Open AccessRisk Measurement of Futures Portfolio: An Empirical Study Based on PGARCH - EVT - Copula Model
Author(s) -
Liang Su,
Lan-Ya Ma
Publication year - 2017
Publication title -
applied economics and finance
Language(s) - English
Resource type - Journals
eISSN - 2332-7308
pISSN - 2332-7294
DOI - 10.11114/aef.v4i5.2548
Subject(s) - expected shortfall , value at risk , futures contract , risk management , econometrics , copula (linguistics) , economics , portfolio , market risk , risk measure , financial risk , actuarial science , financial risk management , model risk , financial economics , finance
Financial risk management takes an important part of continuing financial globalization. From the point of financial risk management, financial risk should be controlled at the right level. Considering the characteristics of financial time series, we construct the PGARCH-EVT-Copula model that includes different aspects of statistical features in measuring the risk. With this model, we measure Value at Risk and Expected Shortfall of the futures portfolio and compare them in the risk measurement and testify the reliability with the help of Monte-Carlo simulation method. Finally, we draw a conclusion that at 95% confidence level, Expected Shortfall can better estimate the risk of assets price extreme changing. This paper provides a risk management method for stabilizing the financial market.