Research On The Tail Risk Of IF 300 Index Future Based On Spectrum Risk Measurements

Combining the possibility of loss with the possible degree of loss,VaR shows the tail risk of financial assets in a simple and clear form.ES which is based on it,overcomes the limitation that VaR can not measure the tail risk completely and does not conform to the consistency risk measurement.It improves the risk measurement by weighting the tail risk of financial assets averagely SRM introduces investors' risk preference into risk measurement,and makes a reasonable and effective weighted average of tail risk,which makes SRM an excellent measurement for research on the tail risk of financial assets.Due to financial assets' higher peak and fat tail,the normal distribution can't fit the financial assets correctly.The extreme value theory based on extreme value distribution modifieds the low efficiency of normal distribution in the face of thick tail,and greatly improves the accuracy of various risk measurements for measuring tail risk of financial assets.In the empirical analysis,the settlement price of the active contract of IF 300 index future from April 16,2010 to March 25,2020 is chosen as the sample to analyze the short side and long side in the futures trading.The results show that the return rate of IF 300 index future exactly comes with the high peak and thickness.The empirical results show that the results of VaR?ES?SRM based on EVT are higher than those under normal distribution,which proves that the normal distribution will underestimate the tail risk.The tail risk of SRM is higher than that of VaR and ES,which reflects that t weighting extreme risk reasonably will make investors more accurately understand the tail risk.The results of SRM are mainly affected by the confidence level and risk aversion factor.When the risk aversion factor is controlled in a certain range,the impact on the results is relatively small.When the tail risk exists some extreme loss,due to the exponential growth of weight of the extreme risk,it may over amplify the severity of the extreme risk.