The Study About The Risk Of Oil Futures Market

Oil futures market is an important part of the International oil pricing mechanism. On the one hand, it is functioning in economy as risk hedge and price discovery, on the other hand, great risk is also involved. At present, China has already started future trading in fuel oil futures, and expected to make a breakthrough to establish an all-around oil futures market. Under such circumstances, it has great theoretical and practical significance to study the risk of the oil futures market.Current research focused more on the qualitative analysis and normative analysis. However, studies with quantitative methods is relatively not rich, especially, lack of effective and comprehensive research methodology on the operation of fuel oil futures market and the measurement method of risk. In view of this situation, this paper concentrates on the relationships between futures market and spot market, using statistical model attempted to measure generic risk by analyzing the participants of the fuel oil futures market and put forward attentively the Methods of Dynamic Measurement of risk. While evaluated the conditions of fuel oil futures market risk objectively, at the same time, the paper offered consult to risk management for hedging, speculators and the regulatory agencies.In Chapter one, the backgrounds and significance of the selected topic was illustrated firstly, and afterwards, the contents and the innovative aspects of this pape were identified on the bases of summarizing the research methods of risks in the futures market both at home and abroad.In Chapter two, based on summarizing the history of the development and pricing system of the oil futures market at home and abroad, it was comprehensively analyzed that the completion of the oil futures market for China is important. Given the key role of risk control in the futures trade the above analysis also showed that it was necessary to study risks in the futures market. Finally, short and long-term factors which affected the movements of the oil futures prices were analyzed.In Chapter three, the control of hedging risk——the determination of theoptimal hedging rate were discussed. After identifying the necessary market infrastructure of the fuel oil futures market had which hedging need. The focus of this chapter was to try to establish a dynamic hedging rate model based on Conditional Heteroskedastic. Results show that dynamic hedging model can significantly increase hedge efficiency.In Chapter four, the measurement of the risk on the speculative trading in the futures market was discussed. On the basis of pointing out that the traditional VaR methods and Bayes VaR methods has deficiency, the focus of this chapter was to propose a dynamic VaR method based on t-distribution and the dynamic Bayes VaR method based on Conditional Heteroskedastic. After applying these two methods to China's oil futures market results showed that the risk has been smooth and decreasing slightly from the fuel oil futures market has been running. Furthermore, the dynamic methods reflected market risks even more objectively.In Chapter five, the fluctuating between the futures and spot market were discussed. Main contents include: the impulse response function were established based on VECM and variance decomposition model to analyze dynamic impact from the external information; information sharing model were established to analyze inducing relationship on the volatility between the futures and spot market; it focus on " establishing EGARCH variance model by the Conditional Heteroskedastic of each other's market " with the purpose of studying on the spillover effect between the futures and spot market. Results from Empirical analysis showed that the volatility between the fuel oil futures and spot markets had been the transfer effects and spillover effects obviously; it has been transfer mechanism between the two markets risk.In Chapter six, the regulatory on the futures market were studied. Based on the transmission mechanism of risk between the fuel oil futures and spot markets, it was pointed out that our country should establish joint regulatory system between the spot market and futures. Regulatory principles, system and measure on joint regulatory were also discussed.In Chapter seven, a summary of this paper was made and some questions that need to be improved and perfected in the future study were raised.The main innovation ideas in this paper are as follows:(1) Based on the mainline of this paper——the relations between the futuresmarket and the spot market——the risk of the fuel oil futures market wascomprehensively analyzed, and the proposal to establish a joint regulatory system on the spot and futures markets was put forward.(2) An optimal dynamic hedging rate model was put forward to analyze hedging risk.(3) Dynamic VaR and dynamic Bayes VaR method were put forward to analyze the risk of speculative trading.(4) We proposed to establish EGARCH variance model by the Conditional Heteroskedastic of each other's market and study the spillover effect between the futures and spot market...