etf期权交易与风险控制问题分析 word格式.docxVIP

ETF期权交易与风险控制问题研究中文摘要ETF 期权交易与风险控制问题研究中文摘要近30年来，金融衍生品市场的兴起和发展已经成为了国际金融市场最为显著的变化之一。金融衍生品的迅速扩散和广泛应用，给整个金融市场带来了深刻影响，并把金融创新推向了高潮。随着金融市场化全球化趋势的日益加深，加速中国金融衍生品市场的发展，加快中国金融市场与国际金融市场的接轨，发挥金融衍生品对中国经济的促进作用已成为迫在眉睫的重要课题。而作为金融衍生品典型代表的期权，在海外发达国家早已成熟多年，我国证券市场也已于2015 年2 月9 日正式推出上证50ETF期权。本文首先重点研读ETF期权相关规则制度，包括风险控制管理办法、交易规则、结算规则以及风险控制指南等，从保证金、持仓限额、大户报告、强行平仓和结算担保金等多角度详细分析各个过程所涉及的风险点，并且和港交所期权风险管理制度对比分析。然后我们在具体的案例中从希腊值的角度做风险控制，主要包括Delta中性、敏感性分析、操作风险、流动性风险、保证金风险等方面。关键词：ETF期权风控Delta中性作者：潘慧指导教师：钱晓松英文摘要ETF期权交易与风险控制问题研究Researchontradingandriskcontrol of SSE50ETFoptionAbstractIn therecent threedecades，the most remarkablechangein theglobal financial market hasbeentheriseanddevelopmentoffinancialderivativemarket.Incombinationwithits broad applications，the fast spread offinancial derivatives pushed the financial deepening，whichbroughtaclimaxthatprofoundlyimpactedthefinancialmarketasawhole．Bydeepeningtheliberalizationandglobalizationoffinancialmarket，howtoacceleratethe developmentofthelocalfinancialderivativemarket,tointernationalizeitsfinancial systemandtostrengthentheroleoffinancialdeepeningtoitseconomicgrowthbecomethe most imminenttask facingChina．Thestockoptionswhicharetypicalfinancialderivativeproductshavealready maturedformanyyearsinoverseasdevelopedcountries.Ournation’ssecuritiesmarket hasalsolaunchedtheSSE50ETFoptioninFebruary9,2015.Firstly,wefocusonETF options-relatedsystemofrules,includingriskcontrolmanagementapproach,tradingrules, settlement,riskcontrolguidelinesandotherrules.Wealsogivedetailanalysisoftherisk involvedinthevariousprocessesfromthemargin,positionlimits,largereports,forced liquidation,settlementguaranteefundandotherways.WealsocombineHKExoptionto docomparativeanalysisofriskmanagementsystem.Thenwedotheriskcontrolfromthe perspective of Greece in specific cases, including Delta neutral, sensitivity analysis,operational risk, liquidityrisk, margin risk and soon.Keywords:ETFoption,riskcontrol, delta-neutralWritten byPanHui Supervised byQian Xiaosong目录引言...........................