Quantitative Risk Analysis of the Futures Company’s Own Business Based on VaR Model

DOI: 10.4236/jfrm.2014.34012   PDF   HTML   XML   3,167 Downloads   3,923 Views  

Abstract

In this paper, we use the futures exchange copper trading data of Shanghai as a sample for the VaR quantitative analysis. Through empirical analysis, the results showed that VaR method based on GARCH model can be a good fit in the insurance value of copper futures. Therefore, we can consider it as an important means of futures risk management in our country, and with reference t to establish corresponding risk warning system.

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Len, J. F., Gao, X., & Jia, G. R. (2014) Quantitative Risk Analysis of the Futures Company’s Own Business Based on VaR Model. Journal of Financial Risk Management, 3, 143-150. doi: 10.4236/jfrm.2014.34012.

Conflicts of Interest

The authors declare no conflicts of interest.

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