期刊论文

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

中文

系统工程学报

1000-5781

2019

34

5

656-671

10.13383/j.cnki.jse.2019.05.008

71501076:国家自然科学基金 2014A030310454:广东省自然科学基金 CCNU19A06043:中央高校基本科研业务费专项华中师范大学项目 CCNU19TD006:中央高校基本科研业务费专项华中师范大学项目

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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...

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...