Decision-Making Analysis Of Systemic Risk Elusion With Derivative Financial Instruments

In the great changes in international politics and economy since 2022,in the face of the deglobalization movement of the United States and the hegemony of the US dollar,China has begun a series of changes and updates in the financial field,especially the construction of financial security has begun to accelerate,not only the construction of institutions first,but also the structural system tends to be more complete.For example,the introduction of the Futures and Derivatives Law,the listing of new CSI 1000 index futures and options,the introduction of the stock listing registration system,the listing of 30-year treasury bond futures,and so on.These new changes are inseparable from this new era,and strategic confidence in China’s financial sector is forming.With the internationalization of RMB,the diversification of RMB assets,and the globalization of RMB settlement,China’s capital market,especially the stock and fund markets,which absorb a large amount of funds,will usher in a new era of rapid expansion.In the face of this new era,we must keep the calm thinking of scholars-the future is bright and the road is tortuous.Since the global financial tsunami in 2008,systemic financial risks have received more and more attention,and the sharp fluctuations in China’s stock market in 2015 have once again put the prevention of systemic risks in the first place,and securities equity assets as a means of preserving and increasing the value of personal pension funds and enterprise annuity wealth,has become an important means and tool in modern society,and an important investment channel after real estate.At present,the research of systemic risk in fund portfolio,especially the downside risk,is still in the stage of derivative hedging,but there is a lack of hedging research on dynamic downward risk,so this paper will focus on the hedging model of derivatives when index funds fall.First,from a theoretical point of view,according to the Markowitz mean variance theory,the avoidance of unsystematic risk of the portfolio can be achieved,while the systemic risk of the portfolio needs to achieve arbitrage-free equilibrium with the help of the M-M theorem,that is,the introduction of hedging and arbitrage strategies;The uncertainty of market risk is sometimes a dynamic equilibrium process,so it is necessary to introduce Arrow uncertain equilibrium analysis to solve the problem of downside risk.According to this idea to find a solution for this article,the Bayes’ theorem was sorted out by the French mathematician Laplace to find a theoretical basis.Second,from a practical point of view,this paper starts with the correlation analysis between CSI 300 index funds and derivatives such as stock index futures and options,samples historical range data,and uses logarithms to measure the hedging ratio.The dynamic risk avoidance model BIDH(Bayesian intraday dynamic hedging-down volatility model)based on Bayesian posterior probability was constructed,and the net value,maximum drawdown,and Sharpe rate were compared and analyzed with the traditional hedging model to verify the effectiveness of the BIDH model.Furthermore,the historical backtesting performance of the combined hedging and non-BIDH model combinations of multiple derivatives under the BIDH model is further verified by regression OLS model and design hedging scheme.Therefore,in order to further verify the performance of the BIDH model in preventing the decline of CSI 300 index funds,this paper further verifies the reliability of the BIDH model by comparing the hedging ratios of the three most important domestic derivatives(IF,IO,ETF-o)more accurately according to the characteristics of the univariate linear regression OLS model.Through the CSI 300 ETF index,the fund accounted for 73.7%of the 2 million yuan investment portfolio,and designed four asset combinations to test the effectiveness of the risk aversion model.The four combinations are:the first group is:300 ETF+10-year Treasury T;The second group is:300 ETF+(IF Futures+Jinxiao Currency Fund);The third group is:300 ETF+(IO Futures+Jinxiao Monetary Fund);The fourth group is:300 ETF+(ETF-O+ Jinxiao Currency Fund);The first group has no hedging strategy and therefore cannot avoid the downside risk of the 300 ETF fund itself,while the second,third and fourth groups use the risk aversion model BIDH constructed in this paper.Under the same BIDH model hedging,the second group performed best,(1 group:1.974 million yuan,2 groups:2.082 million yuan,3 groups:2.041 million yuan;4 groups:2.038 million yuan)Third,from the conclusion point of view,the second group of the four groups of empirical analysis portfolios found that the stock index futures IF performed the best,which is closely related to the linear correlation between stock index futures and CSI 300 index funds.At the same time,the use of STATA statistical software in the study of the hedging ratio of static OLS model regression and dynamic GARCH model regression further proves that the hedging efficiency of stock index futures IF is higher than that of stock index option IO and individual stock option ETF_O.It is found that the combination of BIDH models can not only hedge downside risks well,but also realize the hedging mode of a variety of derivatives.In summary,it is concluded that the new BIDH model is successful in solving the dynamic decline of index funds,and the dynamic judgment basis and foundation of this new BIDH model are robust,reliable,not accidental,and universally applicable.Therefore,the derivative financial instruments studied in this paper are feasible to avoid the systemic risk of spot index funds,and are an important supplement to the traditional hedging method,providing institutional investors with a new solution to uncertain downside risk.