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth

Firms that export goods face risks such as product price, cost, and exchange rate risks. Price and cost risks can substantially reduce the FX hedging performance in real wealth. We thus investigate hedging strategies that are intended to improve the performance of the FX hedge in real terms using inflation and interest rate derivatives. The impact of these additional instruments is not clear and has only been briefly analyzed in the hedging literature so far. For this purpose, we derive variance-minimizing hedge positions of an exporting firm. A cointegrated VAR and bootstrap methods are used to evaluate the efficiencies of several hedging strategies. While inflation derivatives work better in the short run, interest rate derivatives perform better over longer hedge horizons.     

On the use of options by mutual funds: Do they know what they are doing?

Given recent regulatory inquiries into the derivative-trading practices of mutual funds, we examine their detailed option holdings to assess how mutual funds employ options, what funds use options, and how that affects performance and risk. Mutual funds’ use of options appears consistent with income generation and hedging motives, is systematically related to experience, education, and gender characteristics of portfolio managers, and does not lead to performance benefits, on average. Instead, certain uses of options lead to underperformance. We document no permanent or temporary aggressive risk taking by options users, finding instead that some funds use options to effectively lower risk.     

A mixed C-vine copula model for hedging price and volumetric risk in wind power trading

When energy trading companies enter into long-term agreements with wind power producers, where a fixed price is paid for the fluctuating production, they are facing a joint price and volumetric risk. Since the pay-off of such agreements is non-linear, a hedging portfolio would ideally consist of not only forwards, but also a basket of e.g. call and put options. Illiquidity and an almost non-existent market for options challenge however the optimal hedging of joint price and volumetric risk in many market places. Here, we consider the case of the Danish power market, and exploit its strong positive correlation with the much more liquid German market to construct a proxy hedge. We propose a three-dimensional mixed vine copula to model the evolution of the Danish and German spot electricity prices and the Danish wind power production. We construct a realistic hedging portfolio by identifying various instruments available in the market, such as real options in the form of the right to transfer electricity across the border and the right to convert electricity to heat. Using the proposed vine copula to determine optimal hedging decisions, we show that significant benefits are to be drawn by extending the hedging portfolio with the proposed instruments.     

间接广泛利用期货市场:农民增收的有效途径

期货交易中套期保值和价格发现两大经济功能的有效利用,是解决"三农"问题、规避农产品价格风险、确保农民增收的重要途径之一.然而我国农业生产自身存在的局限性,导致农民直接利用期货市场和参与期货交易的可行性不大;而间接利用期货市场开展套期保值交易则是农户的最佳选择.