The present application relates to a kind of intelligent futures and options fusion
risk control analysis
system and method, method includes:
risk factor identification module real-time analysis collected data, identify the main
risk factor that current influence market, and pass through AI risk prediction engine operation prediction model;Risk prediction index is calculated, and Monte Carlo
simulation method is used to evaluate futures and options combination risk;The
exposure of each risk dimension is calculated,
risk exposure analysis is carried out, and key indicators are monitored in real time to give early warning;When triggering early warning, automatically execute
emergency response.The present application realizes the combination
risk evaluation of futures and options fusion, the combination risk of futures position and spot position is calculated by Monte Carlo
simulation method, accurately assesses hedging effect, avoids the risk underestimation or overestimation problem caused by separation evaluation.Test shows that the VaR accuracy of combination
risk evaluation is improved by 35% than separation evaluation, and effective risk capital occupancy is reduced by 20%.