外汇期货套期保值CVaR风险的敏感度  

Foreign exchange future hedge CVAR risk's sensitivity

作　　者：聂永红[1] 林孝贵[1] 

机构地区：[1]广东商学院,广东广州510320

出　　处：《特区经济》2009年第6期68-69,共2页Special Zone Economy

基　　金：广东省自然科学基金项目:"期货量影响期货套期保值风险的的敏感度分析"(项目编号:7004584)的部分研究成果;广东省电子商务市场应用技术重点实验室支持

摘　　要：外汇期货套期保值策略可以规避将来外汇现货交易风险,用条件风险价值的方法度量期货套期保值风险,分析期货量影响套期保值条件风险价值的敏感性。在t分布下,分别导出空头和多头套期保值CVaR风险关于期货量的一阶、二阶敏感度,并解释其经济意义。投资者可以根据套期保值CVaR风险的敏感程度增减期货量,使套期保值取得更好的效果。The exchange futures hedge strategy may dodge in the future the foeign exchange spot transaction rish, may use the conditional risk at valure the method to measure the futures hedge risk, the analysis futures quantity influence hedge conditional rish value sensitivity. Under the t distribution, and short hedge-long hedge both cases, CVaR for futures hedging is derived first order, second-order derivative, and an explanation of its economic significance. The investor may act according to the conditional value at risk the sensitive degree fluctuation futures quantity, causes the hedge to make a better progress.

关 键 词：外汇期货 套期保值 条件风险价值 敏感度 

分 类 号：F832.5[经济管理—金融学] F224