摘要
以多品种期货套期保值组合的条件风险价值CVaR度量风险,运用非参数核估计和蒙特卡罗方法模拟现货和期货未来损益情景,通过求解最小CVaR值,建立了基于极端风险控制的多品种期货套期保值模型,解决了在期货价格异常变动的条件下套期保值的风险控制问题.本文以条件风险价值CVaR最小为目标控制套期保值组合的尾部损失,避免了多品种期货套期保值的极端损失,提高了套期保值的效果.采用离散化处理条件风险价值的复杂积分计算收益分布的尾部面积,使得套期保值组合的尾部损失的确定适合任意分布的情况,避免了现有研究对组合收益分布做特定假设的不合理情况,使模型适合任何分布情况的风险控制.
Using the conditional value at risk of multi-futures hedged portfolio to measure the risk, adopting kernel estimator and Monte Carlo simulation method to simulate the profit and loss of spot and futures in the future time, a multi-futures hedging decision model based on controlling extreme risk is built. The problem of risk controlling under the extraordinary change of futures price is solved. The contributions of this paper are the following three aspects. Firstly, by minimizing the conditional value at risk of hedged portfolio, the tail loss of hedged portfolio is controlled and the extreme loss of multi-futures hedged portfolio is avoided. This model improves the effect of futures hedging. Secondly, through dispersing the complicated integral of conditional value at risk to calcu- late the tail area of return distribution, the model is suitable for the risk controlling of any distribution and avoids the irrationality of prior assumption.
出处
《系统工程学报》
CSCD
北大核心
2010年第2期228-234,共7页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70571010)
中期协联合研究计划资助项目(GT200410
Z200505)
大连市科技计划资助项目(2004C1ZC227)
