基于Copula-GARCH方法的交叉汇率期权套期保值模型

Hedging model with cross-currency options based on Copula-GARCH method

针对进出口贸易中汇率风险管理问题,利用Copula-GARCH方法,基于改进的下偏矩风险测度(LPM)提出交叉汇率期权套期保值模型.首先,用Copula函数刻画相关结构,建立适用于任意边际分布的交叉汇率期权套期保值理论模型,并推导出模型的积分形式.然后,对交叉汇率收益序列进行GARCH模型拟合,给出基于边际收益率分布的最优模型算法步骤.最后,将模型应用于人民币外汇市场交叉汇率套期保值实证研究,并分析敲定价格,套期保值成本和风险厌恶程度等对LPM的影响.研究结果表明,将目标收益设置为收益的中位数而不是平均收益有利于投资者谨慎投资.为了降低LPM风险,建议预算较少的投资者选择平值看跌期权对冲,而预算较高的投资者可以选择实值看跌期权,但敲定价格不宜过大.

In view of the exchange rate risk in import and export trade, using Copula-GARCH method, this paper proposes a hedging model with cross-currency options based on improved lower partial moment(LPM).First, copula functions are used to describe the dependence structure. A theoretical hedging model, which is applicable in any marginal distributions, is established with cross-currency options, and integral forms of the hedging model are derived. Then GARCH models are fitted for the returns of the cross currencies, and steps of calculating the distribution of the marginal returns using the optimal model are presented. The proposed model is further validated using cross-currency hedging of RMB in the foreign exchange market. The effects on LPM caused by the strike price, hedging cost and the degree of risk aversion coefficient are also discussed.The results show that setting the median return rather than the expected return as the target return in LPM is good for prudent investment. To reduce the risk measured by LPM, investors with less budget should choose at-the-money put options hedging while those with higher budget can choose in-the-money put options. The latter shall consider an appropriate strike price which is comparatively lower than others.