| Since the 21 st century, our country petroleum had a strongdependence offoreign oil markets. According to the ministry of land and resources statistics, by the end of 2014, the annual output reached 210 million tons of oil, for five consecutive years through the annual output of 200 million tons of mark.At the same time, China's oil imports is high, the general administration of customs in 2014, according to the annual report 2014, the year C hina's total oil imports has breakthrough 300 million tons of mark. Increasing supply, making the oil from 57% in 2013 to external dependency surged to 59.6% in 2014, close to sixty percent external dependency.On the other hand, along with our country joining the world trade organization(WTO) and the deepening of global economic integration, the international oil market to enter China's domestic market resistance reducing increasingly, international oil price fluctuations impact on China's domestic oil prices rising.With the increase of oil supply and demand gap and the speeding up of the oil price fluctuations, threats to our country oil price, the price of oil stability of health is becoming more and more attention.And oil because of its large reserves, low cost, good combustibility, the characteristics of high calorific value, already became the first on the basis of energy consumption in our country, in all aspects of social and economic development have been widely used, has a reputation of "industrial blood", its influence on the social and economic development of our country is far from the other general merchandise can match.To ensure the safety of oil prices in recent years has become a hot topic in the field of domestic oil market risk research. It is in this context, the nature of C hina's oil security has from the last century dominated by supply and demand of supply security "paradigm shift" in todays in finance, trade as the theme of "security" price model.This growing demand of domestic researchers to keep pace with The Times, use appropriate financial instruments and financial instruments on the oil market price risk correlation research, completes the risk correlation analysis of the oil market price at home and abroad, protect safety and smooth, domestic oil market price for the domestic oil market and the healthy and stable development of our social economy seems particularly urgent and important.Time- varying copulas connect function, was originally used in statistics to tackle the problem of random variable correlation is composed of a set of random variable distribution to determine the edge of their joint distribution method.The basic idea is a relative structure(dependence structure) by simple transformations can converts each marginal distribution respectively the average distribution of transformation.As a result, we associated with such a structure can be expressed as a joint distribution based on the above the average distribution, for the copulas connect function, also can be expressed as a uniform random variable on the edge of the joint distribution.And Va R(value at risk) refers to the investor's portfolio in a specified period of time and under certain confidence probability, the biggest loss of portfolio investors expect. The generation of VaR evaluation method is given in order to measure a portfolio in a certain time and in the value of the maximum loss under certain confidence level.Specifically, value at risk is within a given time t, under a certain confidence probability(for example, 90%), the biggest loss of investor expectations.As a kind of market risk measurement and management of new tools, Va R first by JP Morgan company is put forward in the 90 s, the purpose is to establish a belong to their own internal risk measurement and capital allocation model, in order to make up for the inadequacy of the Basel accords and defects. Compared with other traditional represented by the standard deviation of the traditional risk measure method, VaR risk measurement tool is very useful, it mainly takes into consideration the reality of the downside risk of more sensitive assets, especially extreme market oscillation period of the asset losses, so the current financial analysts tend to Va R as a necessary auxiliary tool to analyze the market risk.Financial regulators make this tool as a necessary complement to the analysis of the market portfolio risk.The MonteCarlo simulation method is different, it is through a lot of random simulate the prices of financial assets and risk factor to define the class market characteristics of the financial asset.The core of the monte Carlo simulat ion method is to reconstruct the distribution of the value of financial assets, the basic assumption is to assume that the change of the prices of financial assets in a state of completely random, and then through the computer simulat ion of a particular time within the scope of all possibilit ies of random price changes, and return on assets distribution is constructed according to the results, so as to calculate the portfolio VaR.The MonteCarlo simulat ion method to calculate Va R are divided into two steps: first of all financial assets variable of stochastic process and the needed parameters, and then according to the future asset returns all the assets in the portfolio so the possibility o f simulation price movements, so as to develop the portfolio investment yield distribut ion, then calculate the portfolio VaR.It is in this, practical background and theoretical model of the support from different oil market from both at home and abroad, t his paper selected the American west Texas intermediate(WTI) crude oil futures prices index, the north Atlantic Brent crude oil futures prices index(Brent), Daqing crude oil prices index(Daq) as the research object, using Egarch model t for three the pr ice of oil market yields sequence marginal distribution model was constructed, and then selected the time- varying t-copulas connect, time-varying C layton- copulas connect, time-varying SJC- copulas connect these three different model of time- varying copulas connect the risk of dependency relationship between the oil market at home and abroad were reviewed and fitting, finally based on risk management of value at risk(Va R) model by MonteCarlo simulation to calculate a trading days the maximum possible loss of the oil market portfolio, the empirical results by returning the test.Final results show that the foreign oil market price fluctuations for movements in the price of oil market in China is very obvious, one-way spillover effect significantly;Egarch-t model for oil return on the market price of the construction of the distribution of the edge of selecting appropriate accuracy;Three time- varying copulas connect function fitting result shows that our country oil affected by Brent oil market price is greater than the market price is influenced by the WTI oil prices.And by SJC- copulas connect function can effectively capture the market relations between up and down at the end of the dependency structure, at the same time confirmed that the foreign oil market and under the tail dependence relationship between the domestic oil market significantly stronger than tail dependency relationship.Therefore, for different oil market portfolio, researchers should according to the characteristics of the oil market their own financial statistics flexible selection of different risk correlation analysis model.O nly in this way can, in the complicated and changeful, contact the international oil market increasingly close quickly, accurately to make risk analysis, to the domestic investors and oil market managers do a good job in risk prevention and avoid providing meaningful, practical and feasible policy Suggestions, and based on facts. |
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