期貨在金融機構風險規避上之應用

Abstract

近年來金融機構在法令管制逐年放寬後，除了面臨更大的利率風險外，同時在資金來源與用途上也增加了更多的不確定性。銀行傳統的缺口管理法已難以應付金融環境轉變後產生的多重風險。一九七○年代金融期貨市場的成立，為銀行提供了更多的避險工具。本文乃應用技資組合理論推導出銀行面臨利率、存款來源、與放款承諾實借額度不確定性等多重風險時，如何利用金融期貨採行更有效率的總體避險某略。

The inception of financial futures markets gives financial intermediaries the opportunity to manage their exposure to interest rate risk, even in the face of uncertainty about future period deposit flows and loan takedown. This paper devises alternative strategies for hedging the overall risk exposure of a bank. In particular, we investigate how bank management can implement a more effective multiple crosshedging strategy to manage the interest rate risk and the quantity risk. The optimal macrohedge position can be obtained by estimating coefficients from ε system of equations derived from the utility maximization problem. Then, the optimal hedge ratio for each hedging instrument is calculated from the linear combination of the coefficient estimates.