| Stock index futures is the most successful financial innovation of financial instruments in the 80's of the 20th century. Because of its hedging, risk aversion, the role of price discovery, and many, so they have soon been rapidly introduced. China also launch the Shanghai and Shenzhen 300 stock index futures contracts traded varieties on April 16,2010.From a practical point of view of the operation, on the one hand, the introduction of stock index futures, enriched variety of transactions in the market, active in the stock market, the stock market has played a leading role. On the other hand, due to the special nature of stock index futures and leverage, stock index futures market risk amplification, non-rational means of speculation and regulatory lag and other problems also exist. For the parties involved domestic stock index futures, the stock index futures risk management has become a pressing reality.This paper based on the perspective of risk management of stock index futures, first outlined the concept of stock index futures, the role and characteristics of domestic and foreign stock index futures and risk management theory and methods of synthesis and analysis, stock index futures risk management includes risk identification, risk measurement and risk control, but the core of risk management is the pricing model of stock index futures.In the concepts of the risk of domestic and international stock index futures, theories and methods are reviewed, this paper based on the cost of carry model of stock index futures, analyzing the conditions of some classical pricing models and limitations,and then support a stock index futures Price range model that applied the characteristics of China's futures market, so the traders can judge the stock index futures simplely and intuitively to arbitrage opportunities and price movements, in the same time as the regulators with the model can control the market to stabilize the market to provide a theoretical basis. It is of significant theoretical and practical significance. |
