股指期货保证金设置的VaR模式的研究-金融工程专业论文.docxVIP

华中科技大学硕士学位论文 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract With further opening up of financial markets and the constantly improving of the system and regulations, the investment demand of the market for new financial derivatives is growing strongly.Under this background, the stock index futures to be launched meet this demand, and the pre-launch preparations are carrying on intensely and orderly.One of the most important is the level of the margin. At present,the level of the margin is set up to confirm according to the value of the contract at present in our country (generally certain proportion of the value of contract),which is simple,and can not meet the need of the future. This paper tries to use the VaR method to calculate the level of the margin. In the calculation of the VaR, the general parameters of methods are assumed that the rate of return is the distribution of the symmetry,and asymmetric GARCH model to calculate VaR is not suitable. Therefore using the general parameters of the method in calculating VaR will be greater deviation.This paper will use non-symmetrical GJR-GARCH model to improve VaR model, and decrease the deviation in dealing with asymmetric bias on the issue. In order to compare the effectiveness of different calculation method, this paper uses the historical simulation, the normal variance-covariance method, the Monte Carlo simulation based on normal asymmetric GARCH and the GJR-GARCH,and tests these results.Thus the conclusion is that China should draw on GIR-GARCH model of the Monte Carlo simulation method to the setting of the level of stock index futures margin Key words: Stock index futures Margin VaR MonteCarlo simulation GJR-GARCH model PAGE IV PAGE IV 目 录 摘 要 I HYPERLINK \l _bookmark0 Abstract II HYPERLINK \l _bookmark1 1 绪言 HYPERLINK \l _bookmark2 1.1 研究背景和目的 (1) HYPERLINK \l _bookmark3 1.2 国内外研究综述 (1) HYPERLINK \l _bookmark4 1.3 本文的研究方法 (3) HYPERLINK \l _bookmark5 2 股指期货及其保证金制度概述 HYPERLINK \l _bookmark6 2.1 引言(5) HYPERLINK