%0 Journal Article
%T Research on the Multi-Commodity Futures Portfolio Market Risk Evaluation Model and Its Application<br>多品种期货组合风险评价模型及其应用研究
%A CHI Guo-tai
%A YU Fang-ping
%A WANG Yu-gang
%A LIU Yi-fang
%A <br>迟国泰
%A 余方平
%A 王玉刚
%A 刘轶芳
%J 系统工程理论与实践
%D 2006
%I 
%X 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 futures 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,using WKDE to forecast the single futures intra-day's volatility.Secondly,different positions' risk hedging and risk nonlinear addition solves the problem of SPAN and TIMS systems linear addition.Thirdly,the model's precision is guaranteed by adopting dynamic transferred matrix.Using EWMA to forecast the portfolio's dynamic transferred variance-covariance matrix.
%K futures contract
%K portfolio risk
%K risk hedging
%K risk evaluation
%K margin model<br>期货合约
%K 组合风险
%K 风险对冲
%K 风险评价
%K 保证金模型
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=5C4ED25744F634FD&yid=37904DC365DD7266&vid=96C778EE049EE47D&iid=9CF7A0430CBB2DFD&sid=BCA2697F357F2001&eid=C5154311167311FE&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=15