套期保值者策略性交易和市场多重均衡

金融市场中,投资者为规避风险经常采取套期保值策略,降低因资产价值波动带来的风险.从金融市场微观结构理论出发,通过分析知情交易者交易策略和做市商定价策略对套期保值者交易的影响,构建了套期保值者策略交易模型.从模型和数值分析得出,套期保值者的策略性交易使市场具有产生多重均衡的可能:一种为套期保值者数量多,流动性高的均衡;另一种为套期保值者数量少,流动性低的均衡.其形成过程为套期保值者进入(退出)市场会引起其他套期保值者进入(退出)市场,形成预期自我实现现象,导致不同流动性下的均衡.     

协整关系对期货套期保值策略的影响

经过研究发现 ,在有效市场中 ,现货和期货价格间存在着协整关系 ,而我们在实际的操作中 ,经常忽略这种关系 ,本文通过对相关模型的推导 ,给出了考虑与不考虑两种情况下的套期保值比率的公式 ,以分析说明协整关系对套期保值策略的影响     

全时段最优套期保值模型及实证研究

针对传统套期保值模型只考虑套期保值资产在套期保值期末的风险及未能充分利用样本数据所提供的信息的问题,本文提出了一类同时考虑套期保值期内不同期限风险的全时段最优套期保值比率计算模型.全时段套期保值模型通过最小化套期保值资产在套期保值期内不同期限的风险将投资者面临的风险在整个套期保值期内稳定保持在一个较低的水平,并更充分的利用了资产历史价格样本数据所提供的信息.本文基于沪深300指数及其仿真股指期货的历史价格数据,对传统形式的三种套期保值模型与本文提出的三种全时段套期保值模型的套期保值效果进行了实证分析和比较,并使用GARCH模型比较分析了这些模型套期保值的动态效果,结果表明三种全时段模型的套期保值效果都要优于相应的传统模型,能有效地缓解提前终止套期保值时投资者所面临的风险.     

考虑结算风险的套期保值研究

期货市场的风险转移功能主要通过套期保值策略来实现,期货市场套期保值的关键问题是套期保值比率的确定。现有套期保值研究侧重于规避价格风险,忽略了期货市场另一个重要的风险因素-结算风险。本文通过建立考虑结算风险的期货套期保值决策模型,有效地平衡了套期保值过程中的价格风险与结算风险。具体特色一是将套保者的结算风险厌恶态度直接反映到套期比的计算中,体现了结算风险对套期保值决策的影响;二是在一定条件下,本模型的套期比趋近于最小方差套期比;三是利用ARMA时间序列方法预测期货与现货的价格走势,有效地反映了期货价格一阶平稳和季节性变化规律,使估计的套期比更加精确可靠。     

基于动态条件相关系数模型的石油市场套期保值比估计

以WTI和Brent两地的原油现货市场和期货市场为研究对象,选择对角化的动态条件相关(DCC)模型估计了市场间的动态条件相关系数,求解了WTI市场、Brent市场及跨市的动态套期保值比,评价了各种市场组合的套期保值效果.得到如下几点结论:第一,WTI市场的一体化程度高于Brent市场;第二,两个月期货的套期保值比高于1个月期货的套期保值比,WTI相应市场组合的套期保值比要高于Brent市场;第三,采取Brent期货对WTI现货进行对冲时,其套期保值比要高于用WTI期货对Brent现货对冲时的情形,也高于Brent市场的套期保值比;第四,套期保值比越高,套期保值效果越好.     

工程承包中的套期保值策略分析研究

在国际工程承包投标时,当存在非系统风险的情况下,风险溢价(Risk Premium)会影响当事人的套期保值策略.在以往的研究中,仅仅局限于选择一个最优的套期保值比率,而在实践中,当事人的偏好对套期保值的策略影响很大,当事人的不同偏好,风险溢价对工程项目的套期保值策略影响也存在很大的不同.     

期货套期保值的最小二阶矩方法

利用期货市场套期保值策略，企业可以避免或减少现货价值波动的风险。但是人们常常使用传统的最小方差法来求出套期保值率及其相应的套期保值风险。在本文我取小方差法存在的缺陷，提出了套期保值的最小二阶矩方法。导出新的套期保值率及其相应的套期保值总风险，空头套期保值风险和多头套期保值风险。为判断当前价格适合进行空头套期保值还是适合多头套期保值提供理论依据。     

跳扩散结构下风险最小化动态套期保值策略研究

在标的资产价格服从跳-扩散过程情况下,研究了风险最小化动态套期保值问题.首先用MCMC方法估计得到模型参数值,克服了传统的直接用样本均值和样本方差进行参数估计值的不足,与市场实际更吻合;然后在风险最小目标下,采用逐步倒推法得到随时间改变的动态最优套期保值策略解析表达式,由此可以及时做出策略调整,达到既对冲风险又节约成本的目的.文章最后通过对比分析不同期限、不同策略调整频率情况下的费用投入,得出期限和策略调整频率之间的关系,为套期保值者根据不同情况做出合理的套保策略提供了参考,另外,为满足金融机构进行压力测试或投资者为适应费率调整的需要,也分析说明了不同交易费率和策略之间的关系.     

基于债券久期的国债期货套期保值模型分析

使用久期的方法在中国国债期货市场上进行套期保值是否有效?使用久期的方法研究国债期货套期保值的效率问题在国外已经很多,然而这种方法是否适合于目前中国的国债市场,相关研究还不多见,还有待进一步的证实.为此借鉴国外相关理论,采用比较研究的方法,以国债期货上市后2013年9月到2014年5月初,国债现货和国债期货的数据为样本,以基于久期的最优套期保值比率模型为主,其他模型为辅,比较出最优套期保值效率.研究结果表明,基于久期的套期保值方法在目前中国的国债市场效果一般.     

期权组合最优套期保值模型及实证研究

根据实际投资中投资者可以选择不同到期日、不同敲定价格的期权组合进行套期保值的现实,本文建立了二次效用函数下期权组合最优动态套期保值模型,证明了该模型最优解存在的唯一性,并在协方差矩阵可逆和不可逆两种情形下分别给出了期权最优头寸的显式表达式。在50ETF价格先升后降、先降后升、下降和上升四种情形下,对上证50ETF期权的多种期权组合套期保值问题进行实证分析。研究结果表明:不同到期日不同敲定价格的看跌期权组合具有较好的套期保值效果。本文的研究为选择期权组合进行套期保值和解决展期期权套期保值问题提供了借鉴。     

基于便利收益的商品期货套期保值策略研究

依据便利收益是商品现货与期货长期均衡关系的主要影响因素,研究商品便利收益对商品期货套期保值策略的影响。通过求解最大化期望效用的套期保值决策模型,得到了最优套期保值比率的封闭解,并且提出了以便利收益为修正因子的ECT-GARCH模型,同时选取2005年01月到2013年10月期间沪铝现货和期货数据进行实证分析。研究发现:便利收益的波动性与套期保值比率呈负相关,在套期保值比率估计精度和套期保值绩效方面,ECT-GARCH模型均优于B-GARCH模型和ECM-GARCH模型。     

Static Hedging with Uncertain Quantity and Departure from the Cost-of-Carry Valuation

In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming a geometric Brownian motion for forecasting process, we model mispricing as a specific noise corn poncnt in the dynamics of filturcs market prices, based on which the optimal hedging strategy is calculated. Finally, we illustrate optimal strategy and its properties by numerical examples.     

基于GC-MSV模型的沿海干散货运费衍生品套期保值研究

面对干散货航运运价波动,货主或者航运企业需要通过适当的方法进行风险管理,通过航运运费衍生品进行套期保值是一种主要的风险控制方法。本文采用GC-MSV、在最小方差准则下,研究了中国沿海煤炭运费衍生品的套期保值效果,估计了最优静态套期保值率和动态套期保值率,并与其他不同模型进行对比分析。从套期保值效果看,动态调整的GC-MSV模型优于其他模型,通过套期保值能降低20%~40%的波动率。尽管对资产方差降低的作用有限,沿海煤炭运费衍生品依然能够起到一定的对冲风险作用。     

Security design and firm dynamics under long‐term moral hazard

This paper addresses a moral hazard problem in which the agent's actions affect the future profits of the firm. The optimal contract can be implemented through the issuance of variable coupon debt and purchase of fixed‐coupon debt. Consequently, the resulting capital structure acts as a hedge for the firm, reducing underinvestment costs in bad states of nature and controlling overinvestment incentives in good ones. However, owing to asymmetric information between the firm's manager and investors, this hedge is only partial. The firm's investments vary with cash flows, disclosing the agent's asymmetric information to the principal. Copyright © 2016 John Wiley & Sons, Ltd.     

Delta-hedging longevity risk under the M7–M5 model: The impact of cohort effect uncertainty and population basis risk

In a recent project commissioned by the Institute and Faculty of Actuaries and the Life and Longevity Markets Association, a two-population mortality model called the M7–M5 model is developed and recommended as an industry standard for the assessment of population basis risk. In this paper, we contribute a delta hedging strategy for use with the M7–M5 model, taking into account of not only period effect uncertainty but also cohort effect uncertainty and population basis risk. To enhance practicality, the hedging strategy is formulated in both static and dynamic settings, and its effectiveness can be evaluated in terms of either variance or 1-year ahead Value-at-Risk (the latter is highly relevant to solvency capital requirements). Three real data illustrations are constructed to demonstrate (1) the impact of population basis risk and cohort effect uncertainty on hedge effectiveness, (2) the benefit of dynamically adjusting a delta longevity hedge, and (3) the relationship between risk premium and hedge effectiveness.     

Hedging Large Portfolios of Options in Discrete Time*

The problem studied is that of hedging a portfolio of options in discrete time where underlying security prices are driven by a combination of idiosyncratic and systematic risk factors. It is shown that despite the market incompleteness introduced by the discrete time assumption, large portfolios of options have a unique price and can be hedged without risk. The nature of the hedge portfolio in the limit of large portfolio size is substantially different from its continuous time counterpart. Instead of linearly hedging the total risk of each option separately, the correct portfolio hedge in discrete time eliminates linear as well as second and higher order exposures to the systematic risk factors only. The idiosyncratic risks need not be hedged, but disappear through diversification. Hedging portfolios of options in discrete time thus entails a trade‐off between dynamic and cross‐sectional hedging errors. Some computations are provided on the outcome of this trade‐off in a discrete‐time Black–Scholes world.     

基于Copula函数的我国股指期货风险及套期保值实证研究

运用SJC-Copula-GJR模型,计算了持有沪深300股指期货多头和空头两种组合的VaR值和最优投资比例,模型的特点是能够准确地描述尾部相关关系,且其对尾部相关性的描述是非对称的,所得结论为投资者进行风险管理提供了可靠的依据.同时,通过构造加权的非线性相关系数来计算沪深300股指期货最优套期保值比率,解决了分布非正态、期货与现货非线性的问题,准确地度量了股指期货收益率序列的动态相依关系,实证研究表明基于Copula函数的套期保值有效性明显地优于传统模型.     

Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach

Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has issued. We find that by imposing transaction costs, the insurance company reduces the rebalancing of the hedge portfolio. The cost of establishing the hedge portfolio also increases as the transaction cost increases. For the multi-period guarantee there is a rather large rebalancing of the hedge portfolio as we go from one period to the next. By introducing transaction costs we find the size of this rebalancing to be reduced. Transaction costs may therefore be one possible explanation for why we do not see the insurance companies performing a large rebalancing of their investment portfolio at the end of each year.     

Supply chain network equilibrium with strategic financial hedging using futures

In this paper, we develop a network equilibrium model for supply chain networks with strategic financial hedging. We consider multiple competing firms that purchase multiple materials and parts to manufacture their products. The supply chain firms’ procurement activities are exposed to commodity price risk and exchange rate risk. The firms can use futures contracts to hedge the risks. Our research studies the equilibrium of the entire network where each firm optimizes its own operation and hedging decisions. We use variational inequality theory to formulate the equilibrium model, and provide qualitative properties. We provide analytical results for a special case with duopolistic competition, and use simulations to study an oligopolistic case. The analytical and simulation studies reveals interesting managerial insights.