A Study Of Risk Measurement Of Gold Futures Market Based On Extreme Value Theory And Monte Carlo

The development of the whole market is closely connected with the development of financial markets,including for effective risk allocation,and correctly guide funds is the main function of the financial market.If you want the participants in the financial market to identify,quantify and decomposition risk more accurately,there must be effective and advanced technology for risk management,so that the market participants based on their own ability and different preference choice appropriate operation to achieve the purpose of reducing losses,and distribution the market risk effectively,to promote the development of the financial markets rapidly and healthily and long-term stability has important significance.As the financial market in the industry of refining and deepening,the continuous improvement of the financial management laws and regulations,and rapid technological innovation,risk management as an objective clear management process must be indispensable important part of financial management,then the deregulation,the rise of global risk management,and the trend of crossover operation,the risk management in finance company has an important position of the basic strategic activities.Quantitative analysis and accurate assessment of risk is the key content of risk management,also is the measurement and test value at risk.The diversity of market risk and unpredictability makes to the method of control is not in the minority,but general asset liability management existence the defects of excessive dependence on assets statements and lack of timeliness;The method of variance as a measure of risk is abstract and not on asset volatility intuitive reflect the limitations of the financial derivatives pricing and more difficult.In 1994 the PJ..company aiming at the shortcomings of the various methods proposed risk value method,at present the most financial institutions including banks have adopted methods of risk measurement,and use the method to measure the risk has become the trend of the financial world.In recent years,has become a hot topics in the study of finance and financial maths problem.In this paper,based on risk measurement and extreme value theory for gold futures studies,first understand gold futures risk measurement in the trend of development and use of some methods at home and abroad,learn about the definition of value at risk,and the advantages and disadvantages of it as for several kinds of methods: parameter method,method of non-parametric and semi-parametric methods.To find out the advantages and disadvantages of these methods,look to whether can make up for the defect,for a more accurate measure of risk.The concrete research content mainly includes the following several aspects: the first chapter briefly the concept and development of gold futures made a summary,and then to measure the financial data of do a comprehensive overview of related literature,the last,the paper introduced the research content of this article.The second chapter introduces the measurement methods of financial risk,learn about the origin of risk measurement tools,some methods and their advantages and defects,that we use for gold futures risk measure is more reasonable.Introduce the risk measurement model,parameter model,non-parametric model and a semi-parametric model.Third chapter using the Monte Carlo method to calculate the direction of some insufficient and we want to improve.The fourth chapter the empirical analysis of the measurement of gold futures,we use the U.S.gold futures index from January 2005 to 3 December 31,2014.The first gold futures on the financial data of yield to some rigorous statistical tests,verified whether the yield of gold futures have rush back and wave agglomeration phenomenon.Normality test whether gold futures returns with normality,applied to figure and peak inspection.Inspection completed found is rush thick tail and wave agglomeration,but with and fitting gold futures returns after respectively,and then use the Monte Carlo simulation,and model,namely the final inspection result comparison,it is concluded that the fitting effect is better,and then simulated finally concluded that the combination of extreme value theory model of risk measurement results significantly superior to the other three models.But when we use the model to measure found gold futures,gold futures market in China is not perfect,need to be further improved.