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Quantitative Risk Analysis of the Futures Company’s Own Business Based on VaR Model
School of Business, Hohai University, Nanjing, China
School of Business, Hohai University, Nanjing, China
School of Business, Hohai University, Nanjing, China
- 1 School of Business, Hohai University, Nanjing, China
- 2 School of Business, Hohai University, Nanjing, China
- 3 School of Business, Hohai University, Nanjing, China
Journal of Financial Risk Management·Volume 03 (2014)·Pages 143–150·Published 13 November 2014·DOI10.4236/jfrm.2014.34012
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Abstract
In this paper, we use the futures exchange copper trading data of Shanghai as a sample for the VaR quantitative analysis. Through empirical analysis, the results showed that VaR method based on GARCH model can be a good fit in the insurance value of copper futures. Therefore, we can consider it as an important means of futures risk management in our country, and with reference t to establish corresponding risk warning system.
KeywordsFutures CompanyVARProprietary Business
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