The Study On The Optimized Hedge Ratio Of CSI 300 Index Futures Based On CVaR

Since 2015,investors witnessed the myth of Chinese stock market that thousands of shares limit-up,limit down or suspended in a day,so the uncertainty of volatility put forward severe challenge for risk management. The risk of stock market contains systematic risk and unsystematic risk.The unsystematic risk can be dispersed by means of asset portfolio.Systemic risk will be hedge effectively by hedging function of stock index futures.In 2010,China officially launched the CSI 300 stock index futures.It not only end the situation that Chinese stock market can only do more,but also provides a new mechanism and tools of risk control to hedge the spot market price risk for investors. Investors can set up of reverse spot market position in the futures market,replace the spread risk with basis risk so as to realize the management of risk.In the hedging strategy,the most important is to determine the optimal hedging ratio.In this paper,it found that the stock market of China is not active like the United States,Japan and other countries based on the analysis of the development of these. So the article uses the poor yield instead of traditional logarithmic yield on the study of hedging ratio.Based on the comparison of the risk measurement index,this paper decided to adopt the minimum CVaR as the target to determine the optimal hedge ratio. As a partial,one-sided risk metrics,CVaR overcomes the VaR additive and failure on the extreme situation.In determining the volatility and correlation coefficient,this paper adopts DC-MSV and DCC-GARCH model to modeling the parameters.T distribution will instead of normal distribution hypothesis for parameter estimation considering the financial time series is biased asymmetric.Finally,this paper will measure the hedge effectiveness from two aspects of risk and comprehensive risks and benefits.And the effectiveness analysis will compare the poor yields and average yield,static and dynamic hedging model and different goals between VaR and CVaR. The results show that the effectiveness of the hedge ratio which determined by the poor yields is better than the ordinary yield;DC-t-MSV-CVaR has the best hedging effect in all the models and the DCC-t-GARCH-CVaR does not improve the hedging effectiveness of static model;the hedging effect based on the target of the least CVaR is more ideal than minimum VaR under the condition of poor yield.