非参数VaR方法在SPAN系统中的应用

Nonparametric VaR Method′s Application in Standard Portfolio Analysis of Risk

介绍了国外主流的保证金计算系统——标准资产组合风险分析(SPAN).针对交易所采用柱状图方法确定价格扫描区间,用历史模拟方法与之对应.考虑到传统的历史模拟方法存在的缺点,采用基于核估计的历史模拟方法获得估计值及其置信区间,并用实例进行了分析.分别从国内三大交易所中各选出一个期货合约,用SPAN计算流程计算其所需的保证金比例,并与实际收取的交易保证金比例进行比较,发现三支期货合约收取的保证金比例并不能很好地反映真实的风险.

This paper introduces the abroad mainstream Margin calculation system——Standard Portfolio Analysis of Risk （SPAN）. The exchanges have adopted histogram method, corresponding to history simulation method of Value at Risk, to estimate the price scanning range. Considering the flaw of history simulation method, the paper adopts kernel estimation method to estimate parameters and their standard deviation, and then gives case analysis. In addition, the paper selects three futures contracts from three futures exchanges in our country respectively, and calculates their theoretical margin requirement rates and compares with contract＇s margin rates. The result shows that the practical margin rates of three future contracts aren＇t a good reflection of contract＇s actual risk.