中国燃油期货市场的VaR与ES风险度量

Abstract

Abstract: By taking four representative indices of Chinese fuel-oil futures market as sample, VaR predicting is used for eight risk models. Furthermore, two robust backtesting methodologies, unconditional coverage test and conditional coverage test, are introduced to estimate the accuracy for VaR predictions produced by different models. The main results show that adding international fuel-oil price volatility as explanatory variable in typical models is helpful to improve risk estimation accuracy of Chinese fuel-oil futures market. In addition, FIGARCH_CST-SST is moderately good in overall consideration of description efficiency and estimation accuracy to extreme risk.

Key words: Chinese fuel-oil futures market, value at risk, excepted shortfall, skewed student-t distribution, backtesting analysis

CLC Number:

F830.9

WANG Peng, WEI Yu. Backtesting Risk Models for Chinese Fuel-oil Futures Market[J]. Chinese Journal of Management Science, 2012, 20(6): 1-8.

References

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Backtesting Risk Models for Chinese Fuel-oil Futures Market

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