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论文类型： 期刊论文

发表时间： 2022-06-29

发表刊物： 系统工程理论与实践

所属单位： 经济管理学院

期号： 9

页面范围： 17-25

ISSN号： 1000-6788

摘要： Aiming at the complexity of SPAN and TIMS margin models which adopt the Scenario Simulation method simulating different price scenarios and the disadvantage of risk linear addition evaluating the multi-commodity futures market risk, this paper puts forward the long and short positions loss unsymmetrical principle, and the future portfolio market risk evaluation model is set up in order to solve the problem of portfolio intra-day's maximum loss. The characteristics lies on three aspects. Firstly, WKDE is used to forecast the single futures intra-day's volatility. Secondly, different positions' risk hedging and risk nonlinear addition are used to solve the problem of SPAN and TIMS systems linear addition. Thirdly, the model's precision is guaranteed by adopting dynamic transferred matrix. As a result, EWMA is used to forecast the portfolio' s dynamic transferred variance-covariance matrix.

备注： 新增回溯数据