基于缓冲超越概率的风险度量及套期保值

doi:10.12005/orms.2021.0054

运筹与管理 ›› 2021, Vol. 30 ›› Issue (2): 146-154.DOI: 10.12005/orms.2021.0054

基于缓冲超越概率的风险度量及套期保值

孙晓琳¹, 胡莎莎¹, 郭海凤²

1.上海海事大学交通运输学院,上海 201306;
2.哈尔滨工业大学经济与管理学院,黑龙江哈尔滨 150001

收稿日期:2020-03-12 出版日期:2021-02-25
通讯作者: 郭海凤(1981-),女,内蒙古赤峰人,教授,博士生导师,研究方向:金融科技,公司金融。
作者简介:孙晓琳(1978-),女,黑龙江伊春人,副教授,博士后,研究方向:金融风险管理与航运衍生品;胡莎莎(1996-),女,湖北黄冈人,硕士研究生,研究方向:金融风险管理与航运衍生品。
基金资助:
国家自然科学基金资助项目(72072113,71773025,71850013);教育部新世纪人才支持计划(NCET-130167);上海市浦江人才项目(18PJC070)

Risk Measurement and Hedging Strategy Based on Buffer Probability of Exceedance Model

SUN Xiao-lin¹, HU Sha-sha¹, GUO Hai-feng²

1. College of Transport and Communications, Shanghai Maritime University, Shanghai 201306, China;
2. School of Management, Harbin Institute of Technology, Harbin 150001, China

Received:2020-03-12 Online:2021-02-25

摘要/Abstract

摘要： 尾部风险测度是风险管理中的关键点,本文利用缓冲超越概率模型,量化不同预期损失的风险概率分布,构建条件风险价值约束下的最小化“厚尾事件”概率的套期保值策略,从而将现有研究的视角拓展到考虑预期损失和风险概率的双重维度。本文通过实证数据统计和参数化拟合分布两个方法提供不同风险阈值及对应的缓冲超越概率的稳定解集合,研究结果发现,无论预期损失服从厚尾分布还是正态分布,缓冲超越概率模型均能够显著地降低市场风险和潜在的“厚尾事件”发生的概率,并提供比最小化方差稳定的套期保值比率。

关键词: 缓冲超越概率, 套期保值策略, 厚尾分布, 阈值

Abstract: The risk measure of tail distribution is the key of risk management. This paper presents the probability distribution of different expected losses based on buffed Probability of Exceedance (bPOE), which offers a new insight into risk averse. Then it develops a hedging strategy based on minimum the probability of the heavy tail event and compares it with the strategy based on minimum variance. Furthermore, this paper calculates the set of the expected losses and their corresponding probabilities. The empirical results show that under the heavy tail distribution or normal distribution, the bPOE model reduces the expected loss and risk probability significantly, which offers the stable hedging effectiveness.

Key words: buffer probability of exceedance model, hedging strategy, heavy tail distribution, threshold

中图分类号:

F830

孙晓琳, 胡莎莎, 郭海凤. 基于缓冲超越概率的风险度量及套期保值[J]. 运筹与管理, 2021, 30(2): 146-154.

SUN Xiao-lin, HU Sha-sha, GUO Hai-feng. Risk Measurement and Hedging Strategy Based on Buffer Probability of Exceedance Model[J]. Operations Research and Management Science, 2021, 30(2): 146-154.

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基于缓冲超越概率的风险度量及套期保值

Risk Measurement and Hedging Strategy Based on Buffer Probability of Exceedance Model

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