Global hedging in incomplete markets

最近的金融危机突出表明，金融机构必须采取健全的风险管理做法，以避免陷入财务困境和破产。金融衍生工具的套期保值是金融机构的主要关注点;这些产品涉及复杂的风险，可能在短时间内导致极端损失。我的研究项目主要集中在套期保值程序，适用于现实的不完全市场框架，风险不能完全消除。更确切地说，我的计划旨在促进一个特定类别的对冲计划的发展，称为全球对冲。全球对冲计划可将风险降至最低，直至对冲到期。这代表了一个概念上的优势，传统的短视的方法，如三角对冲和局部风险最小化，只考虑到下一个时间段的风险。这就解释了为什么全球对冲方法表现出比本地对冲方法更高的性能，见François et al.（2012），Godin（2015）和Augustiniak et al.（2016）。

The recent financial crisis highlighted the importance of sound risk management practices for financial institutions to avoid financial hardship and bankruptcy. The hedging of financial derivatives is a prime concern for financial institutions; these products entail complex risks which can lead to extreme losses in a short amount of time. My research program focuses on hedging procedures which apply in realistic incomplete market frameworks where risk cannot be completely eliminated. More precisely, my program aims at contributing to the development of a specific category of hedging schemes referred to as global hedging. Global hedging schemes minimize risk up to the maturity of the hedge. This represents a conceptual advantage over traditional myopic methods such as delta-hedging and local risk-minimization which only consider risk up to the next time period. This explains why global hedging methods were shown to exhibit a higher performance than their local counterparts, see François et al. (2012), Godin (2015) and Augustiniak et al. (2016).