期刊文献+

SPAN保证金系统及其国内应用价值分析 被引量:4

下载PDF
导出
摘要 SPAN保证金系统由于具有动态性、风险计量的精确性和应用的广泛性等特点而被全球50多家交易所结算所采用。本文在对SPAN保证金系统原理进行介绍的基础上,结合国内静态期货交易保证金制度的现状和存在的弊端,认为引进SPAN保证金系统具有能够促进国内期货市场功能有效发挥、适应国内衍生产品未来发展要求、提高国内期货交易所国际竞争力等诸多重要现实意义。
作者 李传峰
机构地区 兴业银行
出处 《海南金融》 2012年第9期62-64,85,共4页 Hainan Finance
  • 相关文献

参考文献3

二级参考文献19

  • 1Ackert and Hunt. "A Sequential Test Methodology for Detecting Futures Markets Disruptions with Applications to Futures Margin Management. " Review of Futures Markets.1990. 9(2). pp. 318-341.
  • 2Brennan M J. "A Theory of Price Limits in Futures Markets. " Journal of Financial Economics 16, 1986. pp. 213-233.
  • 3Cotter, J and Mckillop, D G. "The Distributional Characteristics of a Selection of Contracts Traded on the London International Financial Futures Exchange. " Journal of Business Finance and Accounting(forthcoming), 2000.
  • 4Duffle, D. Futures Markets. Prentice-Hall, New York,1989.
  • 5Figlewski S. "Margins and Market Integrity: Margin setting for stock Index Futures and Optins. " The Journal Futures Markets, 1984.
  • 6Fish, Raymond P H; Goldberg, Lawrence G. ; Gosnell, Thomas F and Sinha, Sujata. " Margin Requirements in Futures Markets: The Relationship to Price Volatility. " Journal of Futures Markets 10, 1990,pp. 541-554.
  • 7Jansen D. and De Vries, C. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective. " The Review of Economics and Statistics 73, 1991, pp. 18-24.
  • 8Hill B M. "A Simple General Approach to Inference about the Tail of a Distribution. " Annals of Statistics 3. 1975. pp. 1163- 1174.
  • 9Hall J A ; Brorsen B W and Irwin S H. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normal Hypothesis." ,lournal of Financial and Quantitative Analysis 24,1989, pp. 105 - 116.
  • 10Huisman, R ; Koedijk, K G. and Pownall, R A J. "VaRX: Fat tails in Financial Risk Management. " Journal of Risk,1998, 1(1), pp. 47-61.

共引文献33

同被引文献8

引证文献4

二级引证文献3

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部