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把条件风险价值应用于期货组合套期保值的风险管理,分析条件风险价值对期货部位的敏感性.在一般的概率分布下,分空头套期保值和多头套期保值两种情况,导出期货组合套期保值的条件风险价值关于套期比的一阶和二阶变化率,并研究其经济意义.投资者可以根据条件风险价值的敏感度增减期货头寸,把握好用于套期保值的期货量,帮助投资者管理套期保值风险.
The conditional risk value is applied to the risk management of futures portfolio hedging, and the sensitivity of the conditional risk value to the futures position is analyzed.Under the general probability distribution, under the condition of short hedging and long hedging, the futures portfolio Hedging of the conditional risk value on the hedging rate of the first and second order rate of change and study the economic significance of investors can be based on the sensitivity of the conditional VaR increase or decrease the futures position, grasp the hedging futures Volume to help investors manage the risk of hedging.