本文選題：期貨 + 市場(chǎng)風(fēng)險(xiǎn)��； 參考：《武漢科技大學(xué)》2013年碩士論文

【摘要】：期貨交易保證金設(shè)置的目的是為了能夠控制期貨市場(chǎng)日常交易風(fēng)險(xiǎn)，降低期貨市場(chǎng)價(jià)格波動(dòng)造成的損失，為期貨市場(chǎng)的正常運(yùn)行提供有力保障。目前我國(guó)期貨市場(chǎng)采取的靜態(tài)保證金制度存在著如下問(wèn)題：（1）固定保證金比例與期貨價(jià)格的波動(dòng)無(wú)直接相關(guān)關(guān)系，不隨市場(chǎng)風(fēng)險(xiǎn)的變化而調(diào)整；（2）設(shè)定保證金比例時(shí)僅考慮了市場(chǎng)風(fēng)險(xiǎn)因素，忽略了流動(dòng)性及其他風(fēng)險(xiǎn)因素的影響。而合理的保證金設(shè)置不僅要考慮到資金成本的使用效率，還要能監(jiān)控期貨市場(chǎng)的風(fēng)險(xiǎn)，并根據(jù)風(fēng)險(xiǎn)的動(dòng)態(tài)變化進(jìn)行有效調(diào)整即所謂的期貨動(dòng)態(tài)交易保證金。因此，構(gòu)建適合于我國(guó)的動(dòng)態(tài)交易保證金制度具有重要的理論和實(shí)踐意義。 本文首先闡述了國(guó)內(nèi)外的研究現(xiàn)狀，并在了解期貨相關(guān)知識(shí)及充分理解GARCH族模型和VaR方法的基礎(chǔ)上，主要做了以下幾點(diǎn)工作：（1）構(gòu)建了一種綜合性流動(dòng)性測(cè)量指標(biāo)Lt，此指標(biāo)綜合考慮了期貨合約的價(jià)格變動(dòng)、持倉(cāng)量和交易量的影響。（2）在假設(shè)市場(chǎng)風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)存在序列相關(guān)的基礎(chǔ)上，，采用GARCH族模型及VaR模型的方差—協(xié)方差法構(gòu)建了三種動(dòng)態(tài)交易保證金模型：一是只考慮市場(chǎng)風(fēng)險(xiǎn)的期貨動(dòng)態(tài)交易保證金模型；二是考慮市場(chǎng)與流動(dòng)性雙重風(fēng)險(xiǎn)的期貨動(dòng)態(tài)交易保證金模型1和模型2。（3）為了檢驗(yàn)構(gòu)建的動(dòng)態(tài)交易保證金模型的優(yōu)越性，本文選取上海期貨交易所的滬銅、燃料油期貨進(jìn)行了實(shí)證研究，發(fā)現(xiàn)考慮市場(chǎng)與流動(dòng)性雙重風(fēng)險(xiǎn)的期貨動(dòng)態(tài)交易保證金模型2最優(yōu)，其覆蓋期貨市場(chǎng)的風(fēng)險(xiǎn)效果更好，收取的保證金水平更合理，能夠很好地促進(jìn)期貨市場(chǎng)的活躍程度。本文的研究對(duì)我國(guó)期貨市場(chǎng)保證金制度的改革和完善具有一定的參考價(jià)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 .
【學(xué)位授予單位】：武漢科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

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