确定最优套期保值比率的风险测度比较分析

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-01-21 DOI:10.1016/j.frl.2025.106795

Fernanda Maria Müller , Leonardo Teixeira Spindler , Marcelo Brutti Righi

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引用次数: 0

摘要

在最小损失和损失-偏差框架下，我们比较研究了最优套期比率估计的损失和损失-偏差度量。该研究涵盖了五个股市指数及其期货合约，涵盖了2006年至2024年的发达市场和新兴市场。结果表明，预期损失偏差（ELD）度量导致方差和风险值（VaR）分别平均减少94.5%和82%，从而优于其他传统度量，如预期不足（ES）和风险期望值（EVaR）。具有显著性水平参数的风险和损失偏差措施的有效性随着显著性水平的提高而增加。本研究通过系统地比较风险度量并突出使用损失偏差度量优化对冲策略的实际优势，为文献做出了贡献。

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Comparative analysis of risk measures for optimal hedge ratio determination

We present a comparative study of loss and loss-deviation measures for optimal hedge ratio estimation in a minimum-loss and loss-deviation framework. The study encompasses five equity market indices and their futures contracts, covering developed and emerging markets from 2006 to 2024. The results show that the Expected Loss Deviation (ELD) measure leads to an average 94.5% and 82% reduction of variance and Value at Risk (VaR), respectively, thus outperforming other traditional measures, such as Expected Shortfall (ES) and Expectile Value at Risk (EVaR). Risk and loss-deviation measures with significance-level parameters showed increased effectiveness with higher significance levels. This research contributes to the literature by systematically comparing risk measures and highlighting the practical advantages of using loss-deviation measures in optimizing hedging strategies.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance