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外汇期货套期保值策略可以规避将来外汇现货交易风险,用条件风险价值的方法度量期货套期保值风险,分析期货量影响套期保值条件风险价值的敏感性。在t分布下,分别导出空头和多头套期保值CVaR风险关于期货量的一阶、二阶敏感度,并解释其经济意义。投资者可以根据套期保值CVaR风险的敏感程度增减期货量,使套期保值取得更好的效果。
Foreign exchange futures hedging strategy can avoid future foreign exchange spot transaction risk, using conditional VaR method to measure futures hedging risk, and analyzing the sensitivity of futures volume to hedging VaR. Under the t-distribution, we derive the first-order and second-order sensitivities of the short-term and long-hedged CVaR risks respectively and explain their economic significance. Investors can increase or decrease the futures volume according to the sensitivity of hedging CVaR risk, so that hedging can achieve better results.