期货公司客户保证金结算风险与控制

发布时间：2018-04-18 15:04

本文选题：期货公司 + 客户保证金　；参考：《浙江大学》2016年硕士论文

【摘要】：在全球经济一体化大背景下,国内资本市场与国际资本市场对接,期货在资本市场中起着越来越重要的作用。期货结算是期货市场交易中的关键环节,在期货市场中具有举足轻重的地位。随着期货市场上市品种的增多,覆盖的领域越来越大,成交量、成交额、客户保证金等指标都较十年前增加了数十倍,对期货结算的要求也越来越高。以往的大部分研究文献都是立足于整体期货市场,或者是从交易所的角度出发,研究国内外的期货结算机构的模式、设置以及结算风险管理,鲜有从期货公司角度出发的研究。期货公司是投资者和交易所的中介,期货公司的结算风险控制也至关重要。期货公司原来利用传统方法,在交易所基础上简单地上浮高标准的保证金和简单地累加客户持仓保证金来计算客户风险率的方式来控制风险。这种一刀切的方式,占用过多的客户保证金,使客户机会成本高昂,越来越不能满足客户的需求。本文通过对期货公司的实际调研,从期货公司的角度出发,研究期货公司所面临的结算风险。通过VaR模型来估算单一合约以及跨品种套利的结算风险,并利用分析结果考虑对期货公司结算风险制度的改进,包括在控制结算风险的前提下,对优质客户给予特殊保证金优惠制度、执行交易所规定的风险管理制度和严格运行保证金封闭圈机制等。
[Abstract]:Under the background of global economic integration, futures play a more and more important role in the capital market.Futures settlement is a key link in futures market trading and plays an important role in futures market.With the increase of the variety of futures market, it covers more and more fields, such as volume, turnover, customer margin and so on, which are tens of times higher than ten years ago, and the demand for futures settlement is higher and higher.Most of the previous research documents are based on the overall futures market, or from the perspective of the exchange, research on the model, setting up and settlement risk management of futures clearing institutions at home and abroad, rarely from the perspective of futures companies.Futures company is the intermediary of investor and exchange, the settlement risk control of futures company is also very important.The futures company used the traditional method to control the risk by simply floating up the high standard margin on the basis of the exchange and simply adding the customer position margin to calculate the customer risk rate.This one-size-fits-all approach, which takes up too much customer margin, makes the opportunity cost higher and more and more unable to meet the needs of customers.This paper studies the settlement risks faced by futures companies from the perspective of futures companies through the actual investigation of futures companies.The settlement risk of single contract and cross-variety arbitrage is estimated by VaR model, and the improvement of settlement risk system of futures company is considered by using the analysis results, including under the premise of controlling settlement risk.The special margin preferential system is given to the high quality customers, the risk management system stipulated by the exchange is implemented and the mechanism of the closed circle of the margin is strictly operated.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.39

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