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本文应用风险价值计量技术来度量期货套期保值的风险,并且分析期货套期保值VaR风险的敏感性。在对数正态分布下,分空头和多头期货套期保值两种情况,导出期货套期保值VaR风险关于套期比的一阶、二阶变化率,并解释其经济意义,其分析可为套期保值者根据期货套期保值VaR风险的敏感程度增减期货量提供帮助。
In this paper, we use VaR to measure the risk of futures hedging and analyze the sensitivity of VaR risk in futures hedging. Under the logarithmic normal distribution, sub-head and long-term futures hedging are two cases, deriving the first-order and second-order rates of change of hedging VaR risk and explaining its economic significance, which can be analyzed as Hedgers can help increase or decrease the futures volume based on the sensitivity of VaR risk in futures hedging.