摘要
引入违约距离的概念,建立了期货市场违约风险评估模型,采用GARCH-M模型对期货合约价格收益的波动率进行估计.运用此模型研究了郑州商品交易所上市品种小麦的违约风险,所得结果与实际市场结果相吻合.因此,可以运用本文提出的期货市场违约风险评估模型能预测临近交割月时期货市场发生违约的概率,实时捕捉期货市场发生违约事件的信息.
In this paper, the evaluating model on defauh risk of futures market is presented by providing the concept of default distance. At the same time, a GARCH-M model is used to estimate the volatility of returns of futures market. The paper studies the default risk of wheat futures in Zhengzhou commodity exchange. The result is a close correspondence with the actual market result. So, the evaluating model on default risk of futures market can be used to capture the information on default risk of our futures market and can be a default risk early warning system for futures market.
出处
《数学的实践与认识》
CSCD
北大核心
2006年第1期49-54,共6页
Mathematics in Practice and Theory
基金
国家自然科学基金资助项目(70271028)
