大宗商品场外期权风险管理系统  

Commodities OTC options risk management system

作　　者：王桑原 胡越 代路阳 李可然 徐亮 邓华林 胡潇文 Wang Sangyuan;Hu Yue;Dai Luyang;Li Keran;Xu Liang;Deng Hualin;Hu Xiaowen(School of Business Administration/Research Institute of Big Data,SWUFE,Chengdu 611130,China;Business School,City University of Hong Kong,Hong Kong,China;International College of Yunnan Agricultural University,Kunming 650201,China)

机构地区：[1]西南财经大学工商管理学院/大数据研究院,成都611130 [2]香港城市大学商学院,中国香港 [3]云南农业大学国际学院,昆明650201

出　　处：《数智技术研究与应用》2025年第1期73-82,共10页SmartTech Innovations

基　　金：国家自然科学基金面上项目(71971177);国家自然科学基金联合项目(U1811462);国家自然科学基金重点专项(72342012)。

摘　　要：当期货公司风险管理子公司(以下简称:风险子公司)签订一个场外期权合约后,为了实施风险管理,需要对标的资产进行场内对冲,最常用的对冲方式为Delta对冲。Delta对冲中波动率的计算涉及到波动率参数的选取,最常用的两种选择是实现波动率和隐含波动率。使用隐含波动率对冲时,在理想情况下整体对冲的累积收益具有单调性这个良好的性质,便于风险子公司管理风险和保证金,被广泛应用于业界。但目前很多品种没有场内期权,隐含波动率无法直接观测。文章提出了一种基于相关上市品种的拟合隐含波动率预测模型,称为关联品种增强相对估值RERV模型。基于该模型,研究开发了一套场外期权的对冲系统,指导完成了实际的Delta对冲,模型和系统均展现出较满意的实证效果。When a risk management subsidiary of a futures company(hereinafter:risk subsidiary)enters into an OTC option contract.For the purposes of risk management,standard hedging of underlying asset is required,and the most common hedging method is delta hedging.The calculation of volatility in Delta hedging involves the selection of volatility parameters,and the two most frequent choices are historical volatility and implied volatility.When using implied volatility,the nature of constant monotonicity throughout cumulative return of the entire hedge under the ideal case makes it convenient for risk subsidiaries to manage risk and margin.Therefore,it is widely used in the financial industry.However,currently many underlying assets do not have exchangetraded options so implied volatility is not directly observable.In this paper,we have proposed a fitted implied volatility forecasting model based on correlated listed underlying assets,named as the Related Enhanced Relative Value(RERV)model.Based on this model,we have developed a hedging system of OTC options trading for the purpose of guiding the completion of actual Delta hedging.Both the model and the system showed relatively satisfactory empirical results.

关 键 词：场外期权 Delta对冲 隐含波动率 RERV模型 风险管理 

分 类 号：F83[经济管理—金融学]