Set The Empirical Analysis, Based On Var Methods Of Futures Margin Rates

Futures market as the most important component of Chinese economics; plays fundamental functions in the development of Chinese economics. From 1990 to 2006, futures market already plays it's basic functions sufficiently, but Chinese futures market still have some problems need to be solved, such as how to increase deal variety, how to optimize deal structure, how to control market's risks dynamically. Risk management as the key of futures trade, how to set down reasonable margin ratio is especially important, we should consider of Chinese futures market situation practically, and take foreign futures market's risk control methods for reference. We can take VaR method as risk control standard, combine the VaR with other factors to set down the margin ration, which can timely reflect the change of futures market and can be adjusted easily, thereby can ensure healthy development of futures market, satisfy different needs of different investors', it is critical when stock index futures be about to come into the market.Author choose existing futures contracts as objects, collected historical price datum, used VaR method to calculate value at risk and set corresponding margin. Through demonstration we can conclude that the ration set accord VaR method can reflect price changes timely, so futures exchanges can adopt VaR method to control risk validly in theoretical. But how should different parts do? So author gives some advices in the forth part of this article.