本文選題：條件風(fēng)險(xiǎn)價(jià)值套期保值 + 時(shí)變“藤”結(jié)構(gòu)Copula　； 參考：《天津科技大學(xué)》2013年碩士論文

【摘要】：隨著金融市場的發(fā)展和金融理論的創(chuàng)新,套期保值理論也在不斷的深化發(fā)展,給廣大投資者提供更好的套期保值金融工具。套期保值模型理論的核心內(nèi)容是套期保值比率值的計(jì)算,通過套期保值比率來確定期貨對現(xiàn)貨的保值份額,達(dá)到規(guī)避現(xiàn)貨價(jià)格波動(dòng)風(fēng)險(xiǎn)的目的。論文分為五章,第一章前言部分,主要分析了論文的研究背景、研究依據(jù)、套期保值理論國內(nèi)外的研究狀況、套期保值的研究內(nèi)容和研究方法步驟以及論文的創(chuàng)新點(diǎn)。第二章主要探討了期貨市場與套期保值技術(shù)的金融風(fēng)險(xiǎn)管理理論。第三章主要研究基于條件風(fēng)險(xiǎn)價(jià)值的時(shí)變相關(guān)動(dòng)態(tài)Copula單品種期貨套期保值模型的構(gòu)建。第四章主要建立分層Copula(時(shí)變動(dòng)態(tài))多品種期貨套期保值模型和時(shí)變相關(guān)“藤”結(jié)構(gòu)(Pair-Copula)動(dòng)態(tài)Copula的多品種期貨套期保值模型。第五章和第六章為論文的結(jié)論與展望。論文的主要內(nèi)容如下。第一,構(gòu)建了時(shí)變相關(guān)Copula函數(shù)的條件風(fēng)險(xiǎn)價(jià)值的動(dòng)態(tài)期貨單品種套期保值模型。傳統(tǒng)的靜態(tài)單品種期貨套期保值模型在很大程度上并不符合真實(shí)的金融市場環(huán)境,本文通過建立用時(shí)變相關(guān)Copula動(dòng)態(tài)的單品期貨套期保值模型,即克服了靜態(tài)套期保值的缺陷,也將傳統(tǒng)用線性相關(guān)系數(shù)來刻畫變量之間的相關(guān)關(guān)系轉(zhuǎn)移到用非線性相關(guān)關(guān)系來描述變量之間的關(guān)系上來。同時(shí)采用條件風(fēng)險(xiǎn)價(jià)值模型來克服傳統(tǒng)的套期保值模型沒有將投資者的風(fēng)險(xiǎn)偏好因素考慮進(jìn)去的不足,用數(shù)學(xué)工具中的置信水平來考慮投資者的風(fēng)險(xiǎn)喜好,進(jìn)而得到基于時(shí)變相關(guān)Copula函數(shù)的條件風(fēng)險(xiǎn)價(jià)值的套期保值模型。在條件風(fēng)險(xiǎn)價(jià)值的套期保值模型中,一是用蒙特卡洛模擬方法來模擬期貨和現(xiàn)貨的收益率時(shí)間序列,克服了使用歷史數(shù)據(jù)的缺點(diǎn),更加符合未來損益情景；二是用核密度方法估計(jì)期貨和現(xiàn)貨收益率的分布方法克服了參數(shù)估計(jì)模型中人們設(shè)定數(shù)據(jù)符合某種特定分布形態(tài)的假設(shè)情況。第二,建立了時(shí)變相關(guān)“藤”結(jié)構(gòu)Copula動(dòng)態(tài)多品種期貨套期保值模型。建立多品種期貨套期保值模型克服了在現(xiàn)貨市場中沒有與之對應(yīng)期貨的現(xiàn)貨商品套期保值的問題。在多品種期貨套期保值模型構(gòu)建中,一是用“藤”結(jié)構(gòu)Copula模型很好的解決期貨和期貨以及期貨和現(xiàn)貨之間的復(fù)雜的非線性相依結(jié)構(gòu),使之多品種期貨套期保值模型能順利地建模下去；二是將時(shí)變相依Copula函數(shù)關(guān)系應(yīng)用到“藤”(Pair-Copula)結(jié)構(gòu)多元變量中去描述兩兩變量之間的動(dòng)態(tài)相依關(guān)系,就得到了時(shí)變動(dòng)態(tài)“藤”結(jié)構(gòu)Copula模型；三是用GARCH模型理論來處理期貨和現(xiàn)貨收益率的時(shí)間序列,方便選擇合適的邊緣分布。第三,建立了分層Copula函數(shù)思想的多品種期貨套期保值模型。選擇分層Copula的思想來刻畫多元變量之間的兩兩變量的相依關(guān)系,代替“藤”結(jié)構(gòu)Copula模型處理多元變量之間的關(guān)系。分層Copula的思想是用層層解析,分層構(gòu)建Copula函數(shù)的思路來描述多元變量之間的兩兩變量相依關(guān)系,使變量之間的信息損失量大大的降低,進(jìn)而求出多元變量中兩兩變量之間的非線性相依結(jié)構(gòu)關(guān)系。用這些兩兩變量之間非線性相依關(guān)系進(jìn)而求出基于分層Copula函數(shù)的多品種期貨套期保值比率值,這種分層Copula函數(shù)的套期保值建模思想也是一種新的嘗試。
[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.
【學(xué)位授予單位】：天津科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.9;F224

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本文編號(hào)：2068558