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11.
倪 《科技情报开发与经济》2003,13(4):69-71
在国际金融实证研究中一直令人迷惑不解的是很难证实外汇波动对国际贸易存在大量的负面影响。通常的解释是因为货币套期保值很有效。文章运用1000多对国家之间的贸易数据从实证的角度验证了上述解释的合理性。通过研究有两点发现:第一,没有证据表明套期保值假设的合理性;第二,对贸易水平处于高层次的国家而言,汇率波动对贸易产生的负面影响远大于贸易水平处于低层次的国家。 相似文献
12.
Quadratic Hedging Methods for Defaultable Claims 总被引:2,自引:0,他引:2
We apply the local risk-minimization approach to defaultable claims and we compare it with intensity-based evaluation formulas
and the mean-variance hedging. We solve analytically the problem of finding respectively the hedging strategy and the associated
portfolio for the three methods in the case of a default put option with random recovery at maturity. 相似文献
13.
In this paper,we consider a Markov switching Lévy process model in which the underlying risky assets are driven by the stochastic exponential of Markov switching Lévy process and then apply the model to option pricing and hedging.In this model,the market interest rate,the volatility of the underlying risky assets and the N-state compensator,depend on unobservable states of the economy which are modeled by a continuous-time Hidden Markov process.We use the MEMM(minimal entropy martingale measure) as the equivalent martingale measure.The option price using this model is obtained by the Fourier transform method.We obtain a closed-form solution for the hedge ratio by applying the local risk minimizing hedging. 相似文献
14.
Modeling mortality co-movements for multiple populations have significant implications for mortality/longevity risk management. A few two-population mortality models have been proposed to date. They are typically based on the assumption that the forecasted mortality experiences of two or more related populations converge in the long run. This assumption might be justified by the long-term mortality co-integration and thus be applicable to longevity risk modeling. However, it seems too strong to model the short-term mortality dependence. In this paper, we propose a two-stage procedure based on the time series analysis and a factor copula approach to model mortality dependence for multiple populations. In the first stage, we filter the mortality dynamics of each population using an ARMA–GARCH process with heavy-tailed innovations. In the second stage, we model the residual risk using a one-factor copula model that is widely applicable to high dimension data and very flexible in terms of model specification. We then illustrate how to use our mortality model and the maximum entropy approach for mortality risk pricing and hedging. Our model generates par spreads that are very close to the actual spreads of the Vita III mortality bond. We also propose a longevity trend bond and demonstrate how to use this bond to hedge residual longevity risk of an insurer with both annuity and life books of business. 相似文献
15.
Konstantin Volosov Gautam Mitra Fabio Spagnolo Cormac Lucas 《Computational Optimization and Applications》2005,32(1-2):179-207
In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is used to predict the random behaviour of the forward as well as spot rates connecting dollar and sterling. A two-stage stochastic programming (TWOSP) decision model is formulated using these random parameter values. This model computes currency hedging strategies, which provide rolling decisions of how much forward contracts should be bought and how much should be liquidated.The model decisions are investigated through ex post simulation and backtesting in which value at risk (VaR) for alternative decisions are computed. The investigation (a) shows that there is a considerable improvement to “spot only” strategy, (b) provides insight into how these decisions are made and (c) also validates the performance of this model. 相似文献
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17.
通过分析预期交易套期保值会计问题的根源-会计确认不一致,认为在现行会计系统还无法从理论上得以突破的情况下,采取折衷的会计处理方法是一种恰当的选择,并就此提出了这一方法的具体设想。 相似文献
18.
Progressive hedging and tabu search applied to mixed integer (0,1) multistage stochastic programming
Many problems faced by decision makers are characterized by a multistage decision process with uncertainty about the future and some decisions constrained to take on values of either zero or one (for example, either open a facility at a location or do not open it). Although some mathematical theory exists concerning such problems, no general-purpose algorithms have been available to address them. In this article, we introduce the first implementation of general purpose methods for finding good solutions to multistage, stochastic mixed-integer (0, 1) programming problems. The solution method makes use of Rockafellar and Wets' progressive hedging algorithm that averages solutions rather than data. Solutions to the induced quadratic (0,1) mixed-integer subproblems are obtained using a tabu search algorithm. We introduce the notion of integer convergence for progressive hedging. Computational experiments verify that the method is effective. The software that we have developed reads standard (SMPS) data files. 相似文献
19.
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。 相似文献
20.
This paper proposes a Conditional Value-at-Risk Minimization (CVaRM) approach to optimize an insurer’s product mix. By incorporating the natural hedging strategy of Cox and Lin (2007) and the two-factor stochastic mortality model of Cairns et al. (2006b), we calculate an optimize product mix for insurance companies to hedge against the systematic mortality risk under parameter uncertainty. To reflect the importance of required profit, we further integrate the premium loading of systematic risk. We compare the hedging results to those using the duration match method of Wang et al. (forthcoming), and show that the proposed CVaRM approach has a narrower quantile of loss distribution after hedging—thereby effectively reducing systematic mortality risk for life insurance companies. 相似文献