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A New Method for Setting Futures Portfolios’ Maintenance Margins : Evidence from Chinese Commodity Futures Markets
Joint Authors
Wang, Gang-Jin
Xie, Chi
Yang, Jiao-Jiao
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-20
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
The Chinese commodity futures markets neglect the existence of the risk hedge and diversification between futures contracts, thus leading to overcharge futures portfolio holders’ maintenance margins.
To this end, this paper proposes a new method, namely, the multivariate t-Copula-POT-PSRM method, which combines three models, that is, the multivariate t-Copula, the peaks over threshold (POT), and the power spectral risk measures (PSRM), to set futures portfolios’ maintenance margins.
In the empirical analysis, we first construct four kinds of futures portfolios and set their maintenance margins by using the new method.
Then, we introduce two evaluation indicators, namely, the prudence index (PI) and the opportunity cost index (OCI), to assess the effectiveness of the proposed method.
We also compare the outcomes of the two evaluation indicators of the new method with those of the widely used linear additive model.
The empirical results show that the new method can, respectively, lower the OCI value of all four kinds of futures portfolios for the In-sample period and the Out-of-sample period without significantly reducing the PI value as against the traditional model, which implies that the proposed method can be used to balance security and investment efficiency in the futures market.
American Psychological Association (APA)
Xie, Chi& Yang, Jiao-Jiao& Wang, Gang-Jin. 2014. A New Method for Setting Futures Portfolios’ Maintenance Margins : Evidence from Chinese Commodity Futures Markets. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-463697
Modern Language Association (MLA)
Xie, Chi…[et al.]. A New Method for Setting Futures Portfolios’ Maintenance Margins : Evidence from Chinese Commodity Futures Markets. Journal of Applied Mathematics No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-463697
American Medical Association (AMA)
Xie, Chi& Yang, Jiao-Jiao& Wang, Gang-Jin. A New Method for Setting Futures Portfolios’ Maintenance Margins : Evidence from Chinese Commodity Futures Markets. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-463697
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-463697