中国燃料油期货市场的动态风险评估  

The Dynamic Measurement of the Risk on Chinese Oil Futures Market

作　　者：贺晋兵[1] 刘云霞[2] 

机构地区：[1]北京交通大学中国产业安全研究中心,北京100044 [2]厦门大学计划统计系,福建厦门361005

出　　处：《统计与信息论坛》2010年第11期57-61,共5页Journal of Statistics and Information

摘　　要：期货市场的风险测度是准确评价市场运行效果的前提。中国燃料油期货市场已经运行了5年多,测度其投机风险对于科学的风险管理和建立全面的石油期货市场都具有重要意义。依据中国燃料油期货市场的特点,采用基于t分布和时变方差的动态VaR方法和动态Bayes VaR方法衡量其投机风险。结果表明:燃料油期货市场自运行以来市场内部风险一直处于平稳且略有下降的状态,采用动态方法在测度投机风险时更为稳健和科学。Risk measure is the premise to assess futures market accurately.China＇s fuel oil futures market has been running for more than five years.It is great significance for science-based risk management and the comprehensive establishment of oil futures markets that we measure risk.According to the characteristics of China＇s fuel oil futures market,This Paper measured risk by t-distribution and the dynamic Bayes VaR method based on Conditional Heteroskedastic.The results showed that the risk has been smooth and decreasing slightly from the fuel oil futures market has been running.Furthermore,the dynamic methods reflected market risks even more objectively.

关 键 词：燃料油期货 风险 VAR 

分 类 号：C812[社会学—统计学]