摘 要
本文首先介绍了研究课题所处的钢铁行业背景，钢铁企业普遍面
临低利润、高成本、高库存等现实问题，提出企业如何应对原材料库
存的价格波动问题，进而介绍了利用铁矿石掉期交易市场对冲库存的
思路，并论证了其替代期货市场的合理性。

在此基础上，本文借鉴国内外一些研究人员的理论和实证研究，
采用风险价值 VaR 和最小方差 OLS 模型分别对 2010-2011 年铁矿石现
货和掉期交易进行最优套期保值比率的实证研究。通过不同置信区间
的最优套保比率选择，给企业在回避风险的同时，增加了一个投机选
项。

实证结果表明采用 VaR 和 OLS 模型对企业解决存货风险均起到了
良好的作用。

关键词：铁矿石掉期，钢铁，VaR,套期保值，TSI,
ABSTRACT
The article introduces the iron and steel industry as the background at
beginning. All enterprises are dealing with the difficulties like low profit,
high cost, huge stock etc. How to avoid stock risk caused by price
volatility has been one of most important issue. This article puts forward
an opinion to use iron ore swap trading as hedge measure, and proves
which is rational to substitute the future market.
Based on above, and benefiting from some other researchers’ studies
on hedge theory and practice, this article uses VaR model and OLS model
to research the optimal hedge ratio on the data of spot price and swap price
from 2010 to 2011. By setting the different confidence interval, the VaR
model supplies a speculator option to the enterprises.
The research shows that compared with non hedge, the VaR and OLS
model can help enterprises avoid price volatility significantly.
KEY WORDS: Iron Ore Swap, Iron and Steel, VaR, Hedge, TSI