The Sensitivity Analysis on the Value at Risk in Futures Hedging under t Distribution
Lin Xiao-gui · Commercial Research · 2008
The paper applies the Var(Values at Risk)to the measunement of the risks and the sensitivity in futures hedging.Under t distribution,it finds out the first-order and second order derivatine of the VaR in both long and short cases.The research aims at offering investers some references to adjust futures position according to the sensitivity degree to the VaR in futures hedging.