首页    期刊浏览 2024年07月03日 星期三
登录注册

文章基本信息

  • 标题:Quantitative Risk Analysis of the Futures Company’s Own Business Based on VaR Model
  • 本地全文:下载
  • 作者:Jianfei Len , Xu Gao , Guorong Jia
  • 期刊名称:Journal of Financial Risk Management
  • 印刷版ISSN:2167-9533
  • 电子版ISSN:2167-9541
  • 出版年度:2014
  • 卷号:03
  • 期号:04
  • 页码:143-150
  • DOI:10.4236/jfrm.2014.34012
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要: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.
  • 关键词:Futures Company; VAR; Proprietary Business
国家哲学社会科学文献中心版权所有