本文選題：極值理論　切入點：動態(tài)保證金　出處：《浙江大學》2013年碩士論文

【摘要】：風險管理是金融市場永恒的主題,尤其是金融創(chuàng)新持續(xù)加速的今天,市場安全性成為參與者和監(jiān)管者共同關注的焦點。保證金制度是期貨市場風險防范的核心內(nèi)容,也是期貨市場杠桿交易特性的來源。目前,國際成熟市場大多采用動態(tài)保證金制度,而我國期貨市場雖已多次根據(jù)市場風險調(diào)整保證金水平,但仍沒有擺脫靜態(tài)保證金制度下保證金與市場風險脫節(jié)、保證金水平偏高等弊端,導致現(xiàn)行保證金制度在風險突然加大時無法控制違約風險,在風險較小時提高了交易成本和機會成本,削弱了杠桿交易對投資者的吸引力,不利于市場繁榮發(fā)展。在保證金制度改革的呼聲中,如何動態(tài)調(diào)整保證金水平成為學界討論的熱點問題。上市時間較短的股指期貨在這方面的研究受數(shù)據(jù)限制還不夠深入。 本文回顧總結了國內(nèi)外保證金水平設置的相關文獻,在理論層面對VaR模型、ES和譜風險測度三個模型進行了比較,引入極值理論解決傳統(tǒng)分布和模型在尾部風險擬合上精度較低的問題,構建動態(tài)保證金設置模型。在理論分析基礎上,采用2010年4月16日至2013年2月1日的股指期貨數(shù)據(jù)和現(xiàn)貨數(shù)據(jù)進行實證研究,評價了不同模型在該應用領域的優(yōu)劣,深入分析了不同合約不同頭寸的保證金水平。實證結果表明：極值理論在尾部風險測度上具有顯著優(yōu)勢,基于極值理論的動態(tài)VaR模型精度最高,ES模型適用于我國目前較為謹慎的保證金水平設置原則,譜風險測度能較好地適應市場情緒顯著變化所導致的風險變動；譜風險測度結果表明,空頭風險厭惡程度高于多頭,但在大盤走勢單邊下行時,多頭保證金水平更高；不同合約的多頭保證金水平在高謹慎性條件下差異顯著,遠月合約大大高于近月合約,流動性風險不可忽視。
[Abstract]:Risk management is the eternal theme of financial market, especially with the continuous acceleration of financial innovation today, market security has become the common focus of participants and regulators.Margin system is not only the core content of futures market risk prevention, but also the source of leveraged trading characteristics of futures market.At present, most of the international mature markets adopt dynamic margin system. Although our futures market has adjusted the margin level according to the market risk many times, it still has not got rid of the disconnection between the margin and the market risk under the static margin system.The disadvantages of the high margin level lead to the current margin system being unable to control the default risk when the risk suddenly increases, which increases the transaction cost and opportunity cost when the risk is small, and weakens the attractiveness of leveraged trading to investors.It is not conducive to the prosperity of the market.In the voice of margin system reform, how to dynamically adjust the margin level has become a hot issue in academic circles.The research on the short time stock index futures is limited by the data.This paper reviews and summarizes the relevant literature on margin level setting at home and abroad, and compares the three models of VaR model and spectral risk measurement in theory.The extreme value theory is introduced to solve the problem of low precision of traditional distribution and model in tail risk fitting, and a dynamic margin setting model is constructed.On the basis of theoretical analysis, using stock index futures data and spot data from April 16, 2010 to February 1, 2013, the paper evaluates the advantages and disadvantages of different models in this field.The paper analyzes the margin level of different contracts and positions in depth.The empirical results show that the extreme value theory has significant advantages in tail risk measurement. The dynamic VaR model based on extreme value theory has the highest precision and the es model is suitable for the prudent margin level setting principle in China.The spectral risk measure can adapt to the risk change caused by the significant change of market sentiment, the result of spectrum risk measurement shows that the risk aversion of short is higher than that of long, but the level of long margin is higher when the market is going down unilaterally.The level of long margin in different contracts is significantly different under the condition of high caution, the far month contract is much higher than the recent month contract, the liquidity risk can not be ignored.
【學位授予單位】：浙江大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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