| China’s stock index futures was officially launched in April16,2010, it has been running for nearly two years. In the two years, the stock index futures in our country is successful, this is a common understanding. In2010, the stock index futures was just launched, the Chinese economy is in an important period of transition. Stock index futures lead the Chinese futures market into the field of financial futures, But the launching of stock index futures does not mean the decline of commodity futures. Chinese futures market is developing very rapidly, and in2009, China has become the world’s largest commodity futures market, so the space of Chinese commodity futures market is also great. But from the point of the whole world, financial futures account for a majority of futures market, so in our country, after entering the era of financial futures, financial futures development space may be greater.In China, as the first financial futures products, so far the stock index futures is an only child. But since it listed for more than a year of operation, the operation of stock index futures is relatively stable, without any major risk events. Financial futures regulators take series of effective regulatory system, which guarantees the stability of the stock index futures market. To a large extent, the stock index futures market has changed the entire futures market structure, at least the structure of futures market has been changed, the investment structure of futures market has also been changed, with a number of new investors enter the futures market. In addition, the futures industry structure has also been changed, futures companies also become the futures industry’s fastest growing companies. Of course, their competition means should be perfect.The Stock index futures market does not be the pink of perfection. The first is the stock index futures’ liquidity problems. In our country stock index futures trading is not particularly active. From the two year of stock index futures’ actual operation situation, its market performance is really not very active. Stock index futures have the function of avoiding risk, price discovery, and the function of asset allocation. But in our country the stock index futures’ liquidity shortage makes its function subject to certain limitations, these features are difficult to play. Because of the function of futures markets need its mobility to achieve, stock index futures market’s liquidity is weak, so its function will not fully play, price discovery, asset allocation, will not play a very fully.For example, some futures companies, including some investors, they found the chance of arbitrage, but do not have the means, because of the recent contracts are active, but the forward contracts are not active, they can buy recent contracts, but can not buy forward contracts, there is no way to do arbitrage. In the stock index futures market of China, one insufficient is the investor structure is not perfect, dimensions slants are small. There are little investor, investors involved in the transaction are about ten thousands people every day. So the stock index futures’ structure should be further improved, to attract more investors, including institutional investors.April16,2010, the Shanghai and Shenzhen300stock index futures is officially listed and can be traded in china. As a new investment tool, the stock index futures trading was driven partly by the need of guarding against the financial risks, although disperse the financial risk,at the same time derivatives itself also breeds a new risk. Stock index futures is a effect tool for the investors to avoid the systematic risk of the stock market, but the stock index futures market just transfer, disperse the risk of the stock market, it can not eliminate the risk of the stock market completely, at the same time, stock index futures market itself also has the certain risk, because the introduction of margin trading, it has a lever effect. Although it raised its benefits, at the same time, make the transaction the main risks faced by magnify twice, so its risk management is very important.On stock index futures risk management, firstly we need to identify risks, i.e. regulators; intermediaries and investors should own to destermine its risk categories and sources, assessment of risk probability and the subsequent influence. After the risk identification, using some method to determine the risk, measure method is to use the metric model to describe the risk value of the size of the loss, namely using the measurement method to the VaR Measurement and analysis. VaR as a means to measure portfolio risk method, has caused the wide attention of economists, and has been widely applied to financial institutions and financial supervision departments, and in recent years has a rapid development. VAR has become one of the hot research topics in the financial circle.This paper is the application of the idea of VaR to measure the stock index futures market’s risks, after the application of VaR to calculate the risk of the stock index futures value, set an appropriate margin level, enable investors in the stock index futures’ market to avoid the risk of ruin, to reach the purpose for effective risk management of the stock index futures trading. So this paper has two parts: one is to measure the VaR, the other is reasonable design of the margin.In the first part, mainly introduces the theory of VaR, measurement and test, the model of VaR, VaR measurement and estimation of VaR accuracy of several test methods. The stock index futures returns based on the statistical analysis, introduce the stock index futures returns’ statistics characteristic, yield estimation method and yields statistically test. In the second part, designing the stock index futures position reasonably is mainly to carry out effective management on the margin, the effective management on the margin is mainly deal with the possible risk of ruin or being forced open caused by the mark-to-market system. Stock index futures trading and stock trading is very different, because when the price is disadvantage, trading day closing settlement after the loss will be from the stock index futures investment accounts were transferred out of place, funds is transferred, but the stock does not have the transfer of funds. Therefore, when investors deal with the stock index futures, in addition to pay the minimum margin, they have to prepare for some cash to deal with market changes caused by the change of capital account, to avoid being ruin or compulsory liquidation cases. So in the second part of the main body, the effective management for the margin is through the calculated VaR to calculate appropriate reserve margin ratio. Reasonable margin ratios not only can improve the using efficiency of capital, but also can effectively deal with or being forced deal or the risk of ruin. |
PDF Full Text Request