基于凸度的套期保值模型及分析  

Convexity based hedge with Treasury futures: Model and numerical analysis

作　　者：杨宝臣[1] 张玉桂[1] 姜中锡[2] 

机构地区：[1]天津大学管理学院,天津300072 [2]新加坡南洋理工大学,新加坡639798

出　　处：《管理科学学报》2005年第6期69-73,82,共6页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70471051)

摘　　要：传统的债券久期和凸度的套期保值是非最优的,通过考虑国债期货和其最便宜交割债券之间定价关系推导了其正确的套期比率.套期比率方程明确表示了每种套期工具对对冲即期和远期利率风险的贡献,数值分析表明传统的套期方法存在过度套期.当(1)套期期限越长;(2)利率期限结构形状越陡峭;或(3)最便宜交割债券的息票率越高时,对高息票债券的过度套期程度越大.此结论对不同到期期限的债券和最便宜交割债券具有鲁棒性.Traditional hedges of bond duration and convexity are non-optimal. We derive correct hedge ratios by capturing the neglected volatility linkage between Treasury futures and cheapest-to-deliver Treasuries. Our hedge-ratio equations specify each hedge instrument＇s contribution against short-term spot and forward rate exposures. Numerical analysis indicates that traditional hedge substantially over-hedges. The relative over-hedge is especially large in hedging high coupon bond when the hedge horizon is long, the term structure is steep, or the cheapest-to-deliver is a high coupon Treasury. The results are robust to various maturities of bond and the cheapest-to-deliver Treasuries.

关 键 词：交叉套期 凸度套期 国债期货 转换因子 最便宜交割债券 数值分析 

分 类 号：F830[经济管理—金融学]