A Study On Risk Management Mechanism Of China Commodity Futures Market

In this paper,based on the core issue that risk management mechanism of China's commodity futures market, From the beginning of systemic risk prevention, investor risk prevention, futures exchange risk prevention,and risk warning,to analysis of four themes: price volatility risk measure, determination of the optimal hedging ratio, set a reasonable level of margin, risk warning model construction.This paper is divided into seven chapters, the main contents and conclusions of each chapter are described as follows.The introduction mainly talking about the research background and significance. At present, China's futures market all are commodity futures, along with rapid economic development, on the growing demand for key commodities such as food, non-ferrous metal,etc, the whole market is full of great risks as the price volatility in recent years, therefore,play the futures market hedging and price discovery role is very important.However, China's futures market is immature, the risk has occurred frequently, risk management has become one of the core for the healthy development of China's commodity futures market.So, research commodity futures market risk problem has positive significance. Then,the studies about the risks of commodity futures markets at home and abroad, the technology courses and innovation of this article are reviewed and summarized.In this paper analyzes the development of China's commodity futures market and the market risk. and using data of the main futures to empirical analysis the price fluctuations of China's commodity futures market. The study suggests that the volatility of commodity prices in China's futures market have the ARCH effect and leverage effect, and confirmed the commodity futures market in China has great market risk.Analyzes the issue of systemic risk prevention, and measure the risk in the futures market measure.First analyzes the risks aboute the price forecasting, and then introduced a variety method of measuring price volatility. Currently VaR has become the internationally accepted methods of the most important risk measurement tools, introduction of VaR methods and use of GARCH type models and extreme value theory(EVT) to measure China Commodity Futures Market risk. As the VaR-GARCH-GED model underestimated the risk, VaR-GPD model overestimated the risk under 99%confidence level, Therefore, this paper use GARCH-GED model and GPD model calculation the modified VaR, empirical research indicates that the value of using a modified VaR can be a good measure of China's futures market risk.Analyzes the market risk prevention of investor, the optimal ratio is one of the most important ways to reduce the risk of futures market. So this chapter on how to solve the key issue of the optimal hedge ratio. First analyzes the meaning and risk of hedging, and then summarizes the studies of hedging. On this basis, using Ederington regression model (OLS model), ECM model and State space model (Sspace)and Kalman filter estimation, empirical measurement the optimal hedging ratio of copper futures, studies show that hedging of State space model and Kalman filter can effectively improve the effect of hedging.Futures exchanges and futures companies to avoid market risk mainly through margin setting, so to determine a reasonable level of margin, can effectively improve the ability to avoid the risk of the futures market of the futures exchanges and futures companies, so this chapter analysis of the issue of margin setting of commodity futures market. First analyzes China's commodity futures markets margin, and empirical testing the relationship between margin adjustment and futures market volatility through expected GK equation. This chapter under the form of different distributions of EWMA model to determine the level of China's futures market margin. The key of EWMA is to determine the appropriate decay factor(λ), the traditional method is based on minimizing the RMSE, however, in his paper decay factor will be determined through a variety of ways. In addition, a comparative study based on the normal distribution and Laplace distribution of the EWMA model, Evidence shows that EWMA model based on Laplace distribution can effectively determine margin level of China commodity futures market.Comprehensive, multi-angle monitor the factors of impact the price volatility of China's commodity futures market, and establishment of early warning market risk model is an important way to avoid market risks. This chapter is a comprehensive analysis to establish a risk early warning model.Selected a number of factors through certain principles and methods,and then build the risk index system to reflects the risk of China commodity futures market. On this basis, using factor analysis method, select the main factor to analysis the risk of China commodity futures market risks,and then using Logistics model to predict the risk. Empirical evidence shows that the risk of early-warning model constructed in this paper can effectively prevent the risk of commodity futures markets, and has some practical value.The final chapter is the end of this article, mainly to illustrate the main contents and conclusions, study shortcomings and further study of this article were discussed.