能源期货投资组合风险度量研究

Research on Risk Measurement of Energy Futures Portfolio

原油风险管理是能源经济管理的核心问题,鉴于此,本文以美国原油、天燃气及热燃油期货为研究对象,建立基于BEKK-VaR和DCC-VaR方法的能源期货投资组合风险度量模型,计算基于不同假设分布的能源投资组合在不同分位点下的风险值。实证结果表明,无论是在正态分布,还是t分布假设条件下,DCC-VaR比BEKK-VaR方法预测效果更加优良,然而,只有基于广义误差分布的BEKK-VaR方法在风险度量效果优于DCC-VaR方法。从这两种模型对投资组合的在险价值的度量效果可知,DCC-VaR方法的分配方案更加合理。

Crude oil risk management is the core issue of energy economic management. From that point of view, this paper studies US crude oil, natural gas and heating oil futures and establishes an energy futures portfolio risk measurement model based on BEKK-VaR and DCC-VaR method, and calculates the risk value of energy investment portfolio based on different assumption distributions and different split points. The empirical results show that the DCC-VaR method is better than the BEKK-VaR method under normal distribution or t-distribution hypothesis. However, only the BEKK-VaR method based on generalized error distribution is better than the DCC-VaR method in risk measurement. From the measurement effect of these two models on the risk value of the investment portfolio, it can be seen that the optimal distribution scheme of DCC-VaR method is more reasonable.