极端事件下相关性风险对冲策略研究

当世界各国出现极端事件时,金融资产之间的相关性风险会显著上升,因此如何事前防范并对冲相关性风险成为金融风险管理及应急管理的重要而迫切的课题.由于指数波动率受到市场流动性、个股波动率与个股间相关系数的共同影响,而个股波动率不受个股间相关系数的影响,因此,当极端事件发生时,股票指数波动率会由于资产间相关系数的提高而大幅提高,这样股指期权的价格就会随之大幅升高.而个股期权价格仅受个股波动率影响,与相关性的变动无关,此时股指期权价格比个股期权价格高出来的部分就包含了"相关性风险"的溢价.从理论上说,股指期权价格因为包含了相关性风险的溢价,所以可以用来对冲个股组合的相关性风险.本文通过厘清指数波动率风险和个股波动率风险,从中剥离出个股间的相关性风险,并对相关性风险进行对冲.本文利用香港恒生指数期权及其成分个股从2007年3月1日至2011年8月31日的日数据进行实证研究,研究结果表明当极端事件发生时,恒生指数个股之间的相关性风险显著上升,本文所构建的相关性交易策略能够对冲组合中个股间的相关性风险,起到事先控制和防范个股之间的相关性风险的作用,并且给投资者带来一定的收益.

A research on hedging strategy of correlation risk when extreme events happen

When extreme events happen in the world, the correlation risk among assets rises outstandingly. So how to prevent and hedge the correlation risk in advance becomes an important subject for financial risk management and emergency management. Indeed, the volatility of index is influenced by the market liquidity, stock volatility and the correlation coefficient among stocks, while the stock volatility is not influenced by the correlation coefficient. Therefore, when the extreme events happen, the volatility of index will increase significantly because of the increasing correlation coefficient among assets. As a result, the price of index option will increase substantially. While the price of stock option is only influenced by the stock volatility and is irrelevant to the correlation coefficient, then the difference between stock index option price and the price of stock options contains the "correlation risk premium". Therefore, in theory, the index option can be used to hedge the correlation risk because the index option price contains the "correlation risk premium". Finally, in order to establish a trading strategy to hedge the correlation risk among stocks, we compare the index volatility risk and the stock volatility risk, strip out the correlation risk among stocks, and then hedge the correlation risk. In this paper, we use the Hang Seng Index option and its component stocks for empirical research. The date ranges from March 1, 2007 to August 31, 2011. The empirical result shows that when the extreme events happen, the correlation risk among the Hang Seng Index stocks increases significantly. The correlation trading strategy built in this paper can be used to hedge the correlation risk among stocks in the portfolio and it makes a contribution to control and prevent the correlation risk among stocks in advance, and gives investors a certain amount of revenue.