期货投资组合交易保证金设置研究——基于Copula模型和极值理论的分析

Research on Setting of Futures Portfolio Margin:Based on Copula Model and Extreme Value Theory

本文以棉花、铜、天然橡胶三个期货合约为研究对象,基于t-Copula模型,利用Monte Carlo模拟法计算在一定权重下由三个品种构成的期货投资组合的VaR和ES值作为投资组合的保证金数值。Kupiec回溯测试结果表明,t-Copula模型结合极值理论计算出的期货投资组合保证金相比其他方法能够在较好覆盖极端风险的同时降低投资成本。

At first, this paper uses extreme value model to fit series of return of portfolio which consist of cotton, copper and rubber and uses this model to produce values of cumulative distribution function. Then it uses Monte Carlo model to calculate the VaR and ES of the futures contracts with fixed proportion and put the VaR and ES as futures portfolio margin. The Kupiee back-testing finds out that the portfolio margin which was calculated by t-Copula model whose margin distribution was based on extreme theory can not only prevent extreme risks hut also lower the cost of investment.