基于相对VaR的最优套期保值比率研究

Optimal Hedge ratio Based on Relative Value at Risk

通常的套期保值研究以套期保值的资产组合的方差最小化得到的，本文在VaR的理论框架下得到基于相对VaR的最优套期保值比率的解析表达式，通过双变量Garch（1，1）模型建立境内银行闻人民币远期以及境外人民币远期（NDF）和即期汇市场的实证模型，比较两市场在相对VaR下与最小方差套期比率下的套期保值效率，发现相对VaR下的套期保值效率更优，同时境内远期市场的套期保值效率更优。

In this paper we derive a new mean-risk hedge ratio based on the concept of Value at Risk （VaR）. The proposed zero- VaR hedge ratio has an analytical solution. A bivariate dynamic correlation BEKK-GARCH（ 1,1 ） model is employed to estimate expected returns and time-varying volatilities of the RMB spot and on-shore and off-shore forward. The empirical results indicates that the conventional minimum variance hedge is inappropriate for a hedger who only cares about downside risk. Eventually,this article provides an oon-shore forward market is more effective then of-shore forward markets.