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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 function of risk transfer in the futures market is mainly realized through the hedging strategy. The key issue of hedging in the futures market is the determination of the hedge ratio. The existing research on hedging focuses on avoiding price risk and ignores another important risk factor in the futures market - settlement risk. In this paper, by establishing a futures hedging decision-making model considering the settlement risk, the price risk and settlement risk in the hedging process are effectively balanced. One of the specific features is that the hedging attitude of hedging is directly reflected in the calculation of hedging ratio, which reflects the impact of settlement risk on hedging decision. Second, under certain conditions, the model’s hedging ratio approaches The minimum variance hedging ratio; the third is the use of ARMA time series method to predict futures and spot price movements, effectively reflects the first order of the futures price stability and seasonal changes, so that the estimated hedging more accurate and reliable.