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中文摘要：
商业银行作为外汇交易的主体之一,其外汇风险的规避对其自身乃至整个社会而言都至关重要,而利用外汇期货合约进行套期保值是规避外汇风险的一个重要方法。以下偏矩(Low Partial Moment LPM)为风险度量指标构造基于时变Clayton Copula函数的LPM模型,以考察商业银行的外汇套期保值:首先,采用GARCH-t模型描述日元、加元、英镑、澳元、欧元的现货和期货收益率的边际分布;其次,引入时变Clayton Copula函数刻画日元、加元、英镑、澳元、欧元的现货和期货收益率间非对称的动态相关性;最后,将时变clayton Copula参数法与实际分布法进行对比。实证结果表明,所构建的时变Clayton Copula-LPM模型能取得较理想的套期保值效果,有效规避商业银行的外汇风险。
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