TITLE:
Quantitative Risk Analysis of the Futures Company’s Own Business Based on VaR Model
AUTHORS:
Jianfei Len, Xu Gao, Guorong Jia
KEYWORDS:
Futures Company, VAR, Proprietary Business
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.3 No.4,
November
13,
2014
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.