基于VaR的钢材市场基差风险研究
发布时间：2018-10-16 13:51
【摘要】：受国际金融危机余波和欧债危机持续发酵等因素影响,加之国内经济增速放缓,钢铁行业整体面临市场需求回落、产能严重过剩、价格大幅下降、行业利润下滑的困境。生产企业减少生产甚至是停产现状,而钢材贸易商则是在市场价格倒挂中亏本经营。本文从钢材贸易商的角度分析,鉴于期货市场具有价格发现和规避风险的功能,从而提出贸易商进入期货市场为企业的产品进行套期保值交易。促使钢材贸易商可以实现两条腿走路,做到“期现结合、锁定风险”,利用金融工具来规避市场风险。本文从基差的角度分析了钢材贸易商进行套期保值时面对的风险。并从实证的角度分析宏观经济因素和微观市场因素对基差的影响,并得出结论认为宏观经济因素会影响基差走势,但是效果不显著。而微观市场因素对基差存在显著的影响,因此在投资者进入市场时可以根据微观市场因素进行时点选择。在因素回归中加入滞后因子后,方程显著性明显提升。说明当基差偏离均衡值过大,由于市场的套利因素存在,基差会产生自我的修正,基差的最主要影响因素是滞后因子。因此在套期保值者进入市场的时候需要结合基差的偏离程度。本文还从在险价值的角度,提出了多头、空头套期保值基差VaR值,结合基于核估计的非参数法、GARCH族模型的参数法、四阶矩的半参数法分别计算出基差风险的在险价值,为套期保值者提供风险管理依据。实证表明了,对于基差的在险价值度量中非参数法比参数法和半参数方法较为适用目前的钢材市场。
[Abstract]:Affected by the aftermath of the international financial crisis and the continued fermentation of the European debt crisis, coupled with a slowdown in domestic economic growth, the steel industry as a whole faces the plight of falling market demand, severe overcapacity, sharp price declines and declining profits. Production enterprises reduce production or even stop production status quo, and steel traders are in the market price upside down in the loss. This paper analyzes from the point of view of steel traders, in view of the function of price discovery and risk avoidance in futures market, puts forward that traders enter the futures market to carry out hedging transactions for the products of enterprises. To enable steel traders to walk on two legs, to "combine now, lock in risk," and use financial instruments to avoid market risk. This paper analyzes the risks faced by steel traders in hedging from the point of view of basis. And from the perspective of empirical analysis of macroeconomic factors and micro-market factors on the basis of the impact, and draw a conclusion that macroeconomic factors will affect the trend of the basis, but the effect is not significant. However, the micro market factors have a significant effect on the basis difference, so investors can choose the time points according to the micro market factors when they enter the market. When the lag factor was added to the regression equation, the equation was significantly improved. It is shown that when the deviation from the equilibrium value is too large, the basis will produce self-correction due to the existence of arbitrage factors in the market, and the lag factor is the most important factor of the basis deviation. Therefore, when the hedgers enter the market, we need to combine the deviation of the basis. From the point of view of the value of risk, this paper puts forward the VaR value of long and short hedging basis, and calculates the risk value of base risk by combining the nonparametric method based on kernel estimation, the parameter method of GARCH family model and the semi-parametric method of fourth-order moment. Provide risk management basis for hedgers. The empirical results show that the non-parametric method is more suitable to the present steel market than the parametric method and the semi-parametric method.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F426.31
本文编号：2274566
[Abstract]:Affected by the aftermath of the international financial crisis and the continued fermentation of the European debt crisis, coupled with a slowdown in domestic economic growth, the steel industry as a whole faces the plight of falling market demand, severe overcapacity, sharp price declines and declining profits. Production enterprises reduce production or even stop production status quo, and steel traders are in the market price upside down in the loss. This paper analyzes from the point of view of steel traders, in view of the function of price discovery and risk avoidance in futures market, puts forward that traders enter the futures market to carry out hedging transactions for the products of enterprises. To enable steel traders to walk on two legs, to "combine now, lock in risk," and use financial instruments to avoid market risk. This paper analyzes the risks faced by steel traders in hedging from the point of view of basis. And from the perspective of empirical analysis of macroeconomic factors and micro-market factors on the basis of the impact, and draw a conclusion that macroeconomic factors will affect the trend of the basis, but the effect is not significant. However, the micro market factors have a significant effect on the basis difference, so investors can choose the time points according to the micro market factors when they enter the market. When the lag factor was added to the regression equation, the equation was significantly improved. It is shown that when the deviation from the equilibrium value is too large, the basis will produce self-correction due to the existence of arbitrage factors in the market, and the lag factor is the most important factor of the basis deviation. Therefore, when the hedgers enter the market, we need to combine the deviation of the basis. From the point of view of the value of risk, this paper puts forward the VaR value of long and short hedging basis, and calculates the risk value of base risk by combining the nonparametric method based on kernel estimation, the parameter method of GARCH family model and the semi-parametric method of fourth-order moment. Provide risk management basis for hedgers. The empirical results show that the non-parametric method is more suitable to the present steel market than the parametric method and the semi-parametric method.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F426.31
【相似文献】
相关期刊论文 前2条
1 王红兵;;如何择机转换合约[J];资源再生;2008年02期
2 ;[J];;年期
相关重要报纸文章 前3条
1 中金所供稿;套保操作实务(5)：基差风险及防范[N];期货日报;2010年
2 平安期货研究部 侯书锋;用基差风险判断股指期货走势[N];证券时报;2007年
3 兴业银行资金营运中心 高联军;互换套利应注意基差风险[N];中国证券报;2007年
相关硕士学位论文 前6条
1 王梦琨;基于ES模型的沪深300股指期货基差风险研究[D];浙江财经大学;2016年
2 郭丽花;基于VaR的钢材市场基差风险研究[D];东北大学;2013年
3 陈平;我国农产品期货市场和有色金属期货市场基差风险的波动溢出效应和动态相关性研究[D];南昌大学;2012年
4 陈锦萍;基于VaR的商品期货基差风险研究[D];暨南大学;2010年
5 秦振江;带基差风险和交易费用的不完全市场中的权证定价与避险策略研究[D];中南大学;2007年
6 杜强;基于VaR-GARCH模型的沪深300股指期货基差风险实证研究[D];浙江财经学院;2012年
，本文编号：2274566
本文链接：https://www.wllwen.com/guanlilunwen/shengchanguanlilunwen/2274566.html
