Copula函数在国际棉花期权与现货组合风险度量中的应用  

The application of Copula Function in international cotton option and spot portfolio risk measurement

作　　者：刘定国[1] 

机构地区：[1]中国农业科学院农业经济与发展研究所,北京100080

出　　处：《世界农业》2016年第11期61-69,251,共9页World Agriculture

摘　　要：目前,Delta-gamma非线性法是度量含有期权组合风险的主要方法,但这个方法是基于风险中性假设的,与期权市场实际不符。为此,本文引入Copula函数刻画国际棉花期权和现货之间的相关关系,建立了基于Copula函数的国际棉花期权与现货组合风险度量模型。研究发现:Copula-GARCH模型、二元GARCH模型和Deltagamma非线性法一样,都可以用于度量期权和现货组合风险并各有优势;不同阶段要采用不同的模型,可以根据期权的虚实变化分别采用Copula-GARCH模型与Deltagamma非线性法;国际棉花期权与现货之间没有明显的尾部相关,有较弱的体部相关,动态相关性也不明显。因此,企业可以适时选择Copula-GARCH模型度量国际棉花现货和期权组合风险,同时,要认识到国际现货与期权的弱相关性特征,慎用单一的现货与期权对冲策略。At present,the Delta-gamma nonlinear method is the main method to measure the risk of portfolio assets with options,but the method is based on the assumption of risk neutral and does not match with the real options market.Therefore,we introduce copula function to describe the relationship between the international cotton option and spot,and establish the cotton options and spot portfolio risk measurement model based on Copula function.Research shows that:the Copula-GARCH model,the bivariate GARCH model and the Delta-gamma nonlinear method,can be used to measure the risk of cotton options and spot portfolio and each has its advantages.The different models should be used in different stages,the Copula-GARCH model and the Delta-gamma nonlinear method may be used respectively under in the money or out the money options.International cotton options and spot yield rate has a weak body and tail correlation,dynamic correlation is also not obvious.Therefore,enterprises can timely choose the Copula-GARCH model to measure the international cotton spot and option portfolio risk,at the same time,to realize the weak correlation between the international spot and option,use prudently a single spot and options hedging strategy.

关 键 词：棉花期权 组合风险 COPULA函数 COPULA-GARCH模型 Delta-gamma非线性法 

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