CAJ | 학술논문

VaR模型被认为是兼顾投机套利与套期保值两大动机的衍生工具决策模型。国内文献对此讨论较少。基于其理论推导，可以归纳地认为VaR模型具有兼容性、一般性、“期权”特征和可操作性。以美元远期套保为例，研究发现，基于VaR模型的最优套保比较之传统最优套保比、最小方差最优套保比更有优势，能够解释中国企业运用衍生工具失败的原因。但据此推论，基于VaR模型确定最优套保比在实践中仍然存在一些问题，如非正态分布、现货头寸不确定、损益报告困难等。
VaR모형피인위시겸고투궤투리여투기보치량대동궤적연생공구결책모형。국내문헌대차토론교소。기우기이론추도，가이귀납지인위VaR모형구유겸용성、일반성、“기권”특정화가조작성。이미원원기투보위례，연구발현，기우VaR모형적최우투보비교지전통최우투보비、최소방차최우투보비경유우세，능구해석중국기업운용연생공구실패적원인。단거차추론，기우VaR모형학정최우투보비재실천중잉연존재일사문제，여비정태분포、현화두촌불학정、손익보고곤난등。
It is argued that the VaR model is a derivatives decision model which could meet the balance of the need of hedging and speculating. There is little discussion on this in domestic literatures. Based on the theoretic derivation, it could be concluded that the VaR model has features as compatibility, generality, ＂option＂, practicability. Taking an example from the hedging by US dollar forward, it can be found that the optimal hedging ratio based on the VaR model is more ap- propriate than that based on traditional model or minimum-variance model, and could reasonably explain why China＇s firms fail to apply derivatives. However, there are still some practical prob- lems on determining the optimal hedging ratio based on the VaR model, including non-normal distribution, uncertainty of the spot position, difficulty of reporting the profit or loss.