基于尾部风险管理的期权动态套保策略研究  

Research on Dynamic Hedging Strategy of Options Based on Tail Risk Management

作　　者：李腊生[1] 周猛 赵未夏 Li Lasheng;Zhou Meng;Zhao Weixia

机构地区：[1]天津财经大学统计学院,天津300222 [2]一德期货有限公司,天津300222

出　　处：《证券市场导报》2023年第6期54-66,共13页Securities Market Herald

基　　金：国家社科基金一般项目“我国金融风险底线识别及风险化解路径研究”(项目编号:20BTJ038)。

摘　　要：本文以满足一致性风险度量准则的CV aR为套保目标函数,采取从期货到期权的两步法估计期权动态最优套保比率,建立了基于尾部风险管理的期权动态套保模型,并以沪深300指数系列衍生品为样本开展了实证分析和稳健性检验。研究表明:(1)通过两步法建立的期权套保模型估计出的期权最优套保比率,既充分反映了衍生品市场与现货市场的动态相依关系,又有效克服了期权价格在不同到期阶段受标的资产价格之外因素的影响;(2)实证结果显示,不管沪深300E T F价格处于上涨周期还是下跌周期,期权动态套保效果均优于期货动态套保,充分体现了期权非线性特点在尾部风险管理中的优势;(3)策略选择上,在市场大幅波动背景下,多行权价期权组合套保效果优于单一行权价期权套保;(4)较宽的调仓阈值设置在市场涨跌幅较大时套保效果更显著。This paper takes CVaR,which meets the consistent risk measurement criteria,as the hedging objective function,estimates the dynamic optimal hedge ratio of options using the two-step method from futures to options,establishes the dynamic hedge model of options based on tail risk management,and conducts empirical analysis and robustness test on the samples of the derivatives of the Shanghai and Shenzhen 300 Index series.The research shows the following findings.(1)The optimal hedge ratio,which is estimated by the option hedge model established by the two-step method,not only fully reflects the dynamic dependence between the derivatives market and the spot market,but also effectively overcomes the impact of factors other than the underlying assets on the option price at different maturity stages.(2)The empirical result shows that the dynamic hedging effect of options is better than futures whether the CSI 300ETF is in the rising cycle or the falling cycle,which fully reflects the advantages of nonlinear characteristics of options in tail risk management.(3)In terms of strategy selection,under the background of large market fluctuations,the effect of the multi-exercise option combination hedge is better than that of the single-exercise option hedge.(4)The wider position adjustment threshold settings have a more significant hedging effect when the market fluctuations are significant.

关 键 词：尾部风险 期权非线性特征 最优套保比率 DCC-GARCH-CVaR 

分 类 号：F830.9[经济管理—金融学]