Research On Risk Management Of Steel Futures Hedging

In recent years,the steel supply and demand in the domestic under the cross influence,supply-side structural reform,real estate investment growth slowdown,overcapacity and other factors,has undergone great changes,prices showed greater volatility.Steel enterprises need strong demand for steel prices hedging.The number of enterprise which utilizes steel futures hedging is growing since the futures of steel have been listed on the Shanghai Futures Exchange in March 2009.However,in recent years,from situation of steel enterprises which engaged in hedging,due to poor management,the risk events have occurred,the hedging effect is poor.First of all,This paper summarizes the factors that influence the steel lattice by analyzing the steel market through the analysis of the iron and steel industry chain risk and summarizes the risks faced by iron and steel enterprises,and then pointing out the necessity of steel enterprises to use steel futures hedging.Secondly,it Summed up the utilize of steel futures hedge against the three aspects of risk: steel futures hedging risk caused by internal risk,the risk of futures market and regulatory system defects.Further,it summarizes the risk technical risk and institutional risk.Finally,based on the theory of hedging at domestic and foreign,the paper portrays the optimal hedging ratio of China’s rebar futures market is estimated by utilize OLS,B-VAR,VECM and VECM-GARCH models are used to estimate the hedging ratio of the steel futures market and compare the hedging performance under different models.It suggested that the reasonable choice of hedging model can effectively reduce the risk of hedging.At the same time from the enterprise hedging internal management system,futures hedging supervision system to reduce the risk of steel futures hedging to provide recommendations.