摘要
提出了考虑套期保值期内不同期限价格风险的最小平均VaR套期保值比率计算模型。基于我国外汇市场及股票市场数据,用最小平均VaR套期保值模型进行了实证分析,并同常用的最小方差及最小VaR套期保值模型进行了对比,得出了最小平均VaR模型在套期保值过程中的效果要优于其他两种模型,并能更有效地降低投资者提前终止套期保值可能面临额外风险的结论。
The article advances the calculation model of the minimum average VaR hedge ratio,which examines the price risk in different phrases throughout the hedging period.It makes an empirical analysis of the usage of VaR based on the foreign exchange market and stock market statistics and compares it with the most common minimum variance model and minimum VaR model.The article comes to the conclusion that the minimum average VaR model is superior to the other two models and can efficiently reduce the extra risk investors might face when ending a hedging contract before to its expiry.
出处
《经济问题》
CSSCI
北大核心
2011年第8期113-116,共4页
On Economic Problems
