摘要
在期货合约中,既能抵御违约风险又不影响市场活跃性的条件下,保证金水平的设置至关重要.该文利用极值理论对与期货市场风险大小密切相关的价格波动进行分析,推导出在一定置信度p下保证金水平的表达式,同时指出该理论的优缺点.
In futures contract,margin levels setting is vital in the condition of protecting against default risk and not affecting market liquidity.This paper applies extreme value theory to analyze price fluctuation relevant to market risk and gives formula of margin levels in given probability.Meanwhile the advantage and disadvantage of this theory are pointed out.
出处
《电子科技大学学报》
EI
CAS
CSCD
北大核心
2007年第S1期480-481,484,共3页
Journal of University of Electronic Science and Technology of China
关键词
极值理论
期货
保证金水平
extreme value theory
futures
margin levels
