Research On Risk Measurement And Prevention Of China's Fuel Futures Market

Beginning in New Year's Day in 2004,China's reform of imported fuel oil futures has been reformed,so that China's domestic fuel oil prices and international prices almost simultaneously.However,due to oil as a variety of characteristics of energy materials,the impact of its price factors corresponding to a variety,which caused its price fluctuations with sudden strong,high sensitivity characteristics.Changes in the international situation,changes in supply and demand and changes in transport conditions are caused by the huge fluctuations in international oil prices reasons.And the volatility of the price will be China's fuel futures market caused a huge risk in this context for China's fuel futures market risk analysis,put forward an effective risk measurement methods,whether it is to guide investors to invest and control market risk Are of great significance.This paper takes Shanghai fuel oil futures market as an example.On the basis of a large number of references at home and abroad,first of all,this paper analyzes the current situation of fuel futures market and risk management theory in china.The influence of fuel oil futures market from the aspects of supply and demand,oil producing policy and geopolitics is introduced.The advantages and disadvantages of the historical simulation and Monte Carlo estimation methods are analyzed respectively.Secondly,the different models of GARCH class are explained.The probability density function of several distributions and the calculation of VaR under several distributions are analyzed respectively.Again,the China fuel futures market return rate sequence by descriptive analysis,pointed out that the return series has the characteristics of tail spikes,self correlation and heteroscedasticity,choosing GARCH model respectively in normal distribution,t distribution,GED distribution to estimate the parameters.The risk EGARCH model under t distribution can better reflect the oil futures market and the futures market risk in China due to impact of bad information on the price fluctuation is bigger,showing obvious characteristics of the leverage effect.Finally,based on the empirical results,the risk management of fuel futures market is put forward.Such as:Narrow trading units and improve market liquidity;launch minicontracts,meet the small and micro investor demand;set up personalized margin,to meet the needs of different investors;expand investor services and education,strengthen the risk control in futures market as soon as possible;the introduction of crude oil futures,strengthening the right to speak;to change the mode of regulation,accelerate the introduction of "Futures Law",strengthen supervision.