基于ECM-DCC模型的期货动态CVaR套期保值模型及其实证分析

期货套期保值是企业以及投资者管理和防范现货价格波动风险的基本工具,其核心问题是套期比的估算。本文以综合考虑收益和风险、并反映套保者风险态度的CVaR为优化目标,通过利用考虑期货和现货之间的协整关系、联合收益的短期动态变化性、两者波动率以及相关程度的结构动态性等特征的ECM-DCC模型对期货和现货收益的联合动态变化过程加以描述,建立期货动态CVaR最优套期保值比率模型。该比率具有明确的动态解析公式,其很好地解决了现有CVaR套期比的静态问题以及数值解的复杂性问题。与基于样本矩的静态模型和ECM-CCC模型的样本内外实证对比研究表明本文所提模型的套期保值效果优于其他两种模型,尤其在现货和期货价格波动剧烈、相关性较低时期,本文方法只需相对较少的期货便可达到更优的套期保值效果。     

基于风险约束的套期保值模型及沪深300股指实证研究

提出利用风险价值VaR建立套期保值资产组合的风险约束.以套期保值资产组合收益最大为目标,以控制套期保值资产组合风险为约束,建立了基于风险约束的套期保值模型.该模型在有效控制风险的基础上,可以大幅提高套期保值资产组合的收益.对沪深300股指现货和期货的数据进行了实证分析,对比了现有研究的最小二乘((OLS)、向量自回归(VAR)、向量误差修正(VEC)三种模型以及本文建立的基于风险约束的期货套期保值模型.样本内检验结果表明,本模型比现有研究模型的收益有大幅提高,平均增加81.6%.同时并没有失去对风险的控制,与现有研究模型只有5.32%的差别.对于样本外检验,模型在控制风险和提高收益两个方面都要优于现有研究模型.模型比现有研究模型平均可提高收益21.4%,平均降低风险3.61%.     

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。     

基于最小模糊方差的最优交叉套期保值模型

采用隶属度消除期货和现货收益率的异常波动对套期保值的影响,用非线性风险叠加原理描述多种期货对一种现货的组合风险,在最小方差套期保值模型的基础上,建立了基于最小模糊方差的最优交叉套期保值模型。本模型的创新与特色一是通过多种期货对一种现货的交叉套期保值提高了套期保值的有效性。这解决了仅用一种期货对一种现货进行交叉套期保值而导致风险较大的问题。二是用隶属函数对期货和现货收益率赋权消除离散程度大的收益率对最优套期比的影响。在采用隶属函数赋权的情况下,离散程度大的期货和现货收益率会被自动地赋予较小的权重,有效地减小了异常数据对最优套期比的影响。三是用非线性风险对冲原理叠加多种期货对一种现货的组合风险。通过期货与现货收益率的模糊协方差矩阵计算组合风险,反映了风险的非线性叠加和非线性对冲。四是现有研究的多种期货对一种现货的最小方差交叉套期保值模型仅仅是本模型在模糊隶属函数取1时的一个特例。当本模型的隶属函数为1时,本模型就是多种期货对一种现货的最小方差交叉套期保值模型;当本模型的隶属函数为1时、且研究对象为一种期货对一种现货套期保值时,本模型就是一种期货对一种现货的最小方差交叉套期保值模型。通过实证研究和与现有研究的对比分析,证明本研究所建立的模型可以有效的减小套期保值的风险并提高套期保值的有效性。     

基于期现共跳的股指期货套期保值研究

本文构建VECM-ARJI-MGARCH模型研究了中国股指期货和现货的长期均衡关系、动态方差、期现共跳特征以及套期保值绩效。结果表明,股指期货和现货表现出显著的共跳性,跳跃强度呈现较高持续性的时变特征。套期保值绩效表明,动态套保比总体优于静态套保比,包含跳跃成分的VECM-ARJI-MGARCH模型的样本外套期保值绩效好于VECM-MGARCH模型,时变跳跃强度模型的样本外套期保值绩效最好。     

基于RCMRS的套期保值时变模型及实证研究

采用随机系数马尔科夫体制转换(RCMRS)模型对中国铜期货市场套期保值比进行估计.RCMRS模型跳出GARCH类模型基于新息描述的研究框架,视最优套期保值比为随机系数,直接估计出依赖于市场体制状态的时变套期保值比.市场体制状态在模型中被视为潜在变量,和其它参数一起通过最大化似然函数估计出来.由于考虑了不同市场体制状态对套期保值比的影响,RCMRS模型估计的最小方差套期保值比波动范围要小于GARCH类模型估计结果的波动范围.均值—方差效用函数不仅反映了风险,还同时反映了收益率及风险厌恶程度.在采用方差下降百分比测度套期保值效率的同时,另外采用均值—方差效用最大化原则对RCMRS模型与GARCH、VECM、VAR及OLS模型的套期保值表现进行了样本内和样本外比较.样本内比较支持RCMRS模型,而样本外比较则不利于RCMRS模型.     

中国股票市场最优套期保值比率研究——基于高阶矩HAR模型

金融资产收益率高阶矩风险和跳跃行为是套期保值策略的重要影响因素.文章将已实现高阶矩测度和跳跃风险测度引入HAR族波动率模型,构建高阶矩HAR族波动模型,并将Copula.函数与最优高阶矩波动率模型相结合,建立含高阶矩的Copula-HAR-RV-CJSJV-D-SK套期保值模型.以沪深300指数和中证500指数以及对应的股指期货构建套期保值策略.实证表明,从方差减少比率和超额收益率两方面来看,基于新模型的套期保值效果在样本内和样本外均优于传统静态套期保值模型、时变二元GARCH族套期保值模型和Copula-GARCH族套期保值模型.     

期货套期保值最大概率与最小风险分析

研究套期保值的最大概率和最小风险问题 ,导出最大概率的套期比和最小风险的套期比 ,并且说明它们是一致的 .因此 ,所得到的套期比具有最大概率和最小风险这两大优点 .使投资者用这样的套期比进行套期保值 ,就可以最大概率保证其收益 ,并且使其风险最小 .     

全时段最优套期保值模型及实证研

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.     

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.     

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。     

A multi-stage financial hedging approach for the procurement of manufacturing materials

This paper addresses the problem of mitigating procurement risk that arises from volatile commodity prices by proposing a hedging strategy within a multi-stage time frame. The proposed multi-stage hedging strategy requires a commodity futures position to be correctly initialised and rebalanced with adequate volumes of short/long positions, so as to reduce the volatility in the total procurement cost that would otherwise be generated by varying commodity spot prices. The novelty in the approach is the introduction of the rebalancing of commodity futures position at defined intermediate stages. To obtain an efficient or near optimal multi-stage hedging strategy, a discrete-time stochastic control model (DSCM) is developed. Numerical experiments and Monte Carlo simulation are used to show that the proposed multi-stage hedging strategy compares favourably with the minimal-variance hedge and the one-stage hedge. A close-form optimal solution is also presented for the case when procurement volume and price are independent.     

Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option

In this paper the Barndorff-Nielsen and Shephard (BN-S) model is implemented to find an optimal hedging strategy for the oil commodity from the Bakken, a new region of oil extraction that is benefiting from fracking technology. The model is analyzed in connection to the quadratic hedging problem and some related analytical results are developed. The results indicate that oil can be optimally hedged with the use of a combination of options and variance swaps. Theoretical results related to the variance process are established and implemented for the analysis of the variance swap. In this paper we also determined the optimal amount of the underlying oil commodity that has to be held for minimizing the hedging error. The model and analysis are used to numerically analyze hedging decisions for managing price risk in Bakken oil commodities. From the numerical results, a number of important features of the usefulness of the Barndorff-Nielsen and Shephard model are illustrated.

     

Longevity risk,cost of capital and hedging for life insurers under Solvency II

The cost of capital is an important factor determining the premiums charged by life insurers issuing life annuities. This capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of longevity risk management using indemnity based longevity swaps compared to costs of holding capital under Solvency II. We show that, using a reasonable market price of longevity risk, the market cost of hedging longevity risk for earlier ages is lower than the cost of capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging costs than the saving in the cost of regulatory capital. The Solvency II capital regulations for longevity risk generates an incentive for life insurers to hold longevity tail risk on their own balance sheets, rather than transferring this to the reinsurance or the capital markets. This aspect of the Solvency II capital requirements is not well understood and raises important policy issues for the management of longevity risk.     

Corporate valuation,capital structure and risk management: A stochastic DCF approach

In this article we discuss a general stochastic framework for designing corporate investment, financing and risk management strategies for financially constrained firms. The strategy entailing the highest benefits for shareholders is considered to be the optimal strategy. This paper focuses on a simulation of present value distributions of the capital positions of a company, explicitly taking into account the risk of fluctuations in future cash flow as well as the risk of insolvency. The present value distribution of equity is used as a central instrument for evaluation of shareholder benefits. Expected present values are also computed. The investment and financing policy of the company pursued at the time of the valuation is reflected in certain global model parameters, which themselves influence the future profit distribution policy of the company. The main parameters are the extent of debt, the annual debt funding requirements, the average earnings power of the company – expressed as an expected annual return on total capital – and the risk of annual earnings – expressed as the standard deviation of the annual return on total capital. An explicit illustration of the volatility risk and default risk seems not only to be a suitable way of illustrating the impact of capital structure on corporate value. Such an depiction may also provide answers to the question of the link between hedging and enterprise value. This paper highlights the fact that investment, finance and hedging strategies should go hand in hand.     

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.     

Risk adjusted discounted cash flows in capacity expansion models

This paper addresses a problem that is typical of multi-period capacity expansion equilibrium models: plants or sectors have different risk exposures that may warrant different costs of capital. The paper examines modifications of a capacity expansion model interpreted in equilibrium terms to account for asset-specific costs of capital.     

期货市场中持仓量及参与者对资产价格的影响研究

本文通过建立一个期货市场的均衡模型,提出在具有套保需求和有限风险承受能力的前提下,期货价格能够预测未来资产价格变动的方向,持仓量能够辅助预测未来资产价格变动的剧烈程度;此外,市场中不知情投机者具有风险调整市场收益的作用,不知情套保者的参与能够稳定市场。对于持仓量是否能够辅助预测未来资产价格变动的剧烈程度,本文利用中国商品期货市场数据进行了实证检验,结果表明与理论研究的结论一致。     

A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates

This paper deals with the valuation and the hedging of non-path-dependent European options on one or several underlying assets in a model of an international economy allowing for both, interest rate risk and exchange rate risk. Using martingale theory and, in particular, the change of numeraire technique we provide a unified and easily applicable approach to pricing and hedging exchange options on stocks, bonds, futures, interest rates and exchange rates. We also cover the pricing and hedging of compound exchange options.     

Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints

ABSTRACT

We consider, within a Markovian complete financial market, the problem of finding the least expensive portfolio process meeting, at each payment date, three different types of risk criterion. Two of them encompass an expected utility-based measure and a quantile hedging constraint imposed at inception on all the future payment dates, while the other one is a quantile hedging constraint set at each payment date over the next one. The quantile risk measures are defined with respect to a stochastic benchmark and the expected utility-based constraint is applied to random payment dates. We explicit the Legendre-Fenchel transform of the pricing function. We also provide, for each quantile hedging problem, a backward dual algorithm allowing to compute their associated value function by backward recursion. The algorithms are illustrated with a numerical example.