헤지비율에대한 분석(코드포함)

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헤지비율분석에 대한 분석 자료입니다.
이 분석에 필요한 코드도 있으니 참고하여 응용하시기 아주 편리하실껍니다.
(코드는 제가 직접 작성한 자료로 헤지 비율 분석하실때에 도움이 많이 되실거에요)

목차

INTRODUCTION

LITERATURE REVIEW

METHODOLOGY

EMPIRICAL TEST

CONCLUSION

REFERENCE

APPENDIX

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헤지비율분석에 대한 분석 자료입니다.
이 분석에 필요한 코드도 있으니 참고하여 응용하시기 아주 편리하실껍니다. (영어자료임)

INTRODUCTION
In the market, there are many risks including credit risk, market risk and operational risk. So it is very important to reduce their portfolio exposures. Indeed, portfolio managers seek to develop investment techniques to minimize risks and to optimize returns.
KOSPI200 index futures should offer effective methods for risk management to investors such as banks, securities companies and insurance companies. And it is possible to take nonsystematic risk for excess return without systematic risk. So investors should get the positive returns without systematic risk.
To hedging efficiently, we have to know the correct hedge ratio between portfolio and KOSPI200 index futures. Then portfolio exposures should be decreased.
There are a lot of ways to estimate the optimal hedge ratio but no big difference of efficiency.
A hedge ratio estimated by Ordinary Least Squares (OLS) is often superior to another hedge ratio estimated by sophisticate method on hedging efficiency. In this reason, we will use OLS to estimate hedge ratio.
HR=ρ
SD(Stock)
SD(Future)
=
COV(Stock,Future)
Var(Future)
The Hedge ratio depends on the volatilities. So the volatilities are very important for risk management and hedging.
What are the volatilities which have high hedge effectiveness?
There are a lot of ways for hedging. We use the minimum variance hedging model because reducing risks is the most goal of hedging,

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