Futures Portfolios Risk Measure Based On Copula

Nowadays,the complex and changeable external environment has contributed to the extreme complexity of the financial system.It is like a double-edged sword:the influence of the highly effective financial markets increased meanwhile more complex market risk and more violent market fluctuations appeared.Therefore,higher demands must appear in the risk analysis and control of financial markets.Under the uncertain macroeconomic environment,exchange rate risk,interest rate risk,the commodity risk and volatility risk increased.The expansion of the exposure,greatly stimulated the demand of the financial safety products in the domestic economic activity.Especially after summer crash of 2015,many investors pay more attention to the futures market.Wealth management and risk management has become the two most important functions of futures market in China.Foreseeably,futures and derivatives will increasingly become the irreplaceable risk control tools.In this paper,we select 5 heat trading varieties in different plate of futures market,calculate the basic statistical characteristics,and build 10 portfolios to measure their risk.Aiming at the existence of samples rush fat-tailed features,we use Bayesian analysis,monte carlo simulation,Stochastic volatility model and Copula theory to analyse these portfolios by computer programming.Finally,we calculate each future portfolio's VaR under different investment weight.The paper draws a conclusion that using Stochastic volatility model and Copula theory to measure risk of futures portfolios in China is scientific and feasible,and its analysis method has universal operation significance.