【作者】 孔凡秋；

【导师】 童恒庆；

【作者基本信息】 武汉理工大学 ， 应用数学， 2004， 硕士

【摘要】 在任何以市场机构为中心的经济社会中，价格波动的风险总是不可避免地存在，而价格波动的风险又不同于一般的商业风险，它不能像一般的商业风险那样可以通过向保险公司投保的形式转移出来。如果这种价格波动风险不从现货市场中转移出来，必然会影响现货市场的正常运行。所以，人们一直在寻找转移价格风险的方法。随着金融衍生市场中衍生工具的形成，人们找到了一种转移价格风险的方法，这就是套期保值交易。 本文在回顾和总结了前人对金融市场风险测度的各种方法和思路的基础上，对各种有关的风险度量理论的优缺点进行了较为深入的分析，并结合近几年来国内外学者在此领域研究的最新成果的基础上，提出了一种在现阶段和可以预见的将来，对我国套期保值风险进行量化从而实现有效的、符合我国国情的风险管理方法。 利用期货合约进行套期保值来管理风险是一种广泛运用的交易方法。期货合约主要指将来在某一特定时间以特定的某一价格购买或出售一定数量的资产的协议。保值者在现货市场上面临的价格波动的风险是通过在期货市场上持有相反的头寸来对冲，这样在一个市场上的损失可以通过另一个市场上的收益来对冲。传统的套期保值分析采用方差来度量风险。相应的，有大量的关于期货市场的文献来寻找最小方差套期保值比。方差是一个双边风险。然而，一般的商业实践都建议采用单边风险。 风险的下偏矩计量理论有着均值方差理论不可比拟的优越性。首先，它仅将损失作为风险的计量因子，反映了投资者对风险的真实心理感受，符合行为科学的原理；其次，从效用函数的角度看，它仅要求投资者是风险厌恶型，即效用函数是凹型的，而不像方差那样要求二次型的效用函数。因而下偏矩方法被认为是风险测度的一种较好的方法。 本文要解决的主要问题是下偏矩方法中计算上的困难，计算上的主要困难在于密度函数的估计。密度函数的估计采用非参数密度函数的核估计，其中窗宽的选择是用交叉核实方法，这样使下偏矩最小可得出最优套期保值比。利用最优的套期保值比来进行套期保值策略可以更好的回避风险。更多还原

【Abstract】 In any economy society, the risk of price fluctuation exists certainly. It differs from generic business risk which can be transferred through insurance agent. If this risk of price fluctuation cannot be transferred from spot market, it will affect normal management of spot market inevitably. Therefore people are in search of methods to transfer the risk of price fluctuation at all times. Along with the formation of derivative tools in the financial derivation market, a kind of method is discovered to transfer the risk of price fluctuation which is hedging.Firstly this paper reviews and summaries the various methods and thoughts of the existing theory in estimate for financial market risk. Secondly a systematic analysis is done for the advantages and shortcomings of involved diversified theory in this field. Then basing on the achievements up to date made in domestic and abroad in related field, a novel risk management quantifying the risk of domestic hedging is proposed, which is correspond to the situation of our country and is available currently and in near future.Hedging with futures contracts is one of the most widely used techniques for managing risk. A futures contract is essentially a promise to buy or sell a specific amount of an asset at a certain time in the future for a certain price. (ledgers who face risk of price fluctuation in spot market manage to offset their exposure by taking an opposite position in the futures market, so that the losses in one market is offset by gains from the other. Traditional hedging analysis adopts variance as the risk measure. Consequently, there are many literatures on futures market searching the minimum variance hedge ratio. It’s evident that variance is a two-sided risk measure. However, the common business practice suggests a notion of one-sided risk (downside-risk).The Lower Partial Moment theory of risk measure has unsurpassable advantages than variance theory. Firstly, it regards losing only as factor of measure so that it can reflect the actual mentality for risk of investors and it accords principles in science; Secondly, in view of Utility Function, it only requires investors of risk averse. In other words, it requires that Utility Function is not quadratic as needed in variance but concave. Thus the Lower Partial Moment is regarded as a better method in estimatingfinancial market risk.The key problem in this paper is to settle difficulties in the Lower Partial Moment’s computation which lie mainly in density function estimation and bandwidth choice. Here nonparametric kernel estimation is applied to estimate density function, where bandwidth choice uses cross-validation. In this way the optimal hedge ratio can be obtained in Lower Partial Moment. Then people can evade financial market risk better by using hedging strategy with optimal hedge ratio.更多还原