风险管理 对冲策略理论与应用

对冲是一种风险管理策略。风险对冲是管理利率风险、汇率风险、股票风险和商品风险非常有效地方法。本书稿分为两部分：第一部分是理论背景，介绍了对冲思想和知识的基础知识，包括对冲比率、对冲策略、资产对冲和组合对冲的概念，以及对冲的具体类型——对冲基金和对冲基金策略。第二部分是方法和应用背景，展示了对冲方法的类型，包括用期货进行对冲、投资组合方差最小化、因素中立的方法、系统风险的β对冲、基于VaR和CVaR的对冲组合问题，短缺最小化的对冲策略，所有的对冲方法都应该验证对冲的有效性，使用重新评价的方式来测试和寻找很好效率的对冲策略。本书的读者对象为对冲策略的风险管理建模方面的研究人员、从业人员和研究生。

PART I THEORETICAL BACKGROUND
Chapter 1 Basics of Hedging
1.1 No hedge
1.2 Naïve hedge
1.3 Hedging Strategies
1.4 Hedge Ratio
1.4.1 Rolling Window OLS
1.4.2 GARCH Models
1.4.3 Volatility Model-based Minimum Variance Hedge Ratio
1.5 Hedge Fund Strategy
Chapter 2 Concepts of Asset Hedge
Chapter 3 Portfolio Hedge
PART II METHODOLOGY – APPLICATION BACKGROUND
Chapter 4 Hedging with Futures
Chapter 5 Portfolio Variance Minimization
Chapter 6 Factor-Neutral Approaches
Chapter 7 Beta Hedging
Chapter 8 Value at Risk Minimization
Chapter 9 Hedging Portfolio Problem Based on CVaR
Chapter 10 Hedging Strategy of Shortfall Minimization
Chapter 11 Verification: Re-evaluation Hedging Strategy Performance
11.1 Hedging Effectiveness - Variance
11.2 Hedging Effectiveness – Semi Variance
11.3 Hedging Effectiveness – LPM
11.4 Hedging Effectiveness - VaR
11.5 Hedging Effectiveness - CVaR
CONCLUSION AND OUTLOOK
References
Denotations, Symbols, and Abbreviations
List of Table
List of Figures