基于VaR模型的最优套期保值比例探析——以美元远期套保为例

An Exploratory Study on the Optimal Hedging Ratio Based on the VaR Model: An Example From the Hedging by US Dollar Forward

VaR模型被认为是兼顾投机套利与套期保值两大动机的衍生工具决策模型。国内文献对此讨论较少。基于其理论推导,可以归纳地认为VaR模型具有兼容性、一般性、"期权"特征和可操作性。以美元远期套保为例,研究发现,基于VaR模型的最优套保比较之传统最优套保比、最小方差最优套保比更有优势,能够解释中国企业运用衍生工具失败的原因。但据此推论,基于VaR模型确定最优套保比在实践中仍然存在一些问题,如非正态分布、现货头寸不确定、损益报告困难等。

It is argued that the VaR model is a derivatives decision model which could meet the balance of the need of hedging and speculating. There is little discussion on this in domestic literatures. Based on the theoretic derivation, it could be concluded that the VaR model has features as compatibility, generality, ＂option＂, practicability. Taking an example from the hedging by US dollar forward, it can be found that the optimal hedging ratio based on the VaR model is more ap- propriate than that based on traditional model or minimum-variance model, and could reasonably explain why China＇s firms fail to apply derivatives. However, there are still some practical prob- lems on determining the optimal hedging ratio based on the VaR model, including non-normal distribution, uncertainty of the spot position, difficulty of reporting the profit or loss.