Research And Demonstration Analysis On The Risk Of The Stock Index Futures

The stock index futures is the most successful financial derivative securities, which is regarded as "the most exciting innovation". Due to its special characteristic, it is a useful tool to avoid the risk. However, it can't eliminate the risk, but transfer the risk. The stock index futures trade's financial lever chacteristic makes the investors' return and risk increase simultaneously, and the risk will affect the stock markets. If we can't keep the risk away, it will bring the investors a lot of loss, even impact on economy of the country. Therefore, it is very impormant to control and manage the stock index futures' risk.Based on the theory of risk management, we employed induction, deduction, comparison and demonstration etc. in studying the management of stock index futures in detail. First, we reviewed the types and origin of the risk of the stock index futures.Second, we discussed the problem of risk management of the stock index futures, and uitilized the VaR and CVaR method, which are the most prevailed financial risk measurement in the world, to measure the risk of the stock index futures.We analysised the reason of financial assets' fat-tail phenomenon, and deduced the models of VaR and CVaR based on the fractal distribution. After comparing the rdsults, we demonstrated the fact that CVaR is more sufficient than VaR in measuring the risk of the stock index futures by fractal distribution. Futher we found that CVaR is a kind of pratical method to measure the risk of the stock index futures. Therefore, an applied method to manage the stock index futures' risk is provided. At last we concepted the supervision mode of our country's stock index futures after its listing.