英文标题：
《Optimal FX Hedge Tenor with Liquidity Risk》
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作者：
Rongju Zhang and Mark Aarons and Gregoire Loeper
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最新提交年份：
2019
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英文摘要：
We develop an optimal currency hedging strategy for fund managers who own foreign assets to choose the hedge tenors that maximize their FX carry returns within a liquidity risk constraint. The strategy assumes that the offshore assets are fully hedged with FX forwards. The chosen liquidity risk metric is Cash Flow at Risk (CFaR). The strategy involves time-dispersing the total nominal hedge value into future time buckets to maximize (minimize) the expected FX carry benefit (cost), given the constraint that the CFaRs in all the future time buckets do not breach a predetermined liquidity budget. We demonstrate the methodology via an illustrative example where shorter-dated forwards are assumed to deliver higher carry trade returns (motivated by the historical experience where AUD is the domestic currency and USD is the foreign currency). We also introduce a tenor-ranking method which is useful when this assumption fails. We show by Monte Carlo simulation and by backtesting that our hedging strategy successfully operates within the liquidity budget. We provide practical insights on when and why fund managers should choose short-dated or long-dated tenors.
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中文摘要：
我们为拥有外国资产的基金经理制定了最佳货币对冲策略，以选择在流动性风险约束下最大化其外汇套利回报的对冲期限。该策略假设离岸资产通过外汇远期完全对冲。选择的流动性风险指标是风险现金流（CFaR）。该策略涉及将总名义对冲价值分散到未来时间段中，以最大化（最小化）预期外汇结转收益（成本），因为所有未来时间段中的CFAR都不会违反预定的流动性预算。我们通过一个示例演示了该方法，其中假设较短远期可提供较高的结转贸易回报（受澳元为本币、美元为外币的历史经验的推动）。我们还介绍了一种期限排序方法，该方法在该假设失败时非常有用。我们通过蒙特卡罗模拟和回溯测试表明，我们的对冲策略在流动性预算范围内成功运作。我们提供了关于基金经理应在何时以及为什么选择短期或长期期限的实际见解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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