STUDY ON SINGLE FUTURES CONTRACT MARKET RISK EVALUATION SV-CVAR MODEL AND IT’S APPLICATION

摘要

The risk assessment of futures contract is very important to both futures exchange and market trader. Based upon SV model and CVaR, this paper presents the SV-CVaR model of risk assessment of single futures contract. Empirical study suggests that this model is more excellent than GARCH-VaR model in risk assessment of futures contract. The characteristics of this model lie in three aspects. Firstly, it makes use of SV model to forecast the volatility of return, and gives a better depict of the clustering effect, fat tail effect and time-varying variance effect than past model. Secondly, through introducing CVaR to assess futures contract risks, the model resolves the problems that VaR can’t forecast on tail risk, and reduced the probability of risks of default and compelling warehouse risk. Thirdly, MCMC method has been adopted for the estimate of parameters in SV model, and the problems of computing difficulty is solved.