具有流动性风险的最优外汇对冲期限

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2019-05-29 DOI:10.21314/JOR.2021.002

Rongju Zhang, Mark Aarons, G. Loeper

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引用次数: 0

摘要

我们开发了一种最优的货币对冲策略，允许拥有外国资产的基金经理在流动性风险约束下选择能够最大化其外汇（FX）结转回报的对冲期限。该策略假设离岸资产与外汇远期完全对冲。所选择的流动性风险指标是风险现金流量（CFaR）。该策略涉及将总名义对冲价值时间分散到未来时间段，以最大化（最小化）预期的外汇结转收益（成本），前提是所有未来时间段中的CFaR都在流动性预算内得到了很好的管理。我们通过蒙特卡洛模拟和回溯测试表明，我们的套期保值策略成功地在几乎没有流动性风险的情况下提供了良好的套利交易回报。我们还提供了关于基金经理何时以及为什么应该选择短期或长期期限的实用见解。

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Optimal Foreign Exchange Hedge Tenor with Liquidity Risk

We develop an optimal currency hedging strategy that allows fund managers who own foreign assets to choose the hedge tenors that will maximize their foreign exchange (FX) carry returns within a liquidity risk constraint. The strategy assumes that the offshore assets are fully hedged with FX forwards. The chosen liquidity risk metric is cashﬂow at risk (CFaR). The strategy involves time-dispersing the total nominal hedge value into future time buckets to maximize (minimize) the expected FX carry beneﬁt (cost), given the constraint that the CFaRs in all the future time buckets are well managed within a liquidity budget. We show by Monte Carlo simulation and by backtesting that our hedging strategy successfully delivers good carry trade returns with little liquidity risk. We also provide practical insights on when and why fund managers should choose short-dated or long-dated tenors.

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.