套期保值的事后评价研究
发布时间：2018-09-13 12:07
【摘要】：套期保值对于企业对冲风险有重要的作用,但对金融衍生产品的不当使用导致对冲过度,从而放大企业风险。如何评价套期保值的事后绩效成为重要的研究课题。利用连续时间下的动态复制方法,以平均利润作为绩效评价的标准,从而有利于促进套期保值业务的正常发展。
[Abstract]:Hedging plays an important role in the hedging of enterprises, but the improper use of financial derivatives leads to excessive hedging, thus amplifying the risks of enterprises. How to evaluate the post-performance of hedging has become an important research topic. By using the dynamic replication method under continuous time, the average profit is taken as the standard of performance evaluation, which is helpful to promote the normal development of hedging business.
【作者单位】： 中国社会科学院研究生院金融所;
【分类号】：F832.5
[Abstract]:Hedging plays an important role in the hedging of enterprises, but the improper use of financial derivatives leads to excessive hedging, thus amplifying the risks of enterprises. How to evaluate the post-performance of hedging has become an important research topic. By using the dynamic replication method under continuous time, the average profit is taken as the standard of performance evaluation, which is helpful to promote the normal development of hedging business.
【作者单位】： 中国社会科学院研究生院金融所;
【分类号】：F832.5
【参考文献】
相关期刊论文 前1条
1 赵家敏;沈一;;股指期货最优套期保值比率——基于Copula-GARCH模型的实证研究[J];武汉金融;2008年05期
【共引文献】
相关期刊论文 前2条
1 佟孟华;陈喻U，
本文编号：2241128
本文链接：https://www.wllwen.com/guanlilunwen/bankxd/2241128.html
