股指期货的风险管理研究

中南民族大学硕士学位论文股指期货的风险管理研究姓名：雷裕涛申请学位级别：硕士专业：企业管理指导教师：陈卫平20090501I1982(KCBT)20072008,VAR:IIAbstractThestockindexfuturesisavarietyoffinancialfuturestakingstockpriceindexastradetarget,StockindexfutureshavefunctionedtremendouslyinavoidingsystematicrisksandpromotingthedevelopmentofthesecuritiesmarketsinceKansasCityFuturesExchange(KCBT)intheUnitedStatesputforwardtheKansasValueLineindexfutures.Aftertwentyyears'development,manycountriesintheworldbegantotradestockindexfuturesstepbystep.Futuresonstockindexalreadybecameoneofthemostsuccessfulfuturesproducts.Becauseofthespecialtyofthetradingonstockindexfutures,thereareimmenserisksinit.Onceitisshortofexactmanagementonit,greatlosseswillbebroughttotheinvestorsandeventhenationalfinancialsystemwillbedisturbed.Chinadelayedtoputforward,oneofthemostimportantreasonsisthatitmaybedisarrangethepresentmarket,andthenresultsinthecoinstantaneousreflectionbetweenthemarketsonstockindexfuturesandthepresentstock.Withthe2007theU.S.subprimecrisiscausingtheeffectofdominoesbankstightenedupontheircreditsandinvestorslosetheirsconfidence.In2008,globalvirtualeconomysufferedagreatcriseswerarelyseen,thevalueofsecuritiesmarketdevaluatedramatically,thebenefitofinvestorssufferedseriousdamage.Therefore,itisveryimportanttocontrolandmanagethestockindexfutures'risk.Studyusingsummarizedinterpretation,comparisonandanalysisofempiricalresearchmethods.Intheforeignstockindexfuturessuccessfulriskmanagementsystemonthebasisofexperience,inlightofChina'ssecuritiesandfuturesmarketcharacteristics,inaccordancewiththeriskmanagementprocessfromthestockindexfuturesriskidentificationmeasurementcontrolofthreeaspectsofresearch,anduseoffinancialmarketriskmeasurementtechniquesVAR,ItmadeempiricalanalysisaboutmarketriskmeasurementoftheHengShengIndexFuturesinHongKong.Finally,frommacroscopic,middle-scopeandmicroscopicanglesconcretepolicieswerebroughtforwardtopreventtheriskofthestockindexfutures,thenestablishChina'sstockindexfuturesriskmanagementsystem.KeyWordsStockIndexFuturesrisksidentificationrisksevaluationrisksmanagement1______2120069233102007200820072008200710,,,,,,2,1997-98(R.G.Hawtrey)203019523Markowits1952William.Sharpe1964Treynor1966Jensen1968;CAPMFama1972TreynorMazuy1966T-MHarveyGraham1997FrancoModiglianiLeahModigliani1997M231976(APT)Black-Scholes1994J.P.MorganVaR-DouglasG.W19842019901126191993VaRVaRVaRVaR2006(JensenTreynorSharpe)2004,,,VaR(ValueatRisk)200645MarketRiskCreditRISkLiquidityRISk6OperateRISkLegalRISK..,20031147----8,20601239424“”10“”12310123411200620081000610012(MenuAnalysis)(Brainstorming)(ScenariosAnalysis)(TreeAnalysis)123133-114VaRESLPMLowPartialMomentsdurationconvexitybetadeltagammathetavegarhoVaRJ.P.MorganVaRVaRVaRESESExpectedShortfallbetadeltagammathetavegarho15ESESVaRVaRVaR2080JPVaRVaRVaRVaRVaRValueatRisk,VaRcProb(yVaR)=,y1-VaR1-VaR1VaR2VaR3VaR4VaRVaR1ConfidenceInterval,,95%99%2TargetHorizon41121243ObservationPeriod;gamma;;Delta16VaRVaRVaR1—2(df)=xtx(df)(df)VaR2VaRVaR3VaRVaRVaR12VaR3VaRVaRVaR17VaRVaR1VaRVaR2VaRVaRVaRVaR3VaRVaR3-24VaR5VaR6VaRVaRVaRVaRVaR:..:2003.18VaR19VaR2007-2009VaRVaR2005200620054-220052005-1-315774.022005-5-915787.552005-9-517428.592005-1-415564.262005-5-1015695.262005-9-617375.42005-1-515222.332005-5-1115605.022005-9-717404.862005-1-615165.42005-5-1215656.042005-9-817325.592005-1-714989.952005-5-1315526.812005-9-917350.742005-1-1014994.922005-5-1715295.382005-9-1217391.692005-1-1114953.282005-5-1815269.32005-9-1317239.512005-1-1215037.712005-5-1915337.462005-9-1417220.652005-1-1315065.942005-5-2015357.482005-9-1517167.162005-1-1414970.852005-5-2315317.962005-9-1617096.882005-1-1715118.132005-5-2415359.082005-9-2017401.122005-1-1815105.152005-5-2515195.042005-9-2117368.172005-1-1915183.042005-5-2615182.682005-9-2217316.972005-1-2015045.62005-5-2715359.082005-9-2317259.62005-1-2114955.112005-5-3015499.472005-9-2617381.412005-1-2414836.22005-5-3115505.182005-9-2717269.042005-1-2515058.022005-6-115512.442005-9-2817321.112005-1-2615127.062005-6-215456.642005-9-2917601.19:202005-1-2715107.882005-6-315455.082005-9-3017605.552005-1-2815143.072005-6-615548.722005-10-317579.932005-1-3115198.772005-6-715544.422005-10-417546.492005-2-115037.092005-6-815624.062005-10-517294.442005-2-215022.242005-6-915620.422005-10-616925.742005-2-314968.852005-6-1015675.932005-10-716931.472005-2-415041.012005-6-1315684.312005-10-1016986.732005-2-715252.822005-6-1415597.92005-10-1216629.022005-2-815304.112005-6-1515607.672005-10-1316675.132005-2-1415477.262005-6-1615584.622005-10-1416491.92005-2-1515487.072005-6-1715655.782005-10-1716592.022005-2-1615513.672005-6-2015718.012005-10-1816683.792005-2-1715459.542005-6-2115765.372005-10-1916410.232005-2-1815586.832005-6-2215956.052005-10-2016421.352005-2-2115628.362005-6-2315973.632005-10-2116481.272005-2-2215598.332005-6-2416032.82005-10-2416370.252005-2-2315455.762005-6-2715988.062005-10-2516401.732005-2-2415593.662005-6-2816133.462005-10-2616427.552005-2-2515745.952005-6-2916132.742005-10-2716336.22005-2-2815821.312005-6-3016077.552005-10-2816143.72005-3-115724.9220