沪深300指数期货动态保证金设定研究及效率评估

发布时间：2018-06-06 05:16

本文选题：股指期货 + 保证金设定　；参考：《复旦大学》2012年硕士论文

【摘要】：沪深300指数期货作为国内首个金融期货产品,以它为基础的研究不仅可以深化对既有技术手段实用性的认识,还可以为利率期货、外汇期货、贵金属期货等新金融工具是否引入市场、何时引入市场、需要注意哪些问题等作出回答,并为市场的进一步发展提供实际可行的建议。考虑到极端风险的不可预测性以及损失的严重性,本文的研究中认为不宜使用保证金一类的“预防”措施应对此类风险,所以推荐以VaR为基本思想设定动态的保证金水平,以保证金防范一般市场波动状况下的风险。在保证金的设定中,SV模型是一个可供参考的选择,特别是扩展型SV模型在本文的实证中表现良好,而SV模型的参数估计可以借助WinBUGS软件来实现。针对不同保证金设置方法之间可比性不足的问题,本文所做的研究首先涉及股指期货保证金设定方法的效率评估。这一部分既包括定量的评估体系的构建,也包括基于所建评估体系的对于当前保证金设置效率的评估。实证结果显示当前的保证金设置水平过高,而基于SV模型的保证金设置方法在保证金资金效率上实现了提升。这一评估体系的缺点是不能用单一尺度定性分析保证金设置的优劣,需要结合使用者对于安全性和资金效率的偏好来做出主观评价。文章所做的第二个工作是对于市场波动刻画方法的优化。认识到持仓时间的差异对于头寸价值的不同影响,本文构建了一个能够同时反映隔夜持仓头寸和当日新开仓头寸风险的波动指标,这一指标相较于传统上以收益率为波动指标的做法更为贴近市场,因而在可靠性和实用性上得到提升。应用该指标在比较分析当前保证金设置方法和基于SV模型的保证金动态设定方法时支持了调低当前保证金水平的建议,同时重新验证了基于SV模型的保证金设置方法的可靠性,此外基于上述波动指标的研究也表明保证金资金效率事实上比基于收益率的研究所显示的水平要高。文章所做的第三个工作是在扩展样本容量和选择交易更为活跃的研究对象的前提下,研究动态保证金设置的适用性,结果发现基于SV模型的动态保证金设定方法其可靠性有所下降,说明该方法仍需改进。在这一部分工作中,还涉及对以往使用沪深300指数替代沪深300指数期货所作的研究的可靠性分析,结果发现这一类替代性研究并不够充分有效,应当谨慎对待。
[Abstract]:As the first financial futures product in China, Shanghai and Shenzhen 300 index futures can not only deepen their understanding of the practicability of existing technical means, but also be interest rate futures and foreign exchange futures. Whether new financial instruments, such as precious metal futures, are introduced into the market, when, and what questions need to be noted. In view of the unpredictability of extreme risks and the severity of losses, it is considered in this paper that it is not appropriate to use "precautionary" measures such as margin to deal with such risks. Therefore, it is recommended to set dynamic margin level with VaR as the basic idea and to guard against the risk under the general market fluctuation. SV model is a reference choice in margin setting, especially the extended SV model performs well in this paper. The parameter estimation of SV model can be realized by WinBUGS software. In view of the lack of comparability between different margin setting methods, the research in this paper first involves the efficiency evaluation of margin setting methods for stock index futures. This part includes not only the construction of quantitative evaluation system, but also the evaluation of the efficiency of current margin setting based on the established evaluation system. The empirical results show that the current margin setting level is too high, while the SV model based margin setting method can improve the margin fund efficiency. The disadvantage of this evaluation system is that it is not possible to use a single scale to qualitatively analyze the advantages and disadvantages of margin setting. It is necessary to make subjective evaluation based on users' preference for security and capital efficiency. The second work in this paper is to optimize the characterization of market volatility. In recognition of the different influence of position time on the value of position, this paper constructs a volatility index which can reflect the risk of overnight position and new position at the same time. This index is more close to the market than the traditional method of using yield as the index of volatility, so it has been improved in reliability and practicability. When comparing and analyzing the current margin setting method and the SV model based margin dynamic setting method, the index supports the proposal of lowering the current margin level, and at the same time, it reverifies the reliability of the SV model-based margin setting method. In addition, studies based on the above volatility indicators also show that margin funds are in fact more efficient than yield-based studies show. The third work done in this paper is to expand sample size and select transactions On the premise of the research object, The applicability of dynamic margin setting is studied. The results show that the reliability of dynamic margin setting method based on SV model is decreased, which indicates that the method still needs to be improved. In this part of the work, it also involves the reliability analysis of the previous research on using the CSI 300 index to replace the CSI 300 index futures. The results show that this kind of alternative research is not sufficiently effective and should be treated with caution.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】