本文選題：股指期貨 + 保證金設(shè)定��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：滬深300指數(shù)期貨作為國(guó)內(nèi)首個(gè)金融期貨產(chǎn)品,以它為基礎(chǔ)的研究不僅可以深化對(duì)既有技術(shù)手段實(shí)用性的認(rèn)識(shí),還可以為利率期貨、外匯期貨、貴金屬期貨等新金融工具是否引入市場(chǎng)、何時(shí)引入市場(chǎng)、需要注意哪些問(wèn)題等作出回答,并為市場(chǎng)的進(jìn)一步發(fā)展提供實(shí)際可行的建議。 考慮到極端風(fēng)險(xiǎn)的不可預(yù)測(cè)性以及損失的嚴(yán)重性,本文的研究中認(rèn)為不宜使用保證金一類的“預(yù)防”措施應(yīng)對(duì)此類風(fēng)險(xiǎn),所以推薦以VaR為基本思想設(shè)定動(dòng)態(tài)的保證金水平,以保證金防范一般市場(chǎng)波動(dòng)狀況下的風(fēng)險(xiǎn)。在保證金的設(shè)定中,SV模型是一個(gè)可供參考的選擇,特別是擴(kuò)展型SV模型在本文的實(shí)證中表現(xiàn)良好,而SV模型的參數(shù)估計(jì)可以借助WinBUGS軟件來(lái)實(shí)現(xiàn)。 針對(duì)不同保證金設(shè)置方法之間可比性不足的問(wèn)題,本文所做的研究首先涉及股指期貨保證金設(shè)定方法的效率評(píng)估。這一部分既包括定量的評(píng)估體系的構(gòu)建,也包括基于所建評(píng)估體系的對(duì)于當(dāng)前保證金設(shè)置效率的評(píng)估。實(shí)證結(jié)果顯示當(dāng)前的保證金設(shè)置水平過(guò)高,而基于SV模型的保證金設(shè)置方法在保證金資金效率上實(shí)現(xiàn)了提升。這一評(píng)估體系的缺點(diǎn)是不能用單一尺度定性分析保證金設(shè)置的優(yōu)劣,需要結(jié)合使用者對(duì)于安全性和資金效率的偏好來(lái)做出主觀評(píng)價(jià)。 文章所做的第二個(gè)工作是對(duì)于市場(chǎng)波動(dòng)刻畫方法的優(yōu)化。認(rèn)識(shí)到持倉(cāng)時(shí)間的差異對(duì)于頭寸價(jià)值的不同影響,本文構(gòu)建了一個(gè)能夠同時(shí)反映隔夜持倉(cāng)頭寸和當(dāng)日新開倉(cāng)頭寸風(fēng)險(xiǎn)的波動(dòng)指標(biāo),這一指標(biāo)相較于傳統(tǒng)上以收益率為波動(dòng)指標(biāo)的做法更為貼近市場(chǎng),因而在可靠性和實(shí)用性上得到提升。應(yīng)用該指標(biāo)在比較分析當(dāng)前保證金設(shè)置方法和基于SV模型的保證金動(dòng)態(tài)設(shè)定方法時(shí)支持了調(diào)低當(dāng)前保證金水平的建議,同時(shí)重新驗(yàn)證了基于SV模型的保證金設(shè)置方法的可靠性,此外基于上述波動(dòng)指標(biāo)的研究也表明保證金資金效率事實(shí)上比基于收益率的研究所顯示的水平要高。 文章所做的第三個(gè)工作是在擴(kuò)展樣本容量和選擇交易更為活躍的研究對(duì)象的前提下,研究動(dòng)態(tài)保證金設(shè)置的適用性,結(jié)果發(fā)現(xiàn)基于SV模型的動(dòng)態(tài)保證金設(shè)定方法其可靠性有所下降,說(shuō)明該方法仍需改進(jìn)。在這一部分工作中,還涉及對(duì)以往使用滬深300指數(shù)替代滬深300指數(shù)期貨所作的研究的可靠性分析,結(jié)果發(fā)現(xiàn)這一類替代性研究并不夠充分有效,應(yīng)當(dāng)謹(jǐn)慎對(duì)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.
【學(xué)位授予單位】：復(fù)旦大學(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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