盯市风险下的期货套期保值  

Futures Hedging Under Mark-to-Market Risk

作　　者：连大祥 李安龙 张湄[3] 

机构地区：[1]美国德克萨斯州立大学圣安东尼奥分校经济系 [2]美国XL气象与能源公司 [3]上海金融学院国际金融保险学院

出　　处：《上海金融学院学报》2007年第5期5-10,共6页Journal of Shanhai Finance University

摘　　要：本文把盯市风险引入传统的期货套期保值框架,论证了在考虑盯市风险的情况下,一个关注每日最大亏损值的套期保值者会显著地减少他的期货头寸。在一个中期的套期保值期内,该套期保值者的期货套期保值头寸约为其现货头寸的80%。盯市风险的影响随着套期保值期的延长而缓慢减弱。如果套期保值者关注的是每日平均亏损值,在一个中期的套期保值期内盯市风险的影响极小。This article introduces mark-to-market risk into the conventional futures hedging framework. It is shown that a hedger concerned with maximum daily loss will considerably reduce his futures position when the risk is taken into account. In case of a moderate hedge horizon, the hedger will hedge approximately 80% of his spot position. The effect of mark-to-market risk decreases very slowly as the hedge horizon increases. If the hedger is concerned with average daily loss, the effect is minimal for a moderate hedge horizon.

关 键 词：期货套期保值 盯市风险 最优套期保值率 

分 类 号：F830.9[经济管理—金融学]