Futures Market Risk Measurement And Empirical Research

Future market is a marketplace which the risk is gigantic, on one hand, the leverproportion is enlarged n-tippling, risks are enlarged at the same time. On the otherhand, the fluctuation of future market is big comparing with stock market. As to thecharacter of high risk, many enterprises get deficit when trading in future market.Face to the character, we must find some way to help investors to know the risk andescape from it.There are many ways to measure the risk of future market, such as thefluctuation way, VaR, CVaR and CDaR. VaR is the most popular way in measuringthe risk, while CVaR is the best way to measure the risk in extreme condition, whichis modified through VaR. CDaR and MDD can measure the risk of the change ofearning ratio which based on 'DD'.We choose nine represent sorts measuring the risk of them, we find that the riskof LME crude oil is biggest, and the risk of futures in abroad is larger than indomestic. After knew the scatter of risk in future market, we choose one sort andmeasure the change of risk in history. We find that the risk of US crude oil hasaperiodicity fluctuation, and this period look very like the fluctuation of increment rateof US economy.After knew the risk of future market broadly, we can use some ways to measurethe risk in holding. We choose some companies who have failed in investing in futuremarket and research whether the manager can know the risk when the case hashappened. We choose some cases such as "CAO oil", "SRB copper", "Zhu Ye Zinc",and find that the decision of managers in "CAO oil" and "SRB copper" is proved tobe false, and the decision of managers in "SRB copper" is fight in theory, while therise of price of zinc unexpected make the corporation lose.So we advice to the investors must know how large the risk is and which phrasethe sort located before investment. Also they can use these ways in this paper tomeasure the risk in holding, in order to choice a best way when lose.