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內(nèi)容簡(jiǎn)介

　　對(duì)沖是一種風(fēng)險(xiǎn)管理策略。風(fēng)險(xiǎn)對(duì)沖是管理利率風(fēng)險(xiǎn)、匯率風(fēng)險(xiǎn)、股票風(fēng)險(xiǎn)和商品風(fēng)險(xiǎn)非常有效地方法。本書(shū)稿分為兩部分：第一部分是理論背景，介紹了對(duì)沖思想和知識(shí)的基礎(chǔ)知識(shí)，包括對(duì)沖比率、對(duì)沖策略、資產(chǎn)對(duì)沖和組合對(duì)沖的概念，以及對(duì)沖的具體類(lèi)型——對(duì)沖基金和對(duì)沖基金策略。第二部分是方法和應(yīng)用背景，展示了對(duì)沖方法的類(lèi)型，包括用期貨進(jìn)行對(duì)沖、投資組合方差最小化、因素中立的方法、系統(tǒng)風(fēng)險(xiǎn)的β對(duì)沖、基于VaR和CVaR的對(duì)沖組合問(wèn)題，短缺最小化的對(duì)沖策略，所有的對(duì)沖方法都應(yīng)該驗(yàn)證對(duì)沖的有效性，使用重新評(píng)價(jià)的方式來(lái)測(cè)試和尋找最佳效率的對(duì)沖策略。本書(shū)的讀者對(duì)象為對(duì)沖策略的風(fēng)險(xiǎn)管理建模方面的研究人員、從業(yè)人員和研究生。

作者簡(jiǎn)介

暫缺《風(fēng)險(xiǎn)管理：對(duì)沖策略理論與應(yīng)用》作者簡(jiǎn)介

圖書(shū)目錄

Preface 前言 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