위험측정치와 VaR헤지의 유효성

• 영문명: Risk Measures and the Effectiveness of Value-at-Risk Hedging
• 발행기관: 한국통상정보학회
• 저자명: 문창권(Chang-Kuen Moon) 임춘호(Chun-Ho Yim)
• 간행물 정보: 『통상정보연구』제9권 제2호, 65~86쪽, 전체 22쪽
• 주제분류: 사회과학 > 무역학
• 파일형태: PDF
• 발행일자: 2007.06.30

영문 초록

This paper reviews the properties and application methods of widely used types of risk measures, identifies the rationale and business-side effects of hedging, derives the theoretical formula of optimal hedging ratio, and analyzes the various functional aspects of VaR(Value-at-risk) as a risk measure and a hedging tool. Especially this paper focuses on the characteristics of VaR compared with other risk measures in terms of their own principal determinants and identifies its stronger aspects in the dimension of hedging strategy tools. As well, this paper provides the detailed processes deriving the optimal hedge ratios based on the distributional parameters and risk factors.In addition, this paper presents the detailed and substantial processes of estimating the minimum variance hedge ratio and minimum-VaR hedge ratio using the actual data and shows that the minimum variance hedge ratio proves helpful for many cases although it is not appropriate for the non-linear portfolio including the option contracts.We demonstrate the trade-off relationship between the minimum variance hedge strategy and the minimum-VaR hedge strategy in their hedging costs and performances through calculation of the respective VaRs and variances of unhedged and hedged portfolios and the optimal hedge ratio and hedging effectiveness values for the given long position in US Dollar with the short position in Euro.

목차

Ⅰ. 서 론

Ⅱ. 위험측정치 형태와 VaR의 측정원리

Ⅲ. 헤징의 원리 및 유효성검정과 최적헤지비율

Ⅳ. VaR의 평가모형과 헤지유효성 추정

Ⅴ. 요약 및 결론

참고문헌

Abstract

키워드

Hedging Effectiveness Risk Measures Optimal Hedge Ratio VaR(Value at Risk) OLS