| The function of financial derivative market is to avoid, transfer and manage risk. But the transactions in the market are carried out by ways of margin, there is a big leverage effect which makes the derivative market have enormous risk. Whether the design of margin which is the core instrument to control the derivative market risk is reasonable or not is important for the successful of the market. Internationally, there use the margin setting method which based on portfolio risk to set the size of the margin at present. The typical representative is Standard Portfolio Analysis of Risk (SPAN) system. On one hand, there set margin so that it can effectively control risk; on the other hand, it raises the efficiency of usage of traders'fund and reduce transaction costs. In China, exchanges are still use the approach that based on strategic. By this method, the margin of the investment is excessive occupied for most of the time so that it leads to high opportunity cost and inefficient use of funds. The collection of margin can't well reflect the risk of market and it is difficult to achieve effective control of risk. In order to effectively control and monitor the market risk and increase the activity of the market, the setting of margin needs to be converted to a dynamic margin setting based on portfolio risk.This paper made a deep research on SPAN system, whose applicability and maneuverability generally recognized by financial industry at home and abroad, within the framework of risk measurement techniques which is widely used at present. The paper put the fruitful research achievements of value-at-risk techniques and copula techniques in the field of risk management into the SPAN system, and solve the problem of setting the input parameters of SPAN system. Taking into account the time-varying properties of financial market, the paper focus on the time-varying risk measurement techniques. The paper have demonstrated the applicability in the use of time-varying risk measurement techniques and time-varying copula techniques, and then gave the proposal of setting input parameters of SPAN system based on time-varying value-at-risk method and time-varying copula techniques. In addition, taking into account that the risk measurement is aimed at better risk management, we also introduced some risk capital allocation methods. The contribution of the study is mainly in the following aspect: First of all, this paper improved the evolution equation of the time-varying dependent parameters in the time-varying t-copula model. The majority of current domestic studies about copula stay in a static copula. Taking into account that time-varying copula model can better reveal the dynamic nature between random variables in the financial markets; this article uses time-varying copula model describing dependencies between the random variables. The difficulty of time-varying copula model is how to determine the evolution equation of the time-varying dependent parameters. Based on previous studies, this paper uses evolution equation which includes autocorrelation and absolute value of the difference between the historical items of two variables'cumulative probability as the evolution equation of the time-dependent t-copula's parameters, sets up a new evolution equation of the time-varying t-copula, and overcomes the shortcomings of the time-varying t-copula's evolution equations given by our predecessors. The empirical result shows that the proposed new evolution equation fits the data better than the evolution equations given by our predecessors.Secondly, this paper solved openness of the setting of SPAN margin system's input parameters. Existing research on the SPAN margin system did not give a relative complete set program of parameters and its technical implementation details. To address the SPAN margin system's openness questions, this paper adopts parameters, semi-parametric and non-parametric time-varying value-at-risk methods measuring risk and time-varying copula technique describing dependence structure to set SPAN system's main input parameters, gives the setting program and the concrete setting procedures of the VaR-SPAN system's main input parameters, and addresses the technical barriers existing in its operability. Example results show that results from setting program of the major input parameters in the SPAN system relative to futures combination given by this paper are accurate and reasonable.Next, this paper applied the SPAN system in the margin calculation of domestic futures portfolio and empirically analyzed the reasonability of domestic futures portfolio's margin setting. Domestic futures exchanges at this stage use static method to collect the futures portfolio's margin settings, and don't take into account the correlation existing between contracts which will inevitably lead to overestimation of risk. This paper set domestic futures combinations'parameters by the setting programs of the SPAN margin's input parameters given in the text, on this basis, used the SPAN system's calculating processes in our domestic derivatives, futures portfolios'margin calculations, and using actual data of domestic futures exchanges'commodity futures portfolios, empirically tested the portfolios'margin set by static way is much higher than that calculated by the SPAN processes in our country through the simulation program calculated by the SPAN system.In addition to the above three contributions, this paper introduced recent theories and methods of risk allocation in the world. Risk measurement is aimed at effective risk management, which is related to effective allocation of risk capital that we get based on risk. Considering the lack of domestic literature about risk capital allocation theories and methods, this paper sorted out the theoretical study literature of risk capital allocation in recent years, and introduced the latest theoretical achievements. Especially, this paper introduced the capital allocation method based on tail value-at-risk and copula which is newly developed.
|
PDF Full Text Request