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The Application of VaR Model into Oil Future Market: An Empirical Study on Future Trade of China Aviation Oil

Author: YangHaiFeng
Tutor: LiuYuan
School: University of Foreign Trade and Economic
Course: Finance
Keywords: Value-at-risk method China Aviation Oil Oil Futures
CLC: F713.359
Type: Master's thesis
Year: 2005
Downloads: 747
Quote: 1
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Abstract


Value at Risk (VaR) method is commonly used in modern financial products investment risk control tools . Assessment and measurement of assets held VaR VaR method , timely adjustment of the portfolio can be distributed and to avoid risks, improve the asset operational quality and operational efficiency . VaR method is an effective analysis tool for institutional investors investment decisions . Application of VaR methods institutional investors , investment objects in the investment process , risk measurement , risk will be calculated by comparing the size and its ability to bear risk , in order to determine the amount of investment and investment strategy , in order to reduce the investment blindness minimize loss due to bad investment decisions . China Aviation Oil (Singapore ) engaged in oil futures derivatives trading losses too large for bankruptcy in November 2004 . The interception of the CAO gradually expanded trading Handicap , loss of expanding November 25, 2003 to November 30, 2004 the time interval for the study , this time by calculating the New York Futures Exchange, oil futures VaR value from which to verify the applicability of the the VaR method of oil futures trading risk control . Can be drawn from the empirical analysis , VaR method as a tool to assess the market risk in the oil futures investments have certain practical significance to analyze past market risk VaR method , in the case of special events , , and the risk in the future to make some predictions . VaR method itself there are some limitations on oil futures investment risk analysis .

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CLC: > Economic > Trade and Economic > Domestic Trade and Economic > The circulation of commodities and the market > Sale of goods > Auction
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