基于极值理论的股指期货保证金动态调整研究

发布时间：2018-04-10 04:34

本文选题：极值理论　切入点：动态保证金　出处：《浙江大学》2013年硕士论文

【摘要】：风险管理是金融市场永恒的主题,尤其是金融创新持续加速的今天,市场安全性成为参与者和监管者共同关注的焦点。保证金制度是期货市场风险防范的核心内容,也是期货市场杠杆交易特性的来源。目前,国际成熟市场大多采用动态保证金制度,而我国期货市场虽已多次根据市场风险调整保证金水平,但仍没有摆脱静态保证金制度下保证金与市场风险脱节、保证金水平偏高等弊端,导致现行保证金制度在风险突然加大时无法控制违约风险,在风险较小时提高了交易成本和机会成本,削弱了杠杆交易对投资者的吸引力,不利于市场繁荣发展。在保证金制度改革的呼声中,如何动态调整保证金水平成为学界讨论的热点问题。上市时间较短的股指期货在这方面的研究受数据限制还不够深入。本文回顾总结了国内外保证金水平设置的相关文献,在理论层面对VaR模型、ES和谱风险测度三个模型进行了比较,引入极值理论解决传统分布和模型在尾部风险拟合上精度较低的问题,构建动态保证金设置模型。在理论分析基础上,采用2010年4月16日至2013年2月1日的股指期货数据和现货数据进行实证研究,评价了不同模型在该应用领域的优劣,深入分析了不同合约不同头寸的保证金水平。实证结果表明：极值理论在尾部风险测度上具有显著优势,基于极值理论的动态VaR模型精度最高,ES模型适用于我国目前较为谨慎的保证金水平设置原则,谱风险测度能较好地适应市场情绪显著变化所导致的风险变动；谱风险测度结果表明,空头风险厌恶程度高于多头,但在大盘走势单边下行时,多头保证金水平更高；不同合约的多头保证金水平在高谨慎性条件下差异显著,远月合约大大高于近月合约,流动性风险不可忽视。
[Abstract]:Risk management is the eternal theme of financial market, especially with the continuous acceleration of financial innovation today, market security has become the common focus of participants and regulators.Margin system is not only the core content of futures market risk prevention, but also the source of leveraged trading characteristics of futures market.At present, most of the international mature markets adopt dynamic margin system. Although our futures market has adjusted the margin level according to the market risk many times, it still has not got rid of the disconnection between the margin and the market risk under the static margin system.The disadvantages of the high margin level lead to the current margin system being unable to control the default risk when the risk suddenly increases, which increases the transaction cost and opportunity cost when the risk is small, and weakens the attractiveness of leveraged trading to investors.It is not conducive to the prosperity of the market.In the voice of margin system reform, how to dynamically adjust the margin level has become a hot issue in academic circles.The research on the short time stock index futures is limited by the data.This paper reviews and summarizes the relevant literature on margin level setting at home and abroad, and compares the three models of VaR model and spectral risk measurement in theory.The extreme value theory is introduced to solve the problem of low precision of traditional distribution and model in tail risk fitting, and a dynamic margin setting model is constructed.On the basis of theoretical analysis, using stock index futures data and spot data from April 16, 2010 to February 1, 2013, the paper evaluates the advantages and disadvantages of different models in this field.The paper analyzes the margin level of different contracts and positions in depth.The empirical results show that the extreme value theory has significant advantages in tail risk measurement. The dynamic VaR model based on extreme value theory has the highest precision and the es model is suitable for the prudent margin level setting principle in China.The spectral risk measure can adapt to the risk change caused by the significant change of market sentiment, the result of spectrum risk measurement shows that the risk aversion of short is higher than that of long, but the level of long margin is higher when the market is going down unilaterally.The level of long margin in different contracts is significantly different under the condition of high caution, the far month contract is much higher than the recent month contract, the liquidity risk can not be ignored.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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