Application Of VaR In Chinese Futures Market

Although Chinese Futures Market developed a lot in the past more than ten years, itis still a new and underdeveloped emerging market. Accordingly, this market incorporatesconsiderable risk. Chinese Futures Market suffers from congenital system limitation andinsufficient regulatory measures, so its risk is transnational and complex.With the development of modern Financial Investment Theory and Econometrics,there are various measuring methods for financial risk. This thesis reviewed currentmainstream measuring technology -VaR (Value at Risk) and its characteristic and basicprinciple, researched and compared three VaR methods, and concluded their strengths andweaknesses. In the meantime, bean futures risk is analyzed by historical simulationmethod with the data of Dalian Commodity Exchange. Through the analysis, the authorput forward suggestions for investors and supervisors. In the process of futures investment,investors can make use of the VaR method to measure the risk, choose the investmentstrategy based on the size of risk and the capability they owe to bear the risks, so that theymay control the risks of investment portfolio.