Margin rules are very important rules in futures market. This paper provides a new Value-at-Risk （VaR） approach which uses GARCH model to set margin levels. The new approach overcomes the limitation of the hypothesi...Margin rules are very important rules in futures market. This paper provides a new Value-at-Risk （VaR） approach which uses GARCH model to set margin levels. The new approach overcomes the limitation of the hypothesis of normal distribution in traditional methods and improves the estimation precision. We use the data of metal futures in China＇s Shanghai Futures Exchange （SHFE） to have an empirical study.展开更多
In this paper, we give a new method of decomposing of portfolio VaR which are held with the hypotheses of non-normal distribution, based on the mutual relationships of marginal VaR, component VaR and Incremental VaR, ...In this paper, we give a new method of decomposing of portfolio VaR which are held with the hypotheses of non-normal distribution, based on the mutual relationships of marginal VaR, component VaR and Incremental VaR, and have the same results with decomposing of portfolio under the hypotheses of normal distribution.展开更多
文摘Margin rules are very important rules in futures market. This paper provides a new Value-at-Risk （VaR） approach which uses GARCH model to set margin levels. The new approach overcomes the limitation of the hypothesis of normal distribution in traditional methods and improves the estimation precision. We use the data of metal futures in China＇s Shanghai Futures Exchange （SHFE） to have an empirical study.
文摘In this paper, we give a new method of decomposing of portfolio VaR which are held with the hypotheses of non-normal distribution, based on the mutual relationships of marginal VaR, component VaR and Incremental VaR, and have the same results with decomposing of portfolio under the hypotheses of normal distribution.
