Stock Index Futures, Risk Management Study

Chinese stock market in the second half of 2007 started to decline, the launch of stock-index futures became the focus of debate.After the 2008 financial crisis, its launch is imminent.On April 16,2010,at all futures finally the expectation to the market.Stock index futures because of their low transaction cost and liquidity become a good tool to avoid risks, however because of its indirect, speculative and concentration, it has "to deduct" the leverage effect will also double the risk amplify, the risk can not be eliminated, but it can be controlled. How to measure and control these risks, no doubt after the introduction of stock index futures has become a major research project, and our financial institutions and investors, whether they are more risk awareness weak risk management tools mature foreign country has not yet been widely used, therefore, this time at the launch of stock index futures, the risk management study has important theoretical and practical significance.The paper bases onVaR theory, using theoretical analysis, empirical analysis, qualitative and quantitative analysis, comparative analysis and statistical modeling methods such as stock index futures on the risks of specific research. First analyzed the VaR of the defect, joined the GARCH model and the extreme value theory build a more realistic features of financial markets, GARCH-GPD-VaR model, followed by selected October 25,2006 to October 24,2010 in Shanghai and Shenzhen 300 A total of 973 index futures data as an alternative, the use of MAPLE, Matlab, EXCEL and other software process the data, and to test the accuracy of the model, the final results show that volatility in the market, such as the financial crisis when the stock index futures market in China,95% can guarantee the probability of maximum loss in a day not more than 5.2049%, if not volatile, the simulation results show that the probability of 95% can guarantee the maximum loss in a day not more than 3.887 percent, it is worth mentioning that, using the spot the market value of the data calculated risk may be less than the actual risk of the futures market. In addition, the paper also studies the risks specific to the stock index futures-basis risk, the conclusion that the risks faced by hedge less than the speculators.