Study On The Mearsurement Of Regulation Capital Of Futures Companies

Along with the introduction of new futures products and integration into the world futures markets system, the risk of futures contract trading is growing in our country. As the nominal trader and the risk takers, the futures companies face growing risk. It is very important that strengthen regulation on the abilities of risk tolerance, especially the capital of futures companies.But, the research on regulation capital of futures companies is very little. In this paper, we firstly introduce the characters of futures companies' risk, then analysis the relations of futures' risk and regulation capital, finally study how to measure the regulation capital of futures companies. In addition, we also do an empirical study on the above theory.The results of study show that:(1) The regulation capital of companies is equal to the larger number of the risk of long and short positions.(2) Because of the non- symmetry, the risk that applied to the measurement of regulation capital of futures companies is the "double down side risk", not the "down side risk". In this paper, the measurement of "double down side risk" must meet four standards. It is convexity, translation invariance, absolute monotonicity and the ability to measure the event risk. According to the four standards, the expected shortfall (ES) is selected as the tool of risk measurement for the regulation capital of futures companies.(3) Because of avoiding the assumption of correlation between the assets, "Copula" is the more reasonable approach as the method of measurement of regulation capital requirements for the futures contracts Portfolio.(4)Liquidity risk is very important for the regulation capital. Especially, the liquidity risk of companies is not the same as the general sense of liquidity risk, such as the liquidity risk of banks. The liquidity risk of futures companies is the price spreads between open price of the second day and the close price of the day.Eventually, the results of the empirical study also support the above conclusions.