【作者】 李剑锋；

【导师】 屈文洲；

【作者基本信息】 厦门大学 ， 工商管理， 2013， 硕士

【摘要】 近年来,人民币汇率形成机制改革不断深入,人民币国际化进程逐步加快。为适应新的市场环境,提升外汇交易市场参与者的创新能力和风险管理水平,我国外汇监管当局于2011年在境内外汇交易市场引入了人民币对外汇期权交易工具。虽然作为一种货币期权,人民币对外汇期权与国际市场上流行的各类期权交易工具在原理和功能上并无本质的区别。但由于人民币对外汇期权所处市场的特殊性使其运用方式有别于其他货币期权。本文从境内人民币对外汇交易市场的特点入手,通过分析我国现阶段汇率制度安排、外汇监管政策、境内外汇市场交易规则以及人民币即期汇率走势的特殊性,建立起当前市场环境下人民币对外汇期权组合策略运用的分析框架。在此框架下,以布莱克-斯科尔斯-默顿定价模型作为各类市场变量的解析工具,对2005年人民币汇率形成机制改革以来的各类市场变量进行实证分析。分析结果表明人民币对外汇期权波动率具有两方面的特性：其一、相对于其他主要商品货币,人民币波动率总体水平较低；其二,相对于实际波动率而言,人民币对外汇期权的隐含波动率水平偏高,而其中做市商所要求的风险溢酬又占有较大的比重。基于上述分析果,本文使用历史模拟法和蒙特卡洛模拟法对当前市场环境下可行的各类人民币对外汇期权交易策略的盈利能力和套期保值效率做了分析。主要研究结论有以下几点：一、波动率是影响期权组合策略绩效的最重要参数；二、相较于目前广泛使用的远期结售汇等套期保值交易工具而言,人民币对外汇期权既可以提供相近的套期保值效率,还具备更高的盈利能力；三、期权交易组合的构建和优化是影响人民币对外汇期权交易组合绩效表现的两个重要因素；四、以数理分析为基础并引入适当的计算机辅助工具,将可以使商业银行在实际营销工作中根据客户的各种具体需求深度定制人民币对外汇期权组合产品。更多还原

【Abstract】 In recent years the reformation of the mechanism of RMB exchange rate and the process of the internationalization of RMB are accelerating gradually. To adapt to the new market environment and improve the foreign exchange market participants’ innovation ability and risk management levels, China’s foreign regulatory authorities allowed the RMB against foreign exchange option trading in the onshore foreign exchange market in2011.Although as a currency option, there is no essential difference in principle and functionality between the RMB options and the other popular instruments of currency option which is in the international financial market. Owing to the particularity of the market, the use of the RMB options is different from other currency options.Starting with the characteristics of RMB against foreign exchange markets, through a special analysis of China’s current exchange rate arrangements, the regulatory policy about foreign exchange, the trading rules and practices of the domestic foreign exchange market as well as the analysis of the trend of the RMB spot rate, this paper establishes the analysis framework about the RMB FX option portfolio strategies in the current market environment. In the framework, using the Black-Scholes-Merton pricing model as analytical instruments of various market variables, this paper analyzes many kinds of the RMB FX market variables since2005. Analysis results show that volatility of RMB option has the characteristics of two aspects:First, compared with other major commodity currencies, the overall level of the volatility of RMB is low; Second, compared with the realised volatility, the implied volatility of the RMB option is too high, in which the required risk premium of market makers takes a large proportion.Based on the above analysis, this paper uses the historical simulation method and Monte Carlo simulation method to analyze the profitability and hedging effectiveness of the practical RMB FX option portfolio strategies in the current market environment.The main conclusions are as follows:First, the volatility is one of the most important parameters affecting the option portfolio strategy’s performance; Second, compared with the widely used forward contract of RMB and other hedging instruments, the RMB option can not only provide similar hedging efficiency, but also have a higher profitability, Third, the construction and optimization of the portfolio of RMB option are the two most important factors that influence the performance of the portfolio’s performance. Fourth, based on the mathematical analyses and using appropriate computer aided decision support system, commercial banks can customize the portfolio of RMB option according to the customer’s specific demands in the actual marketing work.更多还原