用于匯率風(fēng)險管理的衍生產(chǎn)品：貨幣期貨與期貨市場(1)(參考版)
2025-01-14 11:22本頁面
【正文】 futures hedge is nearly perfect when there is a maturity and a currency match and the underlying transaction exposure is an even increment of the futures contract size. A classification of futures hedges C u r r e n c y Ma t u r i t y E x a c t m a t c h E x a c t m a t c h M i s m a t c h M i s m a t c h C r o s s h e d g e (std / f1 = a + b std / f2+et) D e l t a c r o s s h e d g e (std / f1 = a + b f u ttd / f2+et) P e r f e c t h e d g e (std / f = a + b std / f+et) ( s u c h t h a t a = 0 , b ? 1 , a n d et= 0? D e l t a h e d g e (std /f = a + b f u ttd / f+et) H e d g e ( h e d ge r a t i o e s t i m a t i o n ) 。/$+ et 當(dāng)二者的期限匹配時，上式可變化為： std/f1 = a + b std/f2 + et f1 = currency in which the underlying exposure is denominated f2 = currency used to hedge against the underlying exposure （由前面的公式轉(zhuǎn)化而來，由即期匯率變化率替代期貨匯率變化率是因為期貨到期時的價格與即期匯率具有趨同性。為加元債務(wù)避險的美元套期保值法：加元債務(wù)的現(xiàn)貨價格變化率與美元期貨價格變化率的關(guān)系如下： st163。 )/(. f u tsf u ts ssrb ＝futtd/f std/f )/()/()( .2, f utsf utsF utF utS ssrssb ?＝ NFut*=(Amount in futures)/(Amount exposed) =b （通過歷史數(shù)據(jù)對上式回歸可以得出 b ） ? Hedge quality （對沖質(zhì)量） is measured by the rsquare (r2 = rs,fut2). r2 (or rs,fut2) measures the percentage variation in std/f explained by variation in futtd/f. High r2 ? low basis risk and a highquality hedge. Low r2 ? high basis risk and a relatively poor hedge. rsquare取值在（ 0， 1）之間 Contract size mismatch and the Hedge Ratio Contract size mismatch and the Hedge Ratio 假設(shè) b＝ ，則期貨套期保值比率： NFut*= (Amount in futures)/(Amount exposed) =b ＝ Amount in futures＝ （ ）（ Amount exposed） 如上例中，該公式有 1000萬新元的空頭，需要持有的期貨多頭為 Amount in futures＝ （ ） （ 10000000） ＝ s$10,250,000 芝加哥商品期貨交易所一份新元期貨合約金額為 125,000，所以，持有期貨合約的規(guī)模為 82 份期貨合約 :10,250,000/125,000?82 An example of a Hedge Ratio ? It is now January 8. You need to hedge a €100 million obligation due on June 3. ? The spot exchange rate is S0$/€ = $€ ? A €100,000 CME euro futures contract expires on June 16 ? Based on st$/€ = a + b futt$/€ + et , you estimate b = with r2 = .(The relatively high r2 () of this regression means that this is a relatively high quality hedge. ) ? How many CME futures contracts should you buy to minimize the risk of your hedged position? The Hedge Ratio solution ? The optimal hedge ratio for this delta hedge is given by NFut* = (amount in futures)/(amount exposed) = b ?(amount in futures) = (b)(amount exposed) = ()(€100 million) = €102 million or (€102 million) / (€100,000/contract) = 1,020 contracts Currency mismatches and cross hedges A cross hedge is used when there is a maturity match but a currency mismatch 即選擇的期貨避險合約標(biāo)的商品與現(xiàn)貨商品不同，市場上沒有類似現(xiàn)貨所發(fā)行的期貨來避險時，就要找另一個現(xiàn)貨價格有正相關(guān)，或者是同質(zhì)的產(chǎn)品來避險。 但總的來講， futures contracts can provide very good hedge, because basis risk is small relative to currency risk. Contract size mismatch and the Hedge Ratio The Forward Hedge: The hedge ratio NF*of a future position is defined as NF*=Amount in forward position/Amount exposed to currency risk=1 The Future
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