金融创新中的银行信用风险及其管理

从银行信用风险来看,金融创新既是降低和分散转移风险的一种手段,但也是导致银行信用风险加大的一条重要途径,为此,政府及货币当局应在鼓励创新的前提下,加强对创新活动的引导,规范金融创新行为;强化金融监管,同时,中央银行也应主动对其货币政策进行调整、转移和创新,以增强其货币政策对金融创新的适应能力,进而促进金融发展和经济增长。     

The role of index bonds in universal currency hedging

This study examines the demand for index bonds and their role in hedging risky asset returns against currency risks in a complete market where equity is not hedged against inflation risk. Avellaneda's uncertain volatility model with non-constant coefficients to describe equity price variation, forward price variation, index bond price variation and rate of inflation, together with Merton's intertemporal portfolio choice model, are utilized to enable an investor to choose an optimal portfolio consisting of equity, nominal bonds and index bonds when the rate of inflation is uncertain. A hedge ratio is universal if investors in different countries hedge against currency risk to the same extent. Three universal hedge ratios (UHRs) are defined with respect to the investor's total demand for index bonds, hedging risky asset returns (i.e. equity and nominal bonds) against currency risk, which are not held for hedging purposes. These UHRs are hedge positions in foreign index bond portfolios, stated as a fraction of the national market portfolio. At equilibrium all the three UHRs are comparable to Black's corrected equilibrium hedging ratio. The Cameron-Martin-Girsanov theorem is applied to show that the Radon-Nikodym derivative given under a P -martingale, the investor's exchange rate (product of the two currencies) is a martingale. Therefore the investors can agree on a common hedging strategy to trade exchange rate risk irrespective of investor nationality. This makes the choice of the measurement currency irrelevant and the hedge ratio universal without affecting their values.     

面对成比例交易成本的情况下外汇期权的定价

The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading foreign currency in the market. An approach is suggested to compute the reservation bid-ask price of foreign currency call option based on maximizing the investor's expected utility. Option prices are determined from the investor's basic portfolio selection problem, without the need to solve a more complex optimization problem involving the insertion of the option payoffs into the terminal value function. Option prices are computed numerically in a Markov chain approximation for the case of exponential utility.Numerical results show that the option price bounds are almost independent of the alternative risk aversion parameter, but the bounds of NT region becomes narrower and the range of values of the initial holding for which the fair price lies within the bid-ask spread is shifted to a lower value when the risk aversion parameter increases.     

FOREIGN CURRENCY OPTION PRICING WITH PROPORTIONAL TRANSACTION COSTS

The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading foreign currency in the market. An approach is suggested to compute the reservation bid-ask price of foreign currency call option based on maximizing the investor＇s expected utility. Option prices are determined from the investor＇s basic portfolio selection problem, without the need to solve a more complex optimization problem involving the insertion of the option payoffs into the terminal value function. Option prices are computed numerically in a Markov chain approximation for the case of exponential utility. Numerical results show that the option price bounds are almost independent of the alternative risk aversion parameter, but the bounds of NT region becomes narrower and the range of values of the initial holding for which the fair price lies within the bid-ask spread is shifted to a lower value when the risk aversion parameter increases.     

Development and calibration of a currency trading strategy using global optimization

We have developed a new financial indicator—called the Interest Rate Differentials Adjusted for Volatility (IRDAV) measure—to assist investors in currency markets. On a monthly basis, we rank currency pairs according to this measure and then select a basket of pairs with the highest IRDAV values. Under positive market conditions, an IRDAV based investment strategy (buying a currency with high interest rate and simultaneously selling a currency with low interest rate, after adjusting for volatility of the currency pairs in question) can generate significant returns. However, when the markets turn for the worse and crisis situations evolve, investors exit such money-making strategies suddenly, and—as a result—significant losses can occur. In an effort to minimize these potential losses, we also propose an aggregated Risk Metric that estimates the total risk by looking at various financial indicators across different markets. These risk indicators are used to get timely signals of evolving crises and to flip the strategy from long to short in a timely fashion, to prevent losses and make further gains even during crisis periods. Since our proprietary model is implemented in Excel as a highly nonlinear “black box” computational procedure, we use suitable global optimization methodology and software—the Lipschitz Global Optimizer solver suite linked to Excel—to maximize the performance of the currency basket, based on our selection of key decision variables. After the introduction of the new currency trading model and its implementation, we present numerical results based on actual market data. Our results clearly show the advantages of using global optimization based parameter settings, compared to the typically used “expert estimates” of the key model parameters.     

基于GARCH族模型商业银行外汇风险管理的VaR方法研究

面对日趋加大的汇率波动性,商业银行外汇资产面临的风险也越来越大,风险的计量与预测在管理外汇风险中的作用也越来越重要.引入参数法下的GARCH模型对外汇市场存在的风险进行计量分析,并以此为基础运用VaR方法进一步计算外汇资产的风险补偿金,以达到预测和控制外汇风险目的.     

不确定需求下的企业最优外汇持有量模型研究

把外汇作为存货看待,考虑了外汇的持有成本、转换成本、汇率风险,外汇存款利率以及利息税率等因素,通过建立数学模型来研究不确定需求下的企业最优外汇持有量问题.     

保险赔付中的最优对冲策略

本文对带有付费过程$A_t$的保险公司在金融市场$(S_t,Q_t,B_t)$上通过购买股票$S_t$、兑换外币$Q_t$以及购买无风险资产$B_t$的投资过程而采取的最优投资策略, 使保险公司所面临的风险最小进行探讨. 利用Galtchouk-Kunita-Watanabe分解定理将风险表达式重新表达, 从而找到保险公司所能采取的风险最小的最优对冲策略. 文中举出一个具有现实性意义的例子将文章的重要结论加以应用, 使本文更具有应用价值.     

Transferring and sharing exchange-rate risk in a risk-averse supply chain of a multinational firm

This paper analyzes risk management contracts used to handle currency risk in a decentralized supply chain that consists of risk-averse divisions in a multinational firm. Particular contracts of interest involve transferring risk to a third party by using risk-transfer contracts such as currency options and re-arranging risk between supply chain members using risk-sharing contracts. Due to decentralization, operational and risk management decisions are made locally; however, a headquarter who is interested in total supply chain profit has some controllability over those activities. We question if each kind of risk management contract can improve the utility of all supply chain members compared to the utility without any of those, and how the conditions to achieve such improvements are different. Further structural differences are investigated via sensitivity analysis with respect to the transfer price, the variability of exchange rates, and the location of the headquarter. We also find that using the two kinds of contracts jointly does not necessarily result in better outcomes.     

Linear programming in the foreign exchange markets

This article demonstrates the use of a linear programming model to achieve an optimal allocation ot liquid funds among various currencies in different countries. The model takes into account interest rates, projected changes in currency values, relative risk and corporate policies and safeguards. Currency trading has reached unprecedented proportions 1. 5 trillion dollars are traded daily and the volume keeps increasing. World trade in goods, for comparison, amounts to $ 4 trillion per year.     

Valuation and hedging strategy of currency options under regime-switching jump-diffusion model

The main purpose of this thesis is in analyzing and empirically simulating risk minimizing European foreign exchange option pricing and hedging strategy when the spot foreign exchange rate is governed by a Markov-modulated jump-diffusion model. The domestic and foreign money market interest rates, the drift and the volatility of the exchange rate dynamics all depend on a continuous-time hidden Markov chain which can be interpreted as the states of a macro-economy. In this paper, we will provide a practical lognormal diffusion dynamic of the spot foreign exchange rate for market practitioners. We employing the minimal martingale measure to demonstrate a system of coupled partial-differential-integral equations satisfied by the currency option price and attain the corresponding hedging schemes and the residual risk. Numerical simulations of the double exponential jump diffusion regime-switching model are used to illustrate the different effects of the various parameters on currency option prices.     

A Modified Binomial Tree Method for Currency Lookback Options

Abstract The binomial tree method is the most popular numerical approach to pricing options. However, for currency lookback options, this method is not consistent with the corresponding continuous models, which leads to slow speed of convergence. On the basis of the PDE approach, we develop a consistent numerical scheme called the modified binomial tree method. It possesses one order of accuracy and its efficiency is demonstrated by numerical experiments. The convergence proofs are also produced in terms of numerical analysis and the notion of viscosity solution. Supported by National Science Foundation of China (No. 19871062)     

Foreign Currency Inventory Management in a Branch Bank

A branch bank may decide to stock one or more foreign currencies to meet demands from its customers and may also accumulate foreign currency as a result of customer transactions. This paper presents the branch bank's foreign currency problem as an inventory management problem and derives good (and in many cases, optimal) decision rules for this type of cash management problem.While the model presented is similar to models which have been proposed for cash management, the foreign currency problem has a number of features which lead to distinct differences. The model was developed for the Canadian situation but is generalizable to any branch having a significant volume of foreign currency transactions.     

Optimal Put Currency Option Size for an Uncertain Convertible Amount

Currency options have been used by risk averse firms to cover foreign exchange exposure, to profit from favourable exchange rate movements and to hedge the binary bidding situation. The aim of this paper is to establish a wider scope for currency options as a hedging tool for cases where the convertible amount is uncertain. The most appropriate option size derived using the concept of risk minimization is shown always to exceed the expected uncertain convertible amount.     

Credit risk exposure with interest and currency swaps

The increased use of financial derivatives like interest rate and currency swap contracts has drawn much attention, as it exposes banks to non-performance by their counterparts. This credit risk exposure is of great concern to monetary authorities, e.g. the Bank for International Settlements. In this paper a method for the determination of credit risk exposure is developed, in which the exposure is a function of interest rates, exchange rates, and lives of the contracts. To quantify the credit risk exposure, simulations of the variables have been used.     

Pricing American currency options in an exponential Lévy model

In this article the problem of the American option valuation in a Lévy process setting is analysed. The perpetual case is first considered. Without possible discontinuities (i.e. with negative jumps in the call case), known results concerning the currency option value as well as the exercise boundary are obtained with a martingale approach. With possible discontinuities of the underlying process at the exercise boundary (i.e. with positive jumps in the call case), original results are derived by relying on first passage time and overshoot associated with a Lévy process. For finite life American currency calls, the formula derived by Bates or Zhang, in the context of a negative jump size, is tested. It is basically an extension of the one developed by Mac Millan and extended by Barone‐Adesi and Whaley. It is shown that Bates' model generates pretty good results only when the process is continuous at the exercise boundary.     

中国引进外资与本币供应量之间数量关系

引进外资是影响中国货币供应量的重要因素之一，两者之间存在一定的数量关系。根据近年来的数据进行实证分析其结果表明：引进外资对中国通货膨胀有一定的影响，今后中国引进外资工作仍要慎行     

Operator trigonometry of multivariate finance

We inquire into an operator-trigonometric analysis of certain multi-asset financial pricing models. Our goal is to provide a new geometric point of view for the understanding and analysis of such financial instruments. Among those instruments which we examine are quantos for currency hedging, spread options for multi-asset pricing, portfolio rebalancing under stochastic interest rates, Black-Scholes volatility models, and risk measures.     

An E-ARCH model for the term structure of implied volatility of FX options

We construct a statistical model for the term-structure of implied volatilities of currency options based on daily historical data for 13 currency pairs over a 19-month period. We examine the joint evolution of 1 month, 2 month, 3 month, 6 month and 1 year at-the-money (50 δ) options in all the currency pairs. We show that there exist three uncorrelated state variables (principal components) which account for the parallel movement, slope oscillation, and curvature of the term structure and which explain, on average, the movements of the termstructure of volatility to more than 95% in all cases. We test and construct an exponential ARCH, or E-ARCH, model for each state variable. One of the applications of this model is to produce confidence bands for the term structure of volatility.