Hits:

Date of Publication:2009-01-01

Journal:哈尔滨工业大学学报

Volume:41

Issue:2

Page Number:254-256

ISSN No.:0367-6234

Abstract:By using the trading day logarithmic fluctuation to reflect the market
   risk of futures and adopting the value at risk method ( VaR) and
   weighted kernel density estimation technology (WKDE) , a single -
   contract dynamic fiducial margin determining model is set up to solve
   the problem of the contract trading day's fiducial margin based on the
   long and short loss unsymmetrical principle. Through using WKDE to
   forecast the day's volatility of futures, the proposed model can reflect
   the trend of volatility and ensure the precise VaR evalua-tion. This
   paper brings forward the idea that the fiducial margin of futures can be
   solved by long position VaR and short position VaR respectively. It
   simplifies the complexity of the scenario simulation method that
   simu-lates different price risk scenarios in SPAN and TIMS system, which
   guarantees the precision and accuracy of the model. The practicability
   of the model is validated by soybeans d0403 contract.

Note:新增回溯数据