The Same Commodity of Futures Contract Portfolio Market Risk Evaluation Model Research and Application
YU Fang-ping · Industrial Engineering and Engineering Management · 2006
This paper using every trading day logarithmic fluctuation reflecting Futures contract market risk,in virtue of value at risk method,and adopting weighted kernel density estimation technology(WKDE) and exponentially weighted moving averages(EWMA),the same commodity of Futures portfolio market risk evaluation model based on different position's risk hedging and nonlinear addition is set up in order to solve the problem of the Futures portfolio every trading day's maximum loss.At the same time,we validate the model's practicability by demonstration research.The characteristics lies on four aspects: Firstly,using WKDE to forecast the single Futures of portfolio every trading day's volatility reflects the Futures volatility's trend,and this make the evaluation more precisely.Secondly,the model's precision is guaranteed by adopting dynamic transferred matrix.Using EWMA to forecast the portfolio's dynamic transferred variance-covariance matrix,we can get more reasonable and precise dynamic transferred coefficient matrix.Thirdly,different position contracts' risk are hedged,which avoids the biggish error and not very precise in practice.And this guarantees the forecasting model's precision and accuration.Fourthly,using this model based on risk nonlinear addition solves the portfolio's risk linear addition problem in SPAN system,and this will help us to get more practical forecasting value.