摘要
随着国内金融衍生品市场的逐渐兴起,投资机构、交易所和证券监管部门等将面临越来越复杂投资组合的风险管理问题。目前国际上各交易所广泛使用的两大保证金系统是SPAN系统和TIMS系统。本文对这两大系统的计算原理进行了归纳和梳理,并就各自的优缺点进行了比较,以期对国内金融衍生品的保证金设计和风险管理提供借鉴。
Portfolio risk management will be an increasing problem for investing institutions, stock exchanges and regulators as financial derivative market emerges. SPAN and TIMS are currently the most popular margin systems in the world. The author reviews the calculation principles on these two systems based on a comparative study in hope to make positive reference for Chinese practice in this area.
出处
《证券市场导报》
CSSCI
北大核心
2006年第5期72-77,共6页
Securities Market Herald
