一籃子貨幣避險

Abstract

本篇論文的主要目的在於：沿用國際貨幣投資組合的精神，從一些較為流通的國際貨幣中，選取有效率的國際貨幣投資組合，建置一籃子貨幣模型，利用一籃子貨幣中「截長補短、取有餘以補不足」的特性，提供壽險公司另一項「可行且有效」的外匯避險策略，並解決當前投資海外的壽險公司所面臨昂貴避險成本的問題，而這也是本論文希望帶來貢獻所在！ 論文內容主要包含一籃子貨幣模型的建立，以及與傳統避險工具（如NDF）在外匯避險上的績效比較；最後，針對所建置的一籃子貨幣模型，探討其下方的損失風險（downside risk）與風險值的穩定性。 實證結果：「一籃子貨幣」避險模型，不論在資料期間不同、資料時間間隔不同、權重加以限制等各種假設情況下，皆確實滿足本研究目的的期盼，達到平均避險效益確實優於NDF，以及風險值（VaR）具穩定性的結果。 因此，若業主同意承受此下方風險，則「一籃子貨幣」避險模式將是一個值得考慮的避險方法，並滿足實用性、可行性與具參考性的要求。

Abstract In the present modern age, international businesses are tied more closely. Many global companies usually trade from one country to another, so “foreign exchange hedge” has become a key strategy to control the foreign exchange risk. In the following context, I plan to provide a new method (currency basket hedging model) to reduce or improve the “foreign exchange hedge cost” which most companies have met so far. With the “currency basket hedging model”, empirical analysis shows that this strategy is inexpensive. Averagely, instead of NDF, the currency basket hedging strategy has the advantage of saving hedging cost. Furthermore, its VaR estimate has a stable result. Therefore, if the owner agrees to take the downside risk (correspond to a specific critical value of a portfolio’s potential one-day profit and loss probability distribution), the currency basket hedging strategy will be a feasible, usable, effective and referable strategy.