Var Study On Application Of Non - Ferrous Metals Futures Market Risk Prediction In China

The futures market of our country has been founded for more than ten years, and it takes a more and more important role in national economy. Because the market and system are not mature, and futures market has some characteristics itself, the futures market risk of our country is big. So establishing a risk management method for our country's futures market and carrying on the correct appraisal to the futures market risk have significant theory significance and practice value.VaR (Value-at-Risk) technique is a new risk management method that has been developed in 1990's. Its core thought is to measure some financial property's portfolios' greatest exceptional loss in a holding period in condition of a confidence level. VaR has become a mainstream method for the finance risk management, and obtained the application in multitudinous international finance organizations. This article takes the copper and aluminum two futures in our country non-ferrous metal futures market for example, and applys the VaR model to conduct the research to our country non-ferrous metal futures market risk.This paper introduces three traditional VaR computational method firstly, then introduces the ARCH model and the extreme value theory. In the real analyzes, the paper selects the Shanghai futures exchange continual three months copper futures and the aluminum futures for the analysis object, using GARCH-N model based on normal distribution, GARCH-T model based on student distribution, EGARCH-GED model based on Generalized erroneous distribution and GPD model based on extreme value theory. The paper calculated the VaR value under the confidence level of 95% and 99%, and calculated the cover degree of the VaR value to actual loss to examine the model. The article has also carried on the front forecast examination in order to explain the VaR value can forecast the future risk. By analysis we got the conclusions: Our country non-ferrous metal futures market has big risk; under the low confidence level the EGARCH model based on GED distribution can calculates VaR correctly, which explains the returns ratios and undulation of copper aluminum two kind of futures in our country non-ferrous metal futures market have release lever effect as well as the undulation colony effect; under the high confidence level the GPD model can calculates VaR correctly. Finally according to the conclusions obtained in the real diagnosis analysis part, the article puts forward a new proposal about the application of VaR in our country's non-ferrous metal futures market risk management.As a result of the data sample quantity limit and model own insufficiency, we can not avoid error in the analysis process. Unifying our country futures market's present situation, how to found a VaR model which suits our country futures market also needs further research and exploration. But with the further development of our country financial market and opening to the outside world degree enhancement, the VaR risk measurement model will certainly become the financial organ and the financial supervising and managing department's powerful risk inspection tool.