标准仓单质押组合的价格风险——基于中国农产品期货规范市场的实证研究

利用基于Copula函数的AR(p)-GARCH(p,q)模型计算的VaR能够对农产品标准仓单的价格风险进行准确度量。对大连商品交易所的典型期货交易品种——黄大豆一号、豆油、豆粕的期货合约日结算价进行了实证研究。研究结果显示:从对价格风险预测的盯市频率来看,时变VaR优于静态VaR,因此重视农产品价格风险的频次预测应替代传统风险判断的单次监测;从对风险因子间相依性结构的刻画来看,基于t-Copula函数计算的VaR优于基于正态Copula函数计算的VaR,因此质押物价格波动间的相关系数是度量组合风险时必须考虑的重要变量。

Price Risk in Collateral Portfolio of Standard Warehouse Receipt: Empirical Study on Chinese Agricultural Product Futures Market in Standardization Period

VaR based on AR（p）-GARCH（p,q） model and Copula function could be used as a tool to measure the price risk of agricultural product standard warehouse receipt. This paper empirically studies the daily settlement price of typical futures contracts of（soybeans,soybean oil and soybean meal futures contracts）, which listed in Dalian Commodity Exchange. The result shows as follows：from the perspective of mark-to-market frequency,time-varying VaR is more accurate than constant VaR, therefore more frequent price risk forecast should be released rather than once and for all;in the aspect of the dependency structure of risk factors, VaR based on t-Copula function is more precise than VaR based on normal distribution Copula function,so the correlation coefficient of price fluctuation should be taken into account when measuring the price risk of a portfolio.