基于谱风险测度的期指保证金水平设定

摘要

The contract of Hushen 300 index futures was listed on 2010-04-16. In the process of index futures' exchange, the key point of risk control is to set an appropriate margin level. The margin level should be made as low as possible to increase the efficiency of funds and reduce the transaction cost, on the premise that the margin level can cover fluctuations in prices. Based on the POT model of extreme value theory, spectral risk measure (SRM) was employed to calculate the margin level of Hushen 300 index futures. In contrast to the traditional VaR method and ES method, a conclusion was reached that the current margin level is too high, and that the margin level set by SRM is much more appropriate.%沪深300股指期货合约已经在2010-04-16正式上市交易.在股指期货合约的交易中,设定合适的保证金水平是风险控制的关键.在能够保证覆盖价格波动的情况下,保证金水平应该尽可能地降低以提高资金使用效率和降低交易成本.基于极值理论的POT模型,利用谱风险测度对沪深300股指期货合约的保证金水平做实证研究,并对比传统的VaR方法和ES方法,实证结果表明,当前的保证金水平设定较高,通过谱风险测度所设定的保证金水平比较合适.