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Risk Measurement of Futures Portfolio: An Empirical Study Based on PGARCH - EVT - Copula Model

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  • Liang Su
  • Lan-Ya Ma

Abstract

Financial risk management takes an important part of continuing financial globalization. From the point of financial risk management, financial risk should be controlled at the right level. Considering the characteristics of financial time series, we construct the PGARCH-EVT-Copula model that includes different aspects of statistical features in measuring the risk. With this model, we measure Value at Risk and Expected Shortfall of the futures portfolio and compare them in the risk measurement and testify the reliability with the help of Monte-Carlo simulation method. Finally, we draw a conclusion that at 95% confidence level, Expected Shortfall can better estimate the risk of assets price extreme changing. This paper provides a risk management method for stabilizing the financial market.

Suggested Citation

  • Liang Su & Lan-Ya Ma, 2017. "Risk Measurement of Futures Portfolio: An Empirical Study Based on PGARCH - EVT - Copula Model," Applied Economics and Finance, Redfame publishing, vol. 4(5), pages 45-53, September.
    • Handle: RePEc:rfa:aefjnl:v:4:y:2017:i:5:p:45-53
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    More about this item

    Keywords

    risk management; PGARCH-EVT-Copula model; value at risk; expected shortfall; monte-carlo simulation;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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