Research On Futures Price Risk Measurement Under The Innovative Swap Trading Mode

As an essential basic resource for global economic development,commodity plays a "barometer" role in the development of the whole society.In 2020,General Secretary Xi Jinping proposed the goal of "carbon peak and carbon neutral",and as the steel industry accounts for nearly 20% of China’s total carbon emissions,naturally becomes the key to achieve the goal.Not only that,futures originated from the development of spot trade,the existence of the significance of spot trading to avoid price risks.Therefore,how to establish a mature and safe steel futures trading system and effectively identify the risks of futures trading market has important research significance.Taking the hot rolled C material of Shandong Board of Trade as an example,from the qualitative point of view,this paper conducts research and analysis based on the trading process,supporting services,advantages of the carry transaction mode and the industry and the feasibility of the mode promotion,then from the quantitative point of view,GARCH model is used to analyze the volatility characteristics of hot rolled C material futures price,and SVM-GARCH-Va R model is used to measure the futures price risk,aiming to enrich the risk measurement model of domestic commodity trading system and futures trading.The research shows that:(1)Compared with the existing model,the carry transaction mode has many advantages,such as convenient trading,daily settlement,financing support,flexible pricing,risk management,etc.,which can effectively reduce the market risk;(2)The conditions for the model to be reproducible include: excellent natural conditions,the ability to establish a mature supporting system,and the ability to apply for policy support and local legislative protection;(3)The price volatility of Chinese hot rolled C material futures market has the characteristics of peak and thick tail and volatility aggregation,and will continue to have a large fluctuation in the future for a period of time,but on the whole the risk is controllable;(4)The GARCH-Va R model do not pass the failure rate test at all confidence levels,while the SVM-GARCH-Va R model passes the failure rate test at all three confidence levels,indicating that the latter has higher accuracy and is more suitable for prediction of small sample size.Based on the research results,the following policy suggestions are put forward:(1)Launch corresponding policies to deal with the rise of global bulk commodities.It can help small and medium-sized enterprises to solve problem,specifically: Timely adjustment of domestic monetary and fiscal policies to stabilize steel prices,increase tax preferential policies and financial support to ease the pressure of rising costs of downstream enterprises,encourage domestic small and medium-sized enterprises to reform and innovate,severely crack down on "price gouging" and other illegal acts that disrupt market order.(2)Continue to implement relevant policies on steel import and export to ensure the stability and high-quality development of the commodity market.(3)Encourage domestic commodity trading centers with conditions to enrich trading modes,build commodity supply chain management and service systems.(4)The government and relevant departments shall strengthen the monitoring of commodity price risks,as well as establish and improve the commodity price early warning system.