汇率期权套期保值模型及其应用  

Hedging Model of Exchange Rate Options and Its pplication

作　　者：余星[1,2] 张卫国 刘勇军[1] YU Xing;ZHANG Weiguo;LIUYongjun(School of Business Administration,South China University of Technology,Guangzhou 510640,China;School of Economicsand Business Administration,Central China Normal University,Wuhan 430079,China)

机构地区：[1]华南理工大学工商管理学院,广州510640 [2]华中师范大学经济与工商管理学院,武汉430079

出　　处：《系统管理学报》2019年第3期528-535,544,共9页Journal of Systems & Management

基　　金：广州市金融服务创新与风险管理研究基地资助项目;国家自然科学基金国际(地区)合作与交流重点项目(71720107002);广东省自然科学基金研究团队资助项目(2017A030312001);华中师范大学中央高校科研基本业务费资助项目(CCNU19A06043);华中师范大学高层次人才引进项目;湖北省社会科学基金一般项目(2018116)

摘　　要：针对出口企业汇率风险管理问题,考虑购买期权预算约束,建立汇率期权套期保值模型。借助Copula函数推导出套期保值组合的分布函数,建立最小化CVaR的期权套期保值模型。利用等价转换法对模型进一步转化,并给出了模型的算法步骤。最后,以中国铂金出口企业汇率期权套期保值问题进行实证分析。实证结果表明:企业利用汇率期权套期保值可以降低CVaR风险;最优敲定价格不受出口企业风险规避度的影响;企业风险规避度越大,利用汇率期权套期保值其CVaR风险越小。期权最优敲定价格随着预算的增加而增加,但在预算一定的条件下,企业不能盲目购买敲定价格高的看跌期权,建议购买敲定价格略小于汇率当前值的期权进行套期保值。In view of the exchange rate risk management issues in export enterprises, and considering the budget constraint on purchasing options, a hedging model of exchange rate options was proposed. First, the Copula function was used to derive the distribution function of the hedged portfolio. Then, the hedging model of options with the objective of minimizing CVaR(conditional value-at-risk) was established. Besides, the model was further transformed by using the equivalence transformation method, and the algorithm steps of the model were presented. Finally, an empirical analysis was conducted by taking a Chinese platinum export enterprise as an example. The results show that the CVaR can be decreased by hedging of exchange rate options. The subjective risk aversion of the enterprise does not play any role with respect to the optimal option strike price, and as the risk aversion increases, the CVaR decreases. The optimal strike price increases with the budget enhancing. However, the export enterprise should not arbitrarily buy put options with higher strike prices. Given a budget, the optimal strike price is suggested to be slightly less than the current value of the exchange rate.

关 键 词：期权套期保值 COPULA函数 等价转换法 期权预算 

分 类 号：F830.9[经济管理—金融学]