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)期貨作為國內(nèi)首個金融期貨產(chǎn)品,以它為基礎(chǔ)的研究不僅可以深化對既有技術(shù)手段實用性的認識,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、何時引入市場、需要注意哪些問題等作出回答,并為市場的進一步發(fā)展提供實際可行的建議。 考慮到極端風(fēng)險的不可預(yù)測性以及損失的嚴重性,本文的研究中認為不宜使用保證金一類的“預(yù)防”措施應(yīng)對此類風(fēng)險,所以推薦以VaR為基本思想設(shè)定動態(tài)的保證金水平,以保證金防范一般市場波動狀況下的風(fēng)險。在保證金的設(shè)定中,SV模型是一個可供參考的選擇,特別是擴展型SV模型在本文的實證中表現(xiàn)良好,而SV模型的參數(shù)估計可以借助WinBUGS軟件來實現(xiàn)。 針對不同保證金設(shè)置方法之間可比性不足的問題,本文所做的研究首先涉及股指期貨保證金設(shè)定方法的效率評估。這一部分既包括定量的評估體系的構(gòu)建,也包括基于所建評估體系的對于當(dāng)前保證金設(shè)置效率的評估。實證結(jié)果顯示當(dāng)前的保證金設(shè)置水平過高,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現(xiàn)了提升。這一評估體系的缺點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)合使用者對于安全性和資金效率的偏好來做出主觀評價。 文章所做的第二個工作是對于市場波動刻畫方法的優(yōu)化。認識到持倉時間的差異對于頭寸價值的不同影響,本文構(gòu)建了一個能夠同時反映隔夜持倉頭寸和當(dāng)日新開倉頭寸風(fēng)險的波動指標(biāo),這一指標(biāo)相較于傳統(tǒng)上以收益率為波動指標(biāo)的做法更為貼近市場,因而在可靠性和實用性上得到提升。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模型的保證金動態(tài)設(shè)定方法時支持了調(diào)低當(dāng)前保證金水平的建議,同時重新驗證了基于SV模型的保證金設(shè)置方法的可靠性,此外基于上述波動指標(biāo)的研究也表明保證金資金效率事實上比基于收益率的研究所顯示的水平要高。 文章所做的第三個工作是在擴展樣本容量和選擇交易更為活躍的研究對象的前提下,研究動態(tài)保證金設(shè)置的適用性,結(jié)果發(fā)現(xiàn)基于SV模型的動態(tài)保證金設(shè)定方法其可靠性有所下降,說明該方法仍需改進。在這一部分工作中,還涉及對以往使用滬深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)謹慎對待。
[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)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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