某国际矿业公司市场风险因素分析。多维重尾建模
Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling
摘要：
矿业公司要妥善管理其业务并准备作出商业决策，就必须分析主要市场风险因素的潜在情况。KGHM是活跃在金属和采矿业的最大公司之一，其最重要的风险因素是以美元交易的铜（Cu）价格和波兰兹罗提（PLN）汇率（USDPLN）。本文的主要范围是了解这两个风险因素的中期和长期动态。对于矿业公司来说，它可能有助于正确评估潜在的下行市场风险，并优化对冲工具。从市场风险管理的角度来看，结合波兰兹罗提的铜价（PLN中的Cu）分析这两个因素的动态也很重要，这两个因素共同推动了公司的收入，现金流和财务业绩。基于所分析的危险因素与分布分析的关系，我们提出采用二维向量自回归（VAR）模型与$α-$稳定分布。数据的非同质性反映在两个确定的制度中：第一，对应于2008年危机，第二，稳定的市场状况。作为适合市场资产的模型的自然含义，我们推导出PLN中铜价格的动态，PLN不是交易资产，但对KGHM公司风险敞口至关重要。进行了比较研究，以证明包括依赖性的资产和政权更迭的影响的效果。由于对各种国际公司来说，风险因素是以本国货币而不是市场货币给出的，因此这种方法是通用的，可用于不同的市场环境，如采矿或石油公司，也可用于全球贸易体系所涉及的其他商品。
英文摘要：
Mining companies to properly manage their operations and be ready to make business decisions, are required to analyze potential scenarios for main market risk factors. The most important risk factors for KGHM, one of the biggest companies active in the metals and mining industry, are the price of copper (Cu), traded in US dollars, and the Polish zloty (PLN) exchange rate (USDPLN). The main scope of the paper is to understand the mid- and long-term dynamics of these two risk factors. For a mining company it might help to properly evaluate potential downside market risk and optimise hedging instruments. From the market risk management perspective, it is also important to analyze the dynamics of these two factors combined with the price of copper in Polish zloty (Cu in PLN), which jointly drive the revenues, cash flows, and financial results of the company. Based on the relation between analyzed risk factors and distribution analysis, we propose to use two-dimensional vector autoregressive (VAR) model with the $α-$stable distribution. The non-homogeneity of the data is reflected in two identified regimes: first - corresponding to the 2008 crisis and second - to the stable market situation. As a natural implication of the model fitted to market assets, we derive the dynamics of the copper price in PLN, which is not a traded asset but is crucial for the KGHM company risk exposure. A comparative study is performed to demonstrate the effect of including dependencies of the assets and the implications of the regime change. Since for various international companies, risk factors are given rather in the national than the market currency, the approach is universal and can be used in different market contexts, like mining or oil companies, but also other commodities involved in the global trading system.
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