摘要
美国芝加哥期货交易所是全球最主要的国债期货交易所之一。美国国债期货的活跃交易为市场提供了良好的避险工具,但是其交割风险也越来越受到关注。本文从基本统计分析和分布拟合两个方面,详细分析了美国30年长期以及10、5、2年中期国债期货实际交割量的特点,表明Gamma分布能够更好的拟合长期国债期货的交割量,而Lognormal分布是中期国债期货交割量的最优拟合分布,并指出在风险防范中要尤其注重中期国债期货品种以及交割量极端值的出现。
Chicago Board of Trade is one of the most important Treasury bond futures exchanges in the world. U.S. Treasury bond futures with active trading provide good hedging tools for the market, but their delivery risk is getting more and more attention. From basic statistical analysis and distribution fitting, this paper analyses the characteristics of delivery volume for U.S. 30-year, 10-year, 5-year and 2- year Treasury-bond futures in detail, and shows that Gamma distribution and Lognormal distribution are the best fitting of U. S. T-bond and T-note futures delivery volume separately, and indicates that the Tnote futures and extreme value of delivery volume should be paid more attention for risk management.
出处
《运筹与管理》
CSCD
2007年第5期117-121,共5页
Operations Research and Management Science
关键词
金融学
国债期货
分布拟合
交割
finanee
treasury bond futures
distribution fitting
delivery
