Hedge Simulation Hedge Simulation Hedge Nave Hedge CH

기업 선정 및 Hedge Simulation

기업 선정 및 Hedge Simulation Hedge 방법 ① Naïve Hedge CH = pxpq. Q - px(pf - pf 0)Q ② OLS Hedge CH = pxpq. Q - px(pf - pf 0)F* ③ Double Hedge CH = pxpq. Q - px(pf - pf 0)F - (px -px 0)X - Double Hedge ratio bff : X/Q=(σxf, xqσx 2 -σxq, xσxf, x)/[σxf 2σx 2 -(σxf, x)2] bx : X/Q=(σxf 2σxq, x-σxf, xqσxf, x)/[σxf 2σx 2 -(σxf, x)2] - F=Q*bff : 구리 선물 헤지 계약 수 X=Q*bx : 환 선물 헤지 계약 수

기업 선정 및 Hedge Simulation Hedge 효과 분석

기업 선정 및 Hedge Simulation Hedge 효과 분석 Variance No Hedge Naïve Hedge OLS Hedge Double Hedge 415920. 863 84576. 88066 78044. 75345 65124. 98190 0. 792813552 0. 812559378 0. 813358708 Hedge Effect √ 변동성 비교 No Hedge > Naïve Hedge > OLS Hedge > Double Hedge √ Hedge Effectiveness Naïve Hedge < OLS Hedge < Double Hedge

기업 심층 분석 심층분석 in LME warehouses and that there is no long-term An analysis of stocks of pure copper the copper price shows correlation. Even so, stock levels do have an impact on the copper price over time. When stocks are low, the price will be relatively high; and when stocks are high, the price will be relatively low. This correlation was quite strong up to and including the financial crisis, which broke out when Lehman Brothers collapsed in 2008. But after 2008, the copper price hit a new record which was not in keeping with stock volumes at the time. This has become more independent from stock level developments since early 2009. illustrated that copper price formation

▶ 참고문헌 - 런던금속거래소: http: //www. lme. com/metals/non-ferrous/copper/contract-specifications/options/ Infomine: http: //www. infomine. com Investingcom: http: //investing. com/commodities/copper FRED: https: //research. stlouisfed. org/ OECD: http: //stats. oecd. org/ NBS: http: //stats. oecd. org/ Copper Development Association Inc: http: //www. copper. org 양승룡, 문진영, <상품선물을 통한 가격위험 관리의 효과분석>, 농업경제연구, 1999. 12. Seung-Ryong Yang, <Minimum Variance Hedge Ratios Under Commodity ∙∙∙>, 1998. 9. Bc, Baigali Khurelbaatar, <Hedge Effectiveness in copper futures>, Charles Univ in Prague, 2014. Steve hardcastle, <Hedging on the LME with futures>, Sucden Financial, 2009. 문규현, <원∙달러선물시장 이용한 헤지효과성>, 재무관리연구, 2004. 홍정효, <동태적 헤지모형을 이용한 유로환 선물시장의 헤지성관 분석>, 금융공학연구, 2009. 금융감독원 전자공시시스템, http: //dart. fss. or. kr/, ㈜ 풍산 분기보고서 ㈜ 풍산, http: //www. poongsan. co. kr/kor/ 생우, 은, 대두, 천연가스 조 PPT, PDF 자료 참조 1차 발표 참고문헌