基于VaR的股指期货保证金管理

发布时间：2018-05-08 11:38

本文选题：股指期货 + VaR　；参考：《西南财经大学》2012年硕士论文

【摘要】：我国的股指期货在2010年4月16号正式的推出,截止目前为止,已经运行了将近二年的时间。在这二年左右的时间里,股指期货在我国的运行总起来说是成功的,这是一个普遍的认识。在2010年刚刚推出股指期货这个交易品种时,当时的中国经济正处于一个非常重要的转型时期。股指期货引领了中国的期货市场进入到了金融期货的领域,但是股指期货的推出并不是意味着商品期货的没落。我国的商品期货市场发展非常的迅速,在2009年的前后,我国已经成为全球最大的商品期货市场,所以对于中国的商品期货市场来说,未来的空间还很大。但是从全球来看,金融期货占了期货市场的一大部分,所以说在我国进入金融期货时代之后,中国的金融期货的发展空间可能会更大。在我国,股指期货作为第一个上市的金融期货品种,到目前为止它还是独生子。但是从它上市一年多的运行情况来看,股指期货的运行总体来说还是比较稳定的,没有出现任何大的风险事件。金融期货的监管层采取了一系列行之有效的监管制度,这也保证了股指期货市场的平稳性。在很大程度上来说,股指期货市场改变了整个期货市场的结构,至少来说期货市场的品种结构改变了,期货市场的投资结构也改变了,有一批新的投资者进入期货市场领域来。另外,期货行业的结构也发生改变了,券商系的期货公司也成为整个期货行业发展增长最快的公司。当然,他们竞争的手段还要进一步地去完善。股指期货市场并不是完美无缺的。首先就是股指期货的流动性的问题。在我国股指期货的交易还不是特别的活跃。从这二年左右股指期货的实际运行情况来看它的市场表现是真的不太活跃。股指期货有规避风险的功能,有价格发生的功能,还有资产配置的功能。但是在我国股指期货的流动性不足使其功能的发挥受到一定的局限,这些功能现在很难发挥。因为期货市场的功能需要通过其流动性来实现,股指期货的流通性偏弱,那么它的功能作用的发挥就不会充分,价格发现也好,规避风险也好,资产配置也好,都不会发挥地很充分。比如说有些期货公司,包括投资者,他们明明发现了股指期货的跨期套利是有机会的,但是没有办法做,原因是近期合约是活跃的,远期合约不活跃,近期合约进得去,远期合约进不去,进得去出不来,就没有办法套利。这是一点不足。在我国股指期货市场还有一点不足就是投资者的结构还不完善,规模偏小。我们现在开户的投资者还不多,真正参与交易的每天也就是有一万多人。所以说股指期货投资者结构还要进一步完善,要吸引更多的投资者,包括机构投资者。在我国,2010年4月16号是沪深300股指期货正式上市可以交易,股指期货作为一种新兴的投资手段,其主要是为了应对金融风险,而在完成这个目的的同时,股指期货交易本身也有很大的风险,虽然可以利用股指期货的交易来规避股市的系统性风险,然而美中不足的是,股指期货市场并没有完全消除股市的风险,仅仅是转移了其风险,并没有将股票市场的风险彻底消除掉,同时股指期货市场其本身也有一定的风险,因为其实行保证金交易,具有杠杆效应,那么其在提高了本身收益的同时,使交易主体面临的风险被成倍的放大,于是就非常有必要对股指期货的交易进行风险管理。对股指期货进行风险管理首先需要对风险进行识别,即监管者,中介机构和投资者应该各自确定其面临的风险的类别和来源,评估风险发生的可能性以及后续的影响。在对风险进行识别之后,在用一定的方法确定其面临的风险,测度的方法就是使用计量的模型来刻画风险价值损失的大小,即用计量方法对VaR进行度量和分析。VaR作为一种能度量投资组合风险的方法,已经引起了经济学家的广泛关注。并且被广泛应用到金融机构和金融监管部门,在近些年来其得到了迅猛发展。所以在金融界中,其也是非常热门的研究领域。本文主要是应用VaR的思想测度股指期货市场所面临的风险,在应用VaR计算出股指期货的风险价值之后再设定一个合适的保证金水平,使投资者在进行股指期货的实际交易时能够尽量避免被爆仓的风险,达到对股指期货交易进行有效风险管理的目的。所以本文的主体主要是两个部分：一是对VaR的测度,二是对保证金进行合理的设计。在第一部分研究中,本文集中研究VaR方法。在对VaR理论以及概念进行了详细的介绍后,紧接着对目前流行的计算VaR的方法进行了介绍,主要是蒙特卡洛模拟法,历史模拟法以及方差-协方差法。并以此利用着三种方法对股指期货的VaR进行了计算,得出VaR值。当然在计算股指期货VaR之前,首先对其统计学特征进行了分析。第二部分,对股指期货的仓位进行合理的设计主要是对保证金进行有效的管理。因为股指期货采取当日无负债的制度,所以,要对保证金进行管理首先要应对这种制度,因为可能会使投资者产生爆仓或者强制平仓的风险。当股指期货的价格发生较大的波动,对投资者产生不良的影响并使之产生亏损,在当天收盘之后,这种亏损就会使账户的资金减少并使投资者的资金转移,这与股票的交易非常的不同。于是,在股指期货交易过程中,投资者在缴纳最低保证金的基础上必须储备一部分维持保证金才能在市场发生变动时有效应对其风险。所以在本文主体的第二部分,对保证金进行有效的管理就是要对仓位进行合理设计,通过第一部分计算出的VaR来寻求计算合适的储备保证金比例,合理的保证金比例既能够提高资金的使用效率,又能够有效应对被爆仓或者被强行平仓的风险。
[Abstract]:China's stock index futures have been officially launched in April 16, 2010, so far, it has been running for nearly two years. In the two years or so, the operation of stock index futures has always been successful in our country. This is a common understanding. In 2010, when the stock index futures was just pushed out, China was at the time. The economy is in a very important period of transformation. Stock index futures lead the Chinese futures market into the field of financial futures, but the introduction of stock index futures does not mean the decline of commodity futures. The development of China's commodity futures market is very rapid. In 2009, China has become the largest business in the world. The futures market, therefore, for China's commodity futures market, the future space is still large, but from the global point of view, the financial futures account for a large part of the futures market, so in our country into the era of financial futures, the development of China's financial futures can be more space.
In our country, stock index futures as the first listed financial futures varieties, so far it is still the only child. But as far as it is listed for more than a year, the operation of stock index futures is still relatively stable, without any major risk events. The regulatory layer of financial futures has taken a series of effective measures. It also ensures the stability of the stock index futures market. To a large extent, the stock index futures market has changed the structure of the whole futures market, at least the variety structure of the futures market has changed, the investment structure of the futures market has changed, and a number of new investors have entered the futures market. In addition, the futures industry is in the futures industry. The structure of the company has also changed. The Futures Company of the brokerage department has also become the fastest growing company in the futures industry. Of course, the means for their competition should be further improved.
The stock index futures market is not perfect. First, the liquidity of stock index futures. The trading of stock index futures in China is not particularly active. From the actual operation of stock index futures in the past two years, the market performance is really not very active. Stock index futures have the function of avoiding risk and have the work of price. The function of the stock index futures is very difficult to play now. Because the function of the futures market needs to be realized through its liquidity, the liquidity of the stock index futures is weak, so the function of its function will not be full and the price is not full. For example, some Futures Company, including investors, have a chance to find the cross term arbitrage of stock index futures, but there is no way to do it, because the recent contracts are active, the forward contracts are not active, the recent contracts are in, forward contracts. There is still a little shortage in the stock index futures market of our country. There is still a little shortage in the stock index futures market of our country. The investors' structure is not perfect and the scale is small. We have not many investors now, and there are more than 10000 people who really participate in the transaction. So the structure of stock index futures investor is also necessary. To further improve, we should attract more investors, including institutional investors.
In China, in April 16, 2010, the Shanghai and Shenzhen 300 stock index futures can be traded formally. As a new investment means, stock index futures is mainly to deal with financial risks. While completing this goal, stock index futures trading itself also has a great risk, although it can use the stock index futures trading to avoid the stock market. However, the stock index futures market does not completely eliminate the risk of the stock market, but it only transfers its risk, and does not completely eliminate the risk of the stock market. At the same time, the stock index and futures market itself also has a certain risk. At the same time, the risk of the main body of the transaction is magnified, so it is very necessary to carry out risk management for the trading of stock index futures.
Risk management of stock index futures needs to identify risk first, that is, regulators, intermediaries and investors should determine the categories and sources of the risks they face, evaluate the possibility of risk occurrence and subsequent impact. After identifying the risks, the risk is determined by a certain method, and the measure is measured. The method is to use the model of measurement to describe the size of risk value loss, that is to measure and analyze the VaR by measuring and analyzing.VaR as a method to measure the risk of investment portfolio. It has attracted extensive attention of economists and has been widely applied to financial institutions and financial supervision departments. In recent years, it has been rapidly developed. Vigorously developing. So in the financial sector, it is also a very popular research field.
This paper mainly uses the idea of VaR to measure the risk faced by the stock index futures market. In the application of VaR to calculate the risk value of stock index futures, a suitable margin level is set, so that investors can avoid the risk of being put out in the actual trading of stock index futures, so as to achieve the effective trading of stock index futures. The purpose of risk management is that the main body of this article is mainly composed of two parts: the first is the measurement of VaR, and the two is the reasonable design of margin.
In the first part, this paper focuses on the study of the VaR method. After a detailed introduction of the VaR theory and concept, the current popular methods of computing VaR are introduced, mainly Monte Carlo simulation, historical simulation and variance covariance method. In this way, the VaR of stock index futures is carried out by three methods. The VaR value is calculated. Of course, before the stock index futures VaR is calculated, the statistical characteristics are analyzed first. The second part, the reasonable design of the stock index futures position is mainly to manage the margin effectively. Because the stock index futures take the non debt system of the same day, therefore, the management of the margin should first be required. When the price of stock index futures is fluctuating, it will have a bad effect on investors and make a loss. After the closing of the day, the loss will reduce the funds of the account and transfer the investors' funds, which is the exchange with the stock. So, in the process of stock index futures trading, investors must reserve a part of the maintenance margin on the basis of paying the minimum margin to have the effect on the risk. So in the second part of the main body of this article, the effective management of the margin is to make the reasonable design of the position. The VaR, calculated in the first part, seeks to calculate the proportion of the appropriate reserve margin. A reasonable margin ratio can not only improve the efficiency of the use of funds, but also effectively deal with the risk of being put out or being forced to position in a warehouse.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】