摘要
期货交易所设置保证金时一方面要尽可能地覆盖期货价格波动的风险,减少投资者违约的几率;另一方面期货公司还要考虑投资者的交易成本,提高其资金使用效率,增加交投的活跃程度,这就要求保证金比例不能设置太高。如何在二者之间进行权衡,在风险可控的前提下收取投资者最低的保证金是期货公司保证金设置中的最大难题。因此,站在多方角度,将VaR理论与五种计量模型相结合,研究期货市场波动率与动态保证金设定水平之间的内在规律,以科学制定适应中国国情的动态保证金制度。
How to trade off high and short margin scalar is a big problem to furures exchanges.High scalar of margin will cover with price-volatility risk of much more futures contracts.However,short scalar will decrease the transaction costs and increase market liquidity.Futures exchanges hope to select lower quantity of margin when they can control the market risk.In this paper we should explore which is the best margin-setting model based on VaR theory combined with five econometric models on the side of long position.
出处
《统计与信息论坛》
CSSCI
2010年第11期94-100,共7页
Journal of Statistics and Information
