有偏广义T分布下基于缓冲超越概率的套期保值有效边界研究

企业参与套期保值是与实际运营相结合的组合优化问题。本研究基于缓冲超越概率、有偏广义T分布、条件风险价值和GARCH-M等模型与技术，考查不同风险概率下，预期损失的分布状况对套期保值决策的影响，以及负偏度因素对套期保值风险度量估计的影响，在复杂市场环境下提供满足组合优化策略的有效边界。.本课题基于缓冲超越概率理论建立最小化“厚尾事件”概率的套期保值模型，提出“厚尾事件”的风险概率与预期损失是一对非线性变化的函数，从风险概率视角丰富和完善套期保值理论。第二，基于有偏广义T分布建立套期保值风险度量的估计模型，研究负偏度对风险度量估计的影响，从潜在的概率分布角度提升模型样本内估计和样本外预测的准确性和稳定性。第三，构建绿色节能减排限制下企业运营与套期保值的组合优化的有效边界，量化运营决策与套期保值决策的相互影响，提供整体最优方案。本项目对财务风险管理决策与套期保值实践具有重要的理论价值和现实意义。

Integrated hedging and operational management are portfolio allocation problems. Based on buffered probability of exceedance (bPOE), skewed generalized t distribution (SGT), conditional value-at-risk(CVaR), GARCH-M and Monte Carlo technologies, we investigate the impacts of risk probabilities and expected losses on the hedging effectiveness. Furthermore, we examine if the negative skewness of returns affects the estimating risk measures significantly. Our study will offer risk managers efficient frontier between the risk probabilities and the expected losses in different market situations..Firstly, we propose the strategy of minimal probability of heavy tail events based on bPOE. We find a non-linear function between the risk probability and the expected losses. Secondly, we estimate hedging risk measures based on SGT model. Accurate modeling of the empirical distribution of returns is extremely important in forecasting bPOE and CVaR. Thirdly, we investigate integrated bunker hedging and consumption optimization in liner shipping under maritime emission regulations. Our project will have significant theory values and practical guidance for financial risk management.