| 基于VaR的我国商品期货市场风险的预警研究 |
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| 引用本文： | 韩德宗.基于VaR的我国商品期货市场风险的预警研究[J].管理工程学报,2008,22(1):117-121. |
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| 作者姓名： | 韩德宗 |
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| 作者单位： | 浙江工商大学金融学院,浙江,杭州,310035 |
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| 摘 要： | 本文以郑州商品交易所的硬麦期货和上海期货交易所的铜期货为例,构造了期货合约收益率连续时间序列,计算了序列的VaR值,对预测结果的有效性进行了检验,并提出了将VaR曲线和保证金水平相结合的方法,对商品期货市场风险进行单指标预警.
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| 关 键 词： | 商品期货市场 在险价值 预警 保证金水平 |
| 文章编号： | 1004-6062(2008)01-0117-05 |
| 修稿时间： | 2005年7月31日 |
Study on Early Warning of Risk of Commodity Futures Market in China Based on Measurement of VaR |
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| HAN De-zong.Study on Early Warning of Risk of Commodity Futures Market in China Based on Measurement of VaR[J].Journal of Industrial Engineering and Engineering Management,2008,22(1):117-121. |
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| Authors: | HAN De-zong |
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| Abstract: | This paper applies hard wheat futures of Zhengzhou Commodity Exchange and copper futures of Shanghai Futures Exchange as examples,consists of continuous time series of return rate of futures contract,calculates VaR(Value at Risk) of the series,tests efficiency of forecasting results,suggests method combining VaR curve with margin level,and makes early warning as single index of risk of commodity futures market. |
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| Keywords: | commodity futures market value at risk early warning margin level |
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