Research On Risk Discern And Control For Stock Index Futures Investment

Along with the growth of China's securities market size and the accelerated process of the institutional investors investment, a growing number of contradictions have come up. To a certain extent, China's securities market has hindered the healthy and rapid development of security market, an important factor is that financial derivatives is too small and lack the necessary market hedging tool. Therefore, SIFs as a hedging tool, and an effective investment tool in its domestic research has been very active since the 1999 second half, especially in 2006,which has aroused widespread concern inside and outside the market. Management agencies are also actively preparing for the timely launch SIFs.This paper analyzes and sums up some theories and methods of SIFs based on much interrelated domestic and overseas data, these theories and methods are the basis of studying SIFs risk in China. This paper first makes a simple introduction of the background and significance of research methods , followed by the introduction of SIFs risk system, analyzed the SIFs markets risk characteristics and causes; then sum up of SIFs risk identification and risk control principle; and then put VaR-GARCH techniques into practice, and finally the conclusions and research prospects. Conclusion: The launch of SIFs is very necessary for China, under the current market environment, the risk of stock index futures also can be effectively controlled.This paper uses a combination of qualitative and quantitative methods to identify SIFs risk as well as risk control of the system. The thesis first elaborates risk management theories of financial derivatives, then makes conducted qualitative analysis for SIFs risk, and then does an empirical analysis for investment risk of HuShen 300 by use of the world's most widely used financial market risk measurement techniques—VaR technology, and the current relatively advanced statistical measurement tool—GARCH model. It has important reference significance for the risk control of the coming SIFs.