基于Copula理论的期货套期保值研究

发布时间：2018-06-26 02:02

  本文选题：条件风险价值套期保值 + 时变“藤”结构Copula　； 参考：《天津科技大学》2013年硕士论文

【摘要】：随着金融市场的发展和金融理论的创新,套期保值理论也在不断的深化发展,给广大投资者提供更好的套期保值金融工具。套期保值模型理论的核心内容是套期保值比率值的计算,通过套期保值比率来确定期货对现货的保值份额,达到规避现货价格波动风险的目的。论文分为五章,第一章前言部分,主要分析了论文的研究背景、研究依据、套期保值理论国内外的研究状况、套期保值的研究内容和研究方法步骤以及论文的创新点。第二章主要探讨了期货市场与套期保值技术的金融风险管理理论。第三章主要研究基于条件风险价值的时变相关动态Copula单品种期货套期保值模型的构建。第四章主要建立分层Copula(时变动态)多品种期货套期保值模型和时变相关“藤”结构(Pair-Copula)动态Copula的多品种期货套期保值模型。第五章和第六章为论文的结论与展望。论文的主要内容如下。第一,构建了时变相关Copula函数的条件风险价值的动态期货单品种套期保值模型。传统的静态单品种期货套期保值模型在很大程度上并不符合真实的金融市场环境,本文通过建立用时变相关Copula动态的单品期货套期保值模型,即克服了静态套期保值的缺陷,也将传统用线性相关系数来刻画变量之间的相关关系转移到用非线性相关关系来描述变量之间的关系上来。同时采用条件风险价值模型来克服传统的套期保值模型没有将投资者的风险偏好因素考虑进去的不足,用数学工具中的置信水平来考虑投资者的风险喜好,进而得到基于时变相关Copula函数的条件风险价值的套期保值模型。在条件风险价值的套期保值模型中,一是用蒙特卡洛模拟方法来模拟期货和现货的收益率时间序列,克服了使用历史数据的缺点,更加符合未来损益情景；二是用核密度方法估计期货和现货收益率的分布方法克服了参数估计模型中人们设定数据符合某种特定分布形态的假设情况。第二,建立了时变相关“藤”结构Copula动态多品种期货套期保值模型。建立多品种期货套期保值模型克服了在现货市场中没有与之对应期货的现货商品套期保值的问题。在多品种期货套期保值模型构建中,一是用“藤”结构Copula模型很好的解决期货和期货以及期货和现货之间的复杂的非线性相依结构,使之多品种期货套期保值模型能顺利地建模下去；二是将时变相依Copula函数关系应用到“藤”(Pair-Copula)结构多元变量中去描述两两变量之间的动态相依关系,就得到了时变动态“藤”结构Copula模型；三是用GARCH模型理论来处理期货和现货收益率的时间序列,方便选择合适的边缘分布。第三,建立了分层Copula函数思想的多品种期货套期保值模型。选择分层Copula的思想来刻画多元变量之间的两两变量的相依关系,代替“藤”结构Copula模型处理多元变量之间的关系。分层Copula的思想是用层层解析,分层构建Copula函数的思路来描述多元变量之间的两两变量相依关系,使变量之间的信息损失量大大的降低,进而求出多元变量中两两变量之间的非线性相依结构关系。用这些两两变量之间非线性相依关系进而求出基于分层Copula函数的多品种期货套期保值比率值,这种分层Copula函数的套期保值建模思想也是一种新的尝试。
[Abstract]:With the development of the financial market and the innovation of the financial theory, the hedging theory is constantly deepening, providing a better hedge financial tool for the majority of investors. The core content of the hedging model theory is the calculation of the hedging ratio value, and the hedge ratio can be used to determine the share of the futures to the spot. The purpose of avoiding the risk of spot price fluctuation is divided into five chapters. The first chapter is the preface. It mainly analyzes the research background, the research basis, the research status of the hedging theory at home and abroad, the content of the hedging, the steps of the research method and the innovation point of the paper. The second chapter mainly discusses the futures market and hedging. The financial risk management theory of technology. The third chapter mainly studies the construction of the time varying Copula single variety futures hedging model based on the conditional risk value. The fourth chapter mainly establishes the multi variety futures hedging model of stratified Copula (time-varying dynamic) and the multi variety period of the time-varying related "Pair-Copula" dynamic Copula. The fifth and sixth chapters are the conclusions and prospects of the paper. The main contents of the thesis are as follows. First, the dynamic futures single variety hedging model of the conditional risk value of the time-dependent Copula function is constructed. The traditional static single variety futures hedging model does not conform to the real financial market to a large extent. In the field environment, this paper establishes a single commodity futures hedging model with time-dependent Copula dynamics, which overcomes the defects of static hedging, and also transfers the correlation between variables with the linear correlation coefficient to describe the relationship between variables with nonlinear correlation. The model is used to overcome the shortcomings of the traditional hedging model, which does not take into account the risk preference factors of the investors, and uses the confidence level of the mathematical tools to consider the investor's risk preference, and then obtains the hedging model of the conditional risk value based on the time-varying correlation Copula function. In the first part, the Monte Carlo simulation method is used to simulate the time series of futures and spot returns, which overcomes the shortcomings of the historical data and is more in line with the future profit and loss situation. Two, the method of estimating the distribution of futures and spot returns by nuclear density method overcomes the specific distribution of the data set in the parameter estimation model. Second, second, the dynamic multi variety futures hedging model of the time-varying related "vine" structure is established. A multi variety futures hedging model has been established to overcome the problem of hedging the spot commodity in the spot market. "Structural Copula model is a good solution to the complex nonlinear dependence structure between futures and Futures and Futures and spot, so that the multi variety futures hedging model can be modeled smoothly; two is to apply the time-dependent Copula function relationship to the" Pair-Copula "structural variables to describe the 22 variables. Dynamic dependence relationship, we get the time-varying dynamic "rattan" structure Copula model; three is to use GARCH model theory to deal with the futures and spot rate of time series, to facilitate the selection of the appropriate edge distribution. Third, set up a hierarchical Copula function idea of multi variety futures hedging value model. Select the thought of stratified Copula to describe the multiple The dependence of 22 variables between variables, instead of "rattan" structure Copula model to deal with the relationship between multivariate variables. The thought of stratified Copula is to use layers of analytic and layered construction of Copula functions to describe the 22 variables dependent relationship between variables, so that the amount of information loss between variables is greatly reduced, and then the amount of information is greatly reduced. The nonlinear dependent structural relationship between the 22 variables in the multivariate variable is obtained. The multi variety futures hedging ratio based on the hierarchical Copula function is obtained by using the nonlinear dependence of these 22 variables. The hedging modeling idea of this hierarchical Copula function is a new attempt.
【学位授予单位】：天津科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224

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