VAR模型在套期保值中的应用

摘要：作为当今世界上较为成熟的金融衍生品之一的期货交易，其基本功能之一就是套期保值了。然而在我国由于期货的发展仍处在初创期，很多交易体系还不成熟，没有相应有效的风险控制工具和相应的市场调控机制的制约，以及投资者普遍缺乏风险防范意识，所以投资者往往很难做到以低成本高收益，更有甚者会由于套利标的与方向选择不对而导致出现巨大亏损。本文通过将两个看似相互独立的模型与套保交易联系起来，推导出基于模型且假定在不同市场下的收益率服从正态分布的套期保值模型，并通过实证分析验证这种模型的可行性。 77007

本文首先简单介绍了期现套最优组合的研究的历程：从经典的套保理论开始，分别讲述了一些传统套期保值模型的研究历程，到均值/方差套保模型的建立，并对各种模型的优劣进行了对比和评价；最后，分别介绍了什么是套期保值及其原理和什么是模型及其计算方法与建模步骤，并将求解的参数法和套期保值理论联系起来，建立了基于的套期保值模型。实证部分引用上海期货交易所的铜和铝合约与对应现货进行基于的套期保值模型求解最优套期保值率，并与方差最小的套期保值模型进行比较。最后，通过正态分布下的最小的套期保值模型，引人深思展望未来。

毕业论文关键词：风险价值；套期保值率；最小风险

The application of VAR model in hedging

Abstract:Futures trading as one of the relative mature financial derivatives in the world today, the hedging is one of its basic functions。 However, owing to the futures development in our country is still in the start-up stage, quite a lot trading systems have not mature。 There is no corresponding effective risk control tools and corresponding restriction of market regulation mechanism, so the investors often can hardly make it to obtain high income with low cost, even lead to some investors arise huge losses as a result of the wrong selections of arbitrage target and direction。 In this paper through link two VAR model seemingly independent of each other up the hedging transactions, derive based on the VAR model and the assumption in different markets yields the optimal hedging obey normal distribution, and verify the feasibility of this model by empirical analysis。

In this paper, the research process of the optimal portfolio is briefly introduced: Beginning with the classic hedging theory, the paper describes the research course of some traditional hedging models respectively, then the establishment of the mean / variance hedging model, and compares and evaluates the advantages and disadvantages to various models; Finally, what is hedging and its principle and what is the VAR model and its calculation method and modeling steps are introduced respectively。 Combing the method of solving the parameters of the VAR with the hedging theory, establish the hedging model based on VAR。 The empirical section quotes the copper and aluminum contracts of Shanghai futures exchange and corresponding cash commodity, and carries out the VAR based on hedging model to solve the optimal hedging ratio, and compares it with the least variance hedging model。 Finally, by the means of the minimum VAR hedging model under normal distribution, making people ponder deeply and look forward to the future。

Key Words:The value of risk; Hedge ratio; The minimum risk

第一章：绪论 1

1。1。研究背景 1

1。2。研究意义 1

1。3。研究内容 2

1。4。研究方法 2

第二章：套期保值 VAR模型在套期保值中的应用:http://www.youerw.com/shuxue/lunwen_88434.html