考虑市场与流动性双重风险的期货动态交易保证金设置研究

发布时间：2018-07-04 15:28

本文选题：期货 + 市场风险　；参考：《武汉科技大学》2013年硕士论文

【摘要】：期货交易保证金设置的目的是为了能够控制期货市场日常交易风险，降低期货市场价格波动造成的损失，为期货市场的正常运行提供有力保障。目前我国期货市场采取的静态保证金制度存在着如下问题：（1）固定保证金比例与期货价格的波动无直接相关关系，不随市场风险的变化而调整；（2）设定保证金比例时仅考虑了市场风险因素，忽略了流动性及其他风险因素的影响。而合理的保证金设置不仅要考虑到资金成本的使用效率，还要能监控期货市场的风险，并根据风险的动态变化进行有效调整即所谓的期货动态交易保证金。因此，构建适合于我国的动态交易保证金制度具有重要的理论和实践意义。本文首先阐述了国内外的研究现状，并在了解期货相关知识及充分理解GARCH族模型和VaR方法的基础上，主要做了以下几点工作：（1）构建了一种综合性流动性测量指标Lt，此指标综合考虑了期货合约的价格变动、持仓量和交易量的影响。（2）在假设市场风险和流动性风险存在序列相关的基础上，，采用GARCH族模型及VaR模型的方差—协方差法构建了三种动态交易保证金模型：一是只考虑市场风险的期货动态交易保证金模型；二是考虑市场与流动性双重风险的期货动态交易保证金模型1和模型2。（3）为了检验构建的动态交易保证金模型的优越性，本文选取上海期货交易所的沪铜、燃料油期货进行了实证研究，发现考虑市场与流动性双重风险的期货动态交易保证金模型2最优，其覆盖期货市场的风险效果更好，收取的保证金水平更合理，能够很好地促进期货市场的活跃程度。本文的研究对我国期货市场保证金制度的改革和完善具有一定的参考价值。
[Abstract]:The purpose of the margin setting for futures trading is to control the daily trading risks of futures markets , reduce the losses caused by the fluctuation of futures market prices , and provide strong guarantees for the normal operation of futures markets . The static margin system adopted in our futures market has the following problems : ( 1 ) There is no direct relation between fixed margin ratio and fluctuation of futures price , and is not adjusted according to the change of market risk ;
( 2 ) When setting the margin ratio , only the market risk factors are considered , the influence of liquidity and other risk factors is ignored . The reasonable margin setting not only takes into consideration the use efficiency of the capital cost , but also can monitor the futures market risk , and effectively adjust the so - called futures dynamic transaction security according to the dynamic change of the risk . Therefore , the construction of the dynamic transaction margin system suitable for China has important theoretical and practical significance .

This paper first expounds the current research situation at home and abroad , and on the basis of understanding the relevant knowledge of futures and fully understanding the ARCH model and VaR method , this paper mainly makes the following work : ( 1 ) constructing a comprehensive liquidity measurement index Lt , which comprehensively considers the influence of price change , position and volume of the futures contract .
Second , the futures dynamic transaction margin model 1 and the model 2 are considered in consideration of the double risk of market and liquidity . ( 3 ) To test the superiority of the constructed dynamic transaction margin model , the paper selects Shanghai Futures Exchange ' s futures dynamic transaction margin model 2 to be the best . It finds that the futures dynamic transaction margin model with double risk of market and liquidity is optimal , which can better promote the active degree of futures market . The research of this paper has some reference value to the reform and perfection of futures market margin system in China .
【学位授予单位】：武汉科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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