盯市风险下的期货套期保值

Futures Hedging Under Mark-to-Market Risk

本文把盯市风险引入传统的期货套期保值框架,论证了在考虑盯市风险的情况下,一个关注每日最大亏损值的套期保值者会显著地减少他的期货头寸。在一个中期的套期保值期内,该套期保值者的期货套期保值头寸约为其现货头寸的80%。盯市风险的影响随着套期保值期的延长而缓慢减弱。如果套期保值者关注的是每日平均亏损值,在一个中期的套期保值期内盯市风险的影响极小。

This article introduces mark-to-market risk into the conventional futures hedging framework. It is shown that a hedger concerned with maximum daily loss will considerably reduce his futures position when the risk is taken into account. In case of a moderate hedge horizon, the hedger will hedge approximately 80% of his spot position. The effect of mark-to-market risk decreases very slowly as the hedge horizon increases. If the hedger is concerned with average daily loss, the effect is minimal for a moderate hedge horizon.