本文選題：股指期貨 + VaR��； 參考：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：我國(guó)的股指期貨在2010年4月16號(hào)正式的推出,截止目前為止,已經(jīng)運(yùn)行了將近二年的時(shí)間。在這二年左右的時(shí)間里,股指期貨在我國(guó)的運(yùn)行總起來(lái)說(shuō)是成功的,這是一個(gè)普遍的認(rèn)識(shí)。在2010年剛剛推出股指期貨這個(gè)交易品種時(shí),當(dāng)時(shí)的中國(guó)經(jīng)濟(jì)正處于一個(gè)非常重要的轉(zhuǎn)型時(shí)期。股指期貨引領(lǐng)了中國(guó)的期貨市場(chǎng)進(jìn)入到了金融期貨的領(lǐng)域,但是股指期貨的推出并不是意味著商品期貨的沒(méi)落。我國(guó)的商品期貨市場(chǎng)發(fā)展非常的迅速,在2009年的前后,我國(guó)已經(jīng)成為全球最大的商品期貨市場(chǎng),所以對(duì)于中國(guó)的商品期貨市場(chǎng)來(lái)說(shuō),未來(lái)的空間還很大。但是從全球來(lái)看,金融期貨占了期貨市場(chǎng)的一大部分,所以說(shuō)在我國(guó)進(jìn)入金融期貨時(shí)代之后,中國(guó)的金融期貨的發(fā)展空間可能會(huì)更大。 在我國(guó),股指期貨作為第一個(gè)上市的金融期貨品種,到目前為止它還是獨(dú)生子。但是從它上市一年多的運(yùn)行情況來(lái)看,股指期貨的運(yùn)行總體來(lái)說(shuō)還是比較穩(wěn)定的,沒(méi)有出現(xiàn)任何大的風(fēng)險(xiǎn)事件。金融期貨的監(jiān)管層采取了一系列行之有效的監(jiān)管制度,這也保證了股指期貨市場(chǎng)的平穩(wěn)性。在很大程度上來(lái)說(shuō),股指期貨市場(chǎng)改變了整個(gè)期貨市場(chǎng)的結(jié)構(gòu),至少來(lái)說(shuō)期貨市場(chǎng)的品種結(jié)構(gòu)改變了,期貨市場(chǎng)的投資結(jié)構(gòu)也改變了,有一批新的投資者進(jìn)入期貨市場(chǎng)領(lǐng)域來(lái)。另外,期貨行業(yè)的結(jié)構(gòu)也發(fā)生改變了,券商系的期貨公司也成為整個(gè)期貨行業(yè)發(fā)展增長(zhǎng)最快的公司。當(dāng)然,他們競(jìng)爭(zhēng)的手段還要進(jìn)一步地去完善。 股指期貨市場(chǎng)并不是完美無(wú)缺的。首先就是股指期貨的流動(dòng)性的問(wèn)題。在我國(guó)股指期貨的交易還不是特別的活躍。從這二年左右股指期貨的實(shí)際運(yùn)行情況來(lái)看它的市場(chǎng)表現(xiàn)是真的不太活躍。股指期貨有規(guī)避風(fēng)險(xiǎn)的功能,有價(jià)格發(fā)生的功能,還有資產(chǎn)配置的功能。但是在我國(guó)股指期貨的流動(dòng)性不足使其功能的發(fā)揮受到一定的局限,這些功能現(xiàn)在很難發(fā)揮。因?yàn)槠谪浭袌?chǎng)的功能需要通過(guò)其流動(dòng)性來(lái)實(shí)現(xiàn),股指期貨的流通性偏弱,那么它的功能作用的發(fā)揮就不會(huì)充分,價(jià)格發(fā)現(xiàn)也好,規(guī)避風(fēng)險(xiǎn)也好,資產(chǎn)配置也好,都不會(huì)發(fā)揮地很充分。比如說(shuō)有些期貨公司,包括投資者,他們明明發(fā)現(xiàn)了股指期貨的跨期套利是有機(jī)會(huì)的,但是沒(méi)有辦法做,原因是近期合約是活躍的,遠(yuǎn)期合約不活躍,近期合約進(jìn)得去,遠(yuǎn)期合約進(jìn)不去,進(jìn)得去出不來(lái),就沒(méi)有辦法套利。這是一點(diǎn)不足。在我國(guó)股指期貨市場(chǎng)還有一點(diǎn)不足就是投資者的結(jié)構(gòu)還不完善,規(guī)模偏小。我們現(xiàn)在開(kāi)戶的投資者還不多,真正參與交易的每天也就是有一萬(wàn)多人。所以說(shuō)股指期貨投資者結(jié)構(gòu)還要進(jìn)一步完善,要吸引更多的投資者,包括機(jī)構(gòu)投資者。 在我國(guó),2010年4月16號(hào)是滬深300股指期貨正式上市可以交易,股指期貨作為一種新興的投資手段,其主要是為了應(yīng)對(duì)金融風(fēng)險(xiǎn),而在完成這個(gè)目的的同時(shí),股指期貨交易本身也有很大的風(fēng)險(xiǎn),雖然可以利用股指期貨的交易來(lái)規(guī)避股市的系統(tǒng)性風(fēng)險(xiǎn),然而美中不足的是,股指期貨市場(chǎng)并沒(méi)有完全消除股市的風(fēng)險(xiǎn),僅僅是轉(zhuǎn)移了其風(fēng)險(xiǎn),并沒(méi)有將股票市場(chǎng)的風(fēng)險(xiǎn)徹底消除掉,同時(shí)股指期貨市場(chǎng)其本身也有一定的風(fēng)險(xiǎn),因?yàn)槠鋵?shí)行保證金交易,具有杠桿效應(yīng),那么其在提高了本身收益的同時(shí),使交易主體面臨的風(fēng)險(xiǎn)被成倍的放大,于是就非常有必要對(duì)股指期貨的交易進(jìn)行風(fēng)險(xiǎn)管理。 對(duì)股指期貨進(jìn)行風(fēng)險(xiǎn)管理首先需要對(duì)風(fēng)險(xiǎn)進(jìn)行識(shí)別,即監(jiān)管者,中介機(jī)構(gòu)和投資者應(yīng)該各自確定其面臨的風(fēng)險(xiǎn)的類別和來(lái)源,評(píng)估風(fēng)險(xiǎn)發(fā)生的可能性以及后續(xù)的影響。在對(duì)風(fēng)險(xiǎn)進(jìn)行識(shí)別之后,在用一定的方法確定其面臨的風(fēng)險(xiǎn),測(cè)度的方法就是使用計(jì)量的模型來(lái)刻畫風(fēng)險(xiǎn)價(jià)值損失的大小,即用計(jì)量方法對(duì)VaR進(jìn)行度量和分析。VaR作為一種能度量投資組合風(fēng)險(xiǎn)的方法,已經(jīng)引起了經(jīng)濟(jì)學(xué)家的廣泛關(guān)注。并且被廣泛應(yīng)用到金融機(jī)構(gòu)和金融監(jiān)管部門,在近些年來(lái)其得到了迅猛發(fā)展。所以在金融界中,其也是非常熱門的研究領(lǐng)域。 本文主要是應(yīng)用VaR的思想測(cè)度股指期貨市場(chǎng)所面臨的風(fēng)險(xiǎn),在應(yīng)用VaR計(jì)算出股指期貨的風(fēng)險(xiǎn)價(jià)值之后再設(shè)定一個(gè)合適的保證金水平,使投資者在進(jìn)行股指期貨的實(shí)際交易時(shí)能夠盡量避免被爆倉(cāng)的風(fēng)險(xiǎn),達(dá)到對(duì)股指期貨交易進(jìn)行有效風(fēng)險(xiǎn)管理的目的。所以本文的主體主要是兩個(gè)部分：一是對(duì)VaR的測(cè)度,二是對(duì)保證金進(jìn)行合理的設(shè)計(jì)。 在第一部分研究中,本文集中研究VaR方法。在對(duì)VaR理論以及概念進(jìn)行了詳細(xì)的介紹后,緊接著對(duì)目前流行的計(jì)算VaR的方法進(jìn)行了介紹,主要是蒙特卡洛模擬法,歷史模擬法以及方差-協(xié)方差法。并以此利用著三種方法對(duì)股指期貨的VaR進(jìn)行了計(jì)算,得出VaR值。當(dāng)然在計(jì)算股指期貨VaR之前,首先對(duì)其統(tǒng)計(jì)學(xué)特征進(jìn)行了分析。第二部分,對(duì)股指期貨的倉(cāng)位進(jìn)行合理的設(shè)計(jì)主要是對(duì)保證金進(jìn)行有效的管理。因?yàn)楣芍钙谪洸扇‘?dāng)日無(wú)負(fù)債的制度,所以,要對(duì)保證金進(jìn)行管理首先要應(yīng)對(duì)這種制度,因?yàn)榭赡軙?huì)使投資者產(chǎn)生爆倉(cāng)或者強(qiáng)制平倉(cāng)的風(fēng)險(xiǎn)。當(dāng)股指期貨的價(jià)格發(fā)生較大的波動(dòng),對(duì)投資者產(chǎn)生不良的影響并使之產(chǎn)生虧損,在當(dāng)天收盤之后,這種虧損就會(huì)使賬戶的資金減少并使投資者的資金轉(zhuǎn)移,這與股票的交易非常的不同。于是,在股指期貨交易過(guò)程中,投資者在繳納最低保證金的基礎(chǔ)上必須儲(chǔ)備一部分維持保證金才能在市場(chǎng)發(fā)生變動(dòng)時(shí)有效應(yīng)對(duì)其風(fēng)險(xiǎn)。所以在本文主體的第二部分,對(duì)保證金進(jìn)行有效的管理就是要對(duì)倉(cāng)位進(jìn)行合理設(shè)計(jì),通過(guò)第一部分計(jì)算出的VaR來(lái)尋求計(jì)算合適的儲(chǔ)備保證金比例,合理的保證金比例既能夠提高資金的使用效率,又能夠有效應(yīng)對(duì)被爆倉(cāng)或者被強(qiáng)行平倉(cāng)的風(fēng)險(xiǎn)。
[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.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224

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本文編號(hào)：1861244