Research on the Risk Measurement for the Futures Market of Bulk Commodity – Taking the silver futures as the example

SHS Web of Conferences

关键词: commodity futures;    risk measurement;    VaR;    Stress Testing;   

DOI  :  10.1051/shsconf/20151701015

来源: DOAJ

【 摘 要 】

The futures transaction of bulk commodity has played an important role since China became the global manufacturing center. Taking the commodity futures market in Shanghai as the research objective, this article selects the price of silver futures, uses GARCH-VaR and Stress Testing to measure the risk tolerance of the market. The research result shows the silver price is fluctuated within the scope specified by the market and won't influence the stable operation of futures market.

【 授权许可】

Unknown