教授 博士生导师 硕士生导师
性别: 男
毕业院校: 大连理工大学
学位: 博士
所在单位: 金融与会计研究所
学科: 管理科学与工程. 投资学. 会计学
办公地点: 大连理工大学经济管理学院D座535室
联系方式: 0411-84707374
电子邮箱: chigt@dlut.edu.cn
email : chigt@dlut.edu.cn
办公电话 : 0411-8470 7374
开通时间: ..
最后更新时间: ..
点击次数:
发表时间: 2009-01-01
发表刊物: 哈尔滨工业大学学报
卷号: 41
期号: 2
页面范围: 254-256
ISSN号: 0367-6234
摘要: 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.
备注: 新增回溯数据