| With the increase of China’s economic aggregate and the development of financial market,futures market has made great progress in the new century.Futures market has become a place for many enterprises to carry out risk management.However,the futures market has relatively high risk.The healthy and orderly development of futures market is inseparable from risk control,and as the main means of risk control,futures margin has been playing an important role in the futures market.How to reasonably set the margin rate of futures has become a very concerned issue for participants in this market.Although futures exchanges and futures companies can increase the margin ratio to deal with market risks,excessive margin occupation also means the reduction of capital efficiency,and will lead to the decrease of liquidity of the futures contract.Therefore,it is of great significance to adopt a reasonable margin setting method to promote the orderly development of China’s futures market.As margin is to prevent traders’ risk from exceeding their own bearing range,the key to set margin rate is to describe the risk situation of futures.At present,the main measure of futures risk is VaR,which is a common risk measurement tool used by a large number of financial institutions in the world.However,because var cannot meet the consistency axiom and liquidity risk is not considered,CVaR and La CVaR will be introduced as risk measurement tools for VaR improvement.CVaR can satisfy the consistency axiom,and measure the expected value of loss beyond the confidence level,which more objectively describes the risk situation.But La CVaR adds liquidity risk on the basis of CVaR,which makes this paper more comprehensive when considering the risk situation.In this paper,we will use analytic method to find VaR,and obtain CVaR and La CVaR by getting var.In this process,the parameters that need to be used are the mean and variance of the logarithmic yield of futures,and the distribution of the logarithmic yield also needs to be assumed.According to the research of domestic and foreign researchers,GARCH model can better fit the above characteristics of return rate.Therefore,this paper uses GARCH model to estimate the variance of log return.And in the process of fitting,determine the distribution of yield.For La VaR model,BDSS model is mainly used to measure liquidity risk.However,the original BDSS model has not been strictly derived,and there are contradictions between the formula from the definition and the BDSS model.In this paper,the improved BDSS model is derived by definition,and one of the parameters,the relative price difference,is optimized.The optimized BDSS model is used to estimate the liquidity risk.After getting the risk measurement,this paper uses the risk measurement to determine the specific margin rate of futures varieties.After determining the model,this paper will take copper,screw steel of Shanghai Futures Exchange and PTA futures of Zhengzhou Commodity Exchange as the research object,and focus on CVaR and La CVaR.The results show that La CVaR can better cover the risk,and the failure rate of CVaR is significantly lower than that of VaR,which proves the rationality of the margin setting method used in this paper.By using CVaR and La CVaR,the margin ratio is obtained,and compared with the current margin ratio,it is proved that the method is feasible and reasonable.The empirical results also show that the margin ratio based on La CVaR model is a more optimal choice for the three futures involved in this paper. |
