4Warshawsky, M. J. , consistency of margin The adequacy and requirements in the markets for stocks and derivative products [R]. Board of Governors Staff Study, 1989 :158.
5Longin, F. Optimal Margins in Futures Markets: A Parametric Extreme- based Approach[R]. Proceedings, Ninth Chicago Board of Trade Conference on Futures and Options, Bonn. ,1995:22.
6Figlewski, Stephen. Margins and Market Integrity. Margin Setting for Stock Index Futures and Options[J]. Journal of Futures Markets, 1984,4(3) : 385-416.
7Kupiec, p. Techniques for verifying the accuracy of risk measurement models [J].Journal of Derivatives,1995, (3) :73-84.
8Kupiec, P. H. , White, A. P. , Regulatory Competition and the Efficiency of Alternative Derivative Product Margining Systems [J]. Journal of Futures Markets , 1996, (16) :943-968.
9Booth G. Geoffrey, John Broussard, Teppo Martikainen, Vesa Puttonen. Prudent margin levels in the Finnish stock index futures market [J]. Management Science, 1997,43(8) :1177-1188.
10J. P. Morgan, RiskMetricsTM- Technical Document[M]. Fourth edition, New York, 1996.