任意分布下VaR的套期保值模型研究

Study on Hedging Model Based on Arbitrary Distribution of VaR

为探寻合理的套期保值比例,利用改良的VaR参数方法来衡量期货的套期保值风险,计算得出VaR数值最小时的套期保值比率,解决了VaR参数方法只适用于正态分布的情况,并利用铜期货市场的实证研究加以检验。实证研究表明,若现货价格的波动小于期货价格时,则基于任意分布VaR的套期保值模型的有效性更佳,若此时期货价格的起伏即波动率小于现货价格时,基于方差最小的套期保值模型的保值效果较好;反之,当期货收益率为负数时,结论则正好相反。

This paper first uses an advanced VaR method to measure the risk of hedging, and calculate the hedging ratio when VaR is minimum which solve the problem that the normal VaR only can be used in normal distribution. Then this paper applies this method in copper future market, and calculates the effectiveness of hedging. By comparing to the minimum variance model, the advanced VaR method is better when stock price volatility is lower than future price volatility.