Study On Risk Management Of Shanghai And Shenzhen Stock Index Futures

After the later 70 years of the 20th century, with the collapse of the Bretton Woods System, dollar-driven collapse of fixed exchange rate system, exchange rate volatility and commodity prices fluctuated sharply, which brought a great deal of uncertainty to the economy and led to stock market's greater volatility. In order to effectively avoid the system risk, Stock Index Futures as one of financial derivative products emerged. However, Stock Index Futures is also a two-edged sword:To some extent, fictitious mechanism of Stock Index Futures squeezes the bubble, however, to a certain extent, Stock Index Futures' leverage transactions enlarge the market risk. Therefore, how to identify, measure and control risk of Stock Index Futures and thus to effectively manage risk has become the common and toughing problem which faces the regulators in the whole world.This paper uses VaR and Stressing Methods to do a research on risk management of Stock Index Futures. The whole risk management process starts with the general steps:risk identification, risk measurement and risk controls.The first chapter introduces Home and Foreign scholars'current research on risk management of Stock Index Futures and makes a review on their present research.Article II gets the conclusion that market risk is the core risk by analyzing the interaction between various types of risk.Article firstly analyzes the main factors:risk-free rate of return, dividend yield, price of stock index, holding days on stock index futures which affect price of stock index futures in stock index futures no-arbitrage model. Then this paper analyzes the formation of the equilibrium price of stock index futures is the result of arbitrage mechanism. At last this paper uses datas in 2005,2006,2008 to establish Shanghai and Shenzhen 300 stock index futures no-arbitrage model, measuring risk then uses datas in 2006,2007,2009 to do a back test.Article IV uses Stressing Test to simulate extreme market conditions to test the ability to seize manage market risk for individual or institutional investors so that they can test risks before risks happened. The result shows that, if Shanghai and Shenzhen 300 Stock Index Futures rises or falls by more than 5%and investors hold all positions, investors will face the danger of explosion position, therefore, to prevent these extreme market risk, in addition to improving the analysis operation and correctly determining the run trends of Shanghai and Shenzhen 300 Stock Index, we must also control the proportion of holding positions and work hard to use stop-loss technology.Chapter V summarizes the article, the article's main conclusions, and gives policy recommendations for the risk management of Shanghai and Shenzhen 300 Stock Index Futures, in the end, the author gives the weakness of the article and which fields should continue to be developed.