考虑结算风险的套期保值研究  

Research of Hedging under Settlement Risk

作　　者：周颖[1] 吴哲慧[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《数理统计与管理》2009年第6期1074-1081,共8页Journal of Applied Statistics and Management

基　　金：国家自然科学基金资助项目(70571010);中期协联合研究计划资助项目(GT200410和Z200505)

摘　　要：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。The futures market s risk shift function is mainly carried out through the hedging strategy, and the key point of hedging is determination of hedge ratio.The existing hedging researches emphasize particularly on price volatility risk,and ignore another significant risk factor we call settlement risk produced by mark to market system.This paper establishes the futures hedging model under settlement risk,which can effectively balance the price volatility risk and the settlement risk.There are three idiographic characteristics. Firstly it reflects the settlement risk aversion attitude in the hedge ratio, and implies the influences of settlement risk on futures hedge decision-making. Secondary in the particularly assumption, the hedge ratio of this paper tend towards the MV ratio. Thirdly it uses the ARMA model to forecast the price trend of futures and spot, which can perfectly reflect futures＇ first order stationary and seasonal variability, then makes the estimated hedge ratio more accurate and authentic.

关 键 词：套期保值 结算风险 ARMA预测 

分 类 号：F830.9[经济管理—金融学] O224[理学—运筹学与控制论]