Research on the Multi-Commodity Futures Portfolio Market Risk Evaluation Model and Its Application
多品种期货组合风险评价模型及其应用研究

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.