The Research On Risk Management Of Domestic Stock Index Futures

Stock index futures is the most rapid developing and active exchanging financial derivative in the world. It has a positive role in supplying the stock market trading mechanism, reducing transaction costs, improving the stock spot market price mechanism and help investors avoid spot market systemic risk. With the further deepening of the reform of the securities market, stock index futures in China is imperative in order to improve the structure of capital market and avoid effectively systemic risk. The HS300stock index futures (IF) has been traded in the China Financial Futures Exchange since April16,2010. It provides an effective means to hedge the systemic risk of spot market in China. However, according to the past experiences and lessons, we can see that there are two-side effects of stock index futures. One is that stock index can promote the development of the stock market, the other is the high risk. If the stock index futures market has high risks, it will bring about losses to investors and the whole market, and even affect the national economic development. Therefore, the research on stock index futures risk identification, measurement and control has the important theory and the practical significance.Firstly, the theme introduced the theory of stock index futures, including the concept, the main functions and characteristics of index futures and described HS300stock index futures contracts. Secondly, pointed out all types and sources of risk from the stock index futures, and analyzed general risks and specific risks in stock index futures market. The stock index futures risk identification means were introduced on this basis of the risk source analysis from the macro micro level. Thirdly, established the HS300stock index futures daily log return GARCH-VaR model, calculating the value of VaR and inspects the results of failure frequency. Test results show that the estimated value is effective, and at the same time is introduced into the pressure test method for VaR method for processing small probability of extreme events insufficient, and thus market risk was comprehensive measuring and analyzing on the stock index futures of our country. Finally, the results show that stock index futures market has a great functional pressure in our country. To learn from the experience of supervision of foreign stock index futures, we carry on the quantification analysis to measure risks of stock index futures. We can propose the recommendations of establishment of three regulatory models for risk control.The paper uses theory induction, deduction, comparative analysis and empirical analysis methods in the research process. The innovations lie in the following two aspects:on the one hand using the VaR method and stress testing, which combines the integrated measurement management of risks on the stock index futures market; on the other hand setting up a risk supervision system for risk control of China’s stock index futures and putting forward some suggestions to strength risk management.