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Risk Measurement of Futures Portfolio: An Empirical Study Based on PGARCH - EVT - Copula Model
Applied Economics and Finance
View Archive Info| Field | Value | |
| Title |
Risk Measurement of Futures Portfolio: An Empirical Study Based on PGARCH - EVT - Copula Model
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| Creator |
Su, Liang
Ma, Lan-Ya |
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| Description |
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.
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| Publisher |
Redfame Publishing
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| Contributor |
—
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| Date |
2017-08-23
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://redfame.com/journal/index.php/aef/article/view/2548
10.11114/aef.v4i5.2548 |
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| Source |
Applied Economics and Finance; Vol 4, No 5 (2017); 45-53
2332-7308 2332-7294 |
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| Language |
eng
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| Relation |
http://redfame.com/journal/index.php/aef/article/view/2548/2749
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| Rights |
Copyright (c) 2017 Applied Economics and Finance
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