Research On Risk Measurement And Management Of CSI300Index Futures

As of April16.2010, the CSI300index futures came into formaltrading, which broke out the long-term situation of only short can be donebut not long in our stock market, and bring the investor an available toolto hedge the stock market systematic risk.While as a derivative, for its leverage effect, the CSI300indexfutures contain huge risk in itself. The development of capital market inChina has a relatively short history what is the main reason for marketparticipants including institutional investors’ generally short of riskprevention awareness and professional technology. Some big-sizedenterprises of China made substantial loss in the derivatives markets oftenin recent years is a support to the above point of view. That is why theintroduction of risk management tool which can quantify risks is sonecessary in the management of stock index futures risk.VaR method and CVaR method can conveniently reflect tradersfacing risk through simple figures. Both of the two are good tools in riskmanagement. After analyzed the source of stock index futures risk anddiscussed different levels of risk supervision in stock index futures, thispaper brought the effective CVaR method to risk management, anddiscussed the principle and the calculation method in detail, then madefitting of CSI300stock index futures transaction data by using extreme value theory in the GPD distribution and made empirical analysis, foundthe CVaR method which introduced of extreme value theory can wellreflect the risk in the stock index futures market. All this has certainreference significance to our country stock index futures riskmanagement development.