Futures Risk Warning System

The futures market as an integral part of modern financial markets plays an important role in national economies of the world. With the rapid development of China's market economy, futures as an important risk management tool for enterprises and an effective means of investment for individuals has a huge potential for development. However, futures, as a unique trade way, also contains great risks in its own operations. To ensure the normal operation of the futures market, there is an urgent need for the research of futures knowledge, especially risk prevention methods.Among various risk-control systems of the futures, margin system is the core of the market risk management, and is also the important factor that affects the efficiency of futures operation. Now most futures exchanges in the world have adopted the dynamic margin system, but China's current system is the static margin system. Although the static margin system plays a positive role in the control of overall risk in China's futures market, it is unfavorable to improving efficiency of margin charging and using, and also bad for China's futures market to enhance ability of resisting risks. Therefore, China's futures market needs to learn from international experiences to adopt the dynamic margin system, and reforms the current system. This paper will focus mainly on dynamic margin calculation.In this paper, several major currently used margin models in the world, including SMA model, EWMA model, GARCH model, SPAN and TIMS systems, are collected. These models are briefly introduced and...