多品种期货组合风险评价模型及其应用研究

针对SPAN和TIMS保证金模型运用情景模拟法模拟期货合约多种价格风险的复杂性及使用风险线性叠加评价多品种期货组合风险导致的预测不精确的特点与弊端,提出了多头和空头损失不对称原则,建立了期货组合市场风险非线性叠加评价模型,解决了期货组合每一交易日最大损失的预测问题.模型的特点一是采用WKDE法对单个期货合约精确地预测未来交易日风险值,简化了SPAN和TIMS系统测算单个合约风险的复杂性.二是考虑了不同头寸之间风险对冲和组合中合约风险非线性叠加,解决了SPAN和TIMS系统由于期货组合风险线性叠加而导致风险评价不准问题.三是引入EWMA法计算动态迁移相关系数矩阵,避免了静态的相关系数矩阵不能有效及时地反映相关系数动态变化的缺陷.

Research on the Multi-Commodity Futures Portfolio Market Risk Evaluation Model and Its Application

Aiming at the complexity of SPAN and TIMS margin models which adopt the Scenario Simulation method simulating different price scenarios and the disadvantage of risk linear addition evaluating the multi-commodity futures market risk,this paper puts forward the long and short positions loss unsymmetrical principle,and the futures portfolio market risk evaluation model is set up in order to solve the problem of portfolio intra-day's maximum loss.The characteristics lies on three aspects: Firstly,using WKDE to forecast the single futures intra-day's volatility.Secondly,different positions' risk hedging and risk nonlinear addition solves the problem of SPAN and TIMS systems linear addition.Thirdly,the model's precision is guaranteed by adopting dynamic transferred matrix.Using EWMA to forecast the portfolio's dynamic transferred variance-covariance matrix.