求教 金融风险定量管理

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小白一枚，请大家多指教。
金融风险定量管理方向。
一直以来对利率（并不是国债利率，而是公司债组合收益率）的风险对冲有很大兴趣。
最近要定研究计划，不知道大家有什么好的建议么。

full hedge是目标，即便实际操作中因手续费，税金等存在 而不能完全达到，但是想做到在理论逻辑上成立。

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关键词：金融风险 hedge 风险对冲 理论逻辑 Edge 收益率 计划

有好主意么?

我没有研究过这块，我想理论上应该focus在credit risk 上，因为corporate bond的yield risk无非就是risk free (treasury)+credit spears. risk free 的yield的hedging可以用duration，credit risk的hedging比较有文章可做。

Chemist_MZ 发表于 2014-2-13 22:31
我没有研究过这块，我想理论上应该focus在credit risk 上，因为corporate bond的yield risk无非就是risk fr ...

谢谢回复。
昨天老师探谈过这个问题，他主张用interest rate swap 去hedge。不赞同把credit risk单独分出去管理。
duration 的话，不现实的假设实在太多，可能不会考虑了。
希望对你也有帮助。
顺便问一句，你是哪个方向的呢。

kouhaku 发表于 2014-2-14 21:45
谢谢回复。
昨天老师探谈过这个问题，他主张用interest rate swap 去hedge。不赞同把credit risk单独分出 ...

Ok, fair enough. IRS can do this.

But I am more concerned about the risk if the default really happens. This is the risk that the normal interest rate derivative cannot hedge, and one can't say this is impossible when he manages his Cop bond portfolio. That's why I separate the credit risk. (Roughly, treasury bond(risk free)+ CDS( Cop)=Cop bond. This is formula I am thinking about)

Of course, if you ignore this risk, your advisor is correct. The best hedging instrument is of course it's derivative. So, I am just thinking about a step further. You can ignore it :-) I am used to thinking questions in a theoretical way, so maybe mine is nonsense. The best why to find out the idea is read the existing papers on this topic.

Duration has some drawbacks, but if you take it as a local sensitivity of the bonds price respects to a small change in yield, it is a good hedge ratio. Or you can calculate the empirical hedging ratio. Since treasury and the risk free part of the Cop bond has the same risk source, it is a good hedging instrument. Many people still use BS greeks for hedging option, see how many assumptions in the BS model. :-) And you actually don't need to think duration as duration. It is just a sensitivity (I think even you use IRS, you may still need the sensitivity for hedging), Macaulay is a little useless, but modified or dollar duation is good, and are still useful for hedging.

My interest is in asset pricing, mainly on state price density (pricing kernel), but I also did many other researches in finance and financial engineering. So my interest is relatively narrow, but my research area is quite wide (most of them done with others). I am B in Econ, M in QF, and is applying for PhD in finance. Just for your reference.
Sorry to be a little wordy.

best,

Chemist_MZ 发表于 2014-2-14 23:25
Ok, fair enough. IRS can do this.

But I am more concerned about the risk if the default really  ...

Thanks for responsing.
I totally understand your concern that IRS will be ineffective when credit risk turned out to be actual a default . But don't you think it is the nature of hedge itself ? (we always expect hedge ratio determined in T0 to be precise at T1). Still, there is something realistic keeping us away from the therory ---- in market not every corporate bond issuer has its CDS . Hedging credit risk is no easy as it looks like , which I think , is the main reason he told me to stop thinking that way.
I was a B of traditional engineering and fighting for a M of financial engineering which I am not very farmiliar with .
Instead of selling studying materials , my wired questions may start to emerge here.
多多指教.

kouhaku 发表于 2014-2-16 01:11
Thanks for responsing.
I totally understand your concern that IRS will be ineffective when credi ...

By the way , some guy in my lab actually finished a paper with respect to dynamic delta hedge . I don't know why you think that is infeasible since hedge error is so small to ignore even after counting commission in .

kouhaku 发表于 2014-2-16 01:23
By the way , some guy in my lab actually finished a paper with respect to dynamic delta hedge . I  ...

1) Credit risk is a kind of "jumping" risk which I think should be taken into account for hedging. But it is just my personal thought. Or at least it is better if you can have a good picture of how the credit risk is going. For example knowing when you should drop that "risky" bond.

2) No, I didn't mean delta hedging is not good. Instead, what I want to say is that even BS has many not so reasonable assumptions, delta hedging's performance is still acceptable.

3) I don't know much about the IRS market. I think we may face the same situation as that of CDS e.g. not every company has it and not so liquid.

Finally I should say, IRS is totally OK for hedging. You can do it :-).