中国黄金期货保证金水平——基于非正态分布下的研究

A Study of China's Gold Futures Margin Levels——Based on Abnormal Distributions

中国目前静态的期货保证金水平只是一个经验数字,对价格波动并不敏感,大部分时间投资者资金被过度占用,当市场波动剧烈时又不能覆盖足够的风险。本文研究了基于非正态分布下黄金期货保证金水平,利用广义极值分布和广义帕累托分布来拟合尾部风险。结果显示:黄金期货存在尖峰厚尾现象,在考虑流动性风险后,现有的保证金水平有下调空间,应设定为4.38%,当风险加大时应提高到5.15%。

The static level of futures margin in China presently is only an empirical figure, and it is not sensitive to flue-tuations. Sometimes, this margin level cannot cover the risk sufficiently when the market fluctuates severely. This paper is aresearch on the margin levels of China＇s gold futures based on abnormal distributions. Generalized Extreme Value （GEV） dis-tribution and Pareto distribution are used to capture the risks of the tail of the gold futures. Results show that in combinationwith liquidity risks, the normal margin level should be 4.38% and should increase to 5.15% when the risk increases.