The Research On Risk Management Of Stock Index Futures

Stock index futures as a financial derivative is a hedge tool, but it also has a very high risk of its own. If investors can not be a correct understanding of the transactions in the market that should be scientific and strict management and control of risk,pursuing speculative profits blindly, may will give investors themselves or the capital market bring consequences can not be envisaged. How to effectively manage the risk of stock index futures in order to reduce and avoid the occurrence of risk events for China’s financial market and even the entire national economy has a vital significance for the stable development.In this paper, on the basis of detailed analysis of the stock index futures market risk, GARCH VaR method of reference to the risk management of stock index futures market in, the CSI 300 stock index futures transaction history data as a sample, makes an empirical analysis on the risk of the stock index futures. It is proved that the VaR value calculated by the GARCH-VaR method can effectively measure the risk of the stock index futures market in Shanghai and Shenzhen stock index futures market, and provide the basis for decision making for risk managers.On the basis of theoretical analysis, empirical analysis on stock index futures risk management from the practical application point of view, to study the stock index futures market risk management strategies and explore ways for applying the VaR method, in order to solve the futures company to serve the investors do the practical problems in the stock index futures risk management, at the same time, the regulators to make reasonable suggestions. The main conclusions are as follows:Futures Company is the intermediary of stock index futures trading. In the trading activities, the directly faces the investment subject and enter into the era of mixed operation, and the new business put forward new requirements for the risk management of Futures Company. Futures Company should serve the stock index futures investors, to develop effective trading strategy and risk management countermeasures.In accordance with the three aspects of the financial risk management process, first, should be based on investor risk appetite, capital, etc.,to establish a reasonable risk management objectives. Secondly, on the basis of setting goals, risk of stock index futures were comprehensive analysis and evaluation, including risk identification and risk evaluation;at the same time, in the stock index futures trading should pay attention to the dynamic risk management.Regulators, the Commission should gradually improve the laws and regulations and regulatory system, and promote the implementation of policies to strengthen the stock market and the stock market and the coordination of the management of the market, and maintain market stability. Exchange should gradually improve risk management system, establish real-time risk early warning system to prevent abnormal occurrence; Futures Industry Association as a self regulatory organization, and strive to improve the investors and employees risk awareness and professional skills.