The Application of EVT-VaR Model in Risk Management of Stock Index Futures

摘要：

China is now quickening the pace of introducing stock index futures to counter rising marketing fluctuations and boost capital flow. Since stock index futures are a leveraged transaction, it is particularly important to manage its risk. As the normal distribution could not describe the tail risk perfectly, using extreme value theory (EVT) can solve this problem. The adoption of MATLAB and other computer software makes the Monte Carlo simulation and extreme value theory more convenient. Using the data of the S & P 500 index futures in the United States for empirical analysis, the results could be used for reference at the time of launching stock index futures in China.

关键词： stock index futures value at risk (VaR) extreme value theory (EVT) GARCH model Monte Carlo simulation

作者: Jiefang Yu Qibin Jiao

作者单位: College of Economics, Zhejiang University Peoples Bank of China, Hangzhou Branch College of Economi Peoples Bank of China, Hangzhou Branch, China

会议类型: 国际会议

会议名称: International Forum of Knowledge as a Service(2010知识服务国际论坛)

会议地点: 厦门

会议语种:英文

页码: 6-10

在线出版日期: 2010-04-12（万方平台首次上网日期，不代表论文的发表时间）