沪深300股指期货风险特征及动态套期保值研究-中国统计教育学会.docVIP

沪深300股指期货风险特征及 动态套期保值研究 参赛队员：王吉培 蒋 瑶 张 昕 沪深300股指期货风险特征及动态套期保值研究 摘要：股指期货在中国生存的土壤已经具备，资本市场对股指期货的推出早是翘首以待，股指期货不仅可以作为风险管理工具，有效分散和转移企业的金融风险，而且还可以充当套期保值的职能，为投资者赢得利润。本文较为系统的讨论了沪深300股指和股指仿真交易收益率的风险特征及动态套期保值比率问题。 在风险特征的描述部分，采用了度量尾部风险的极值分布，较为合理的反映了沪深300股指期货的尾部风险，并较为精确的测度了其风险值，克服了以往采用正态分布假设的不足；接下来利用Copula函数讨论了沪深300股指期货的非线性相依模式，在极值分布的基础上，以极值分布为边缘分布，对四种常用的Copula函数进行了拟合，发现Frank Copula的拟合效果最好，其次为Clayton Copula。据此，对不同组合的VaR和CvaR进行测度，发现投资组合比例与风险之间呈现“U”型特征，这也为套期保值提供了一种新的研究范式。 由风险特征、非线性关联模式过度到在引入套期保值比率的概念之后，本文试图克服以往静态套期保值率的不足，对股指期货的动态最优套期保值率和效率评价进行了系统性的研究。先后探讨t分布下的四种MVGARCH模型，并在此基础上推导了动态套期保值率，实证结果表明，基于动态套期保值比传统静态套期保值的效率有了较大程度的提高。描述动态相关的DCC模型套期保值后的效率最高，而基于CCC模型套期保值后的风险值最小。 关键词： 极值分布；Copula函数；VaR；CvaR；套期保值 The risk characters and dynamic hedging ratio of China 300 Index Futures (Southwestern University Of Finance and Economics ,Statistics University of SWUFE, E-Commerce School,Chengdu ,610074) Abstract：Stock index futures already has the developmental conditions in China, the capital market is waiting for the introduction of stock index futures for a long time, the stock index futures can not only distribute and transfer corporations’ financial risk effectively as a risk management tool, but also have the functions of a hedge which can earn profits for investors .This paper discuss extreme risks and dynamic hedging rate of the 300 stock index and stock trading simulation in China systematically. About the description of the risk characteristics, this paper use extreme value distribution measure the tail risk, and reasonably reflect the tail risk of the China 300 stock index futures, accurate measure the value at risk , overcome the past shortage using the normal distribution assumption ; then we use Copula functions to discuss the non-linear dependency model of china 300 stock index futures. Based on the extreme value distribution, extreme value distribution for the marginal distribution of the four commonly used Copula function fitting, we