期货公司差异化保证金设计问题研究.pdf

期货公司差异化保证金设计问题研究 摘 要 保证金制度是期货交易最显著的特征之一，其设置的主要目的是 为了涵盖因未来一段时间内期货价格波动造成的未履约合约的损失 金额，从而为买卖双方履约提供信用保证，确保交易顺利进行，避免 市场因价格波动幅度过大而发生违约事件。我国期货市场发展的时间 较短，为有效控制市场风险，期货交易所一直采用基于策略性的方法， 即凭经验对各个合约按合约价值的一定比例进行收取，且按总仓收取 而不考虑合约之间所存在的相关性。作为交易所会员的期货经纪公司 目前也只是简单的在交易所的最低交易保证金要求上加收一定比例 做为对期货投资者的保证金设置标准。这种静态和一刀切式的保证金 设置的模式很可能导致投资者保证金被过多占用，机会成本高昂，资 金的使用效率低下。 不同交易策略的投资者持仓所面对的价格波动风险是截然不同 的；不同信用等级的投资者给期货公司所带来的经营风险也会有较大 差异。本文运用信用评估、交易行为分析和VaR 的方法对期货公司客 户的风险承受能力进行评估，对不同交易策略的客户应用不同的保证 金测算模型，变静态为动态的对客户的持仓风险进行跟踪，并对保证 金水平进行即时调整。通过对模型的应用，期货公司能更科学地管理 客户保证金，在确保风险可控的前提下，有效提升市场竞争力，提高 了公司的盈利水平。 关键词：期货，保证金，差异化，VaR THE RESEARCH ON THE FUTURES COMPANYS DIFFERENTIATED MARGIN LEVEL DESIGN ABSTRACT Futures margin system is one of the most significant features of futures trading. Its main purpose is to cover the potential loss of default contracts caused by futures price fluctuation in the future, provide buyers and sellers with credit guarantee on the execution of contract, ensure the smooth transactions and avoid default incidents due to sharp fluctuation of price. Since Chinas future market is still a new market, to effectively control the market risk, the Futures Exchange has been using a strategy- based method by charging a certain percentage of the contract value of investor’s total position, disregarding the internal correlations between the contracts. As a member of the Futures Exchange, futures brokerage companies just simply charge an additional percentage over the minimum margin requirement of the Future Exchange. This static and uniform margin system is likely to lead to several problems, such as overcharging, high opportunity cost and inefficient use of money. The price fluctuation risk faced by different style investors’ position is different. Operating risk brought by invest