Research On Risk Management Of Our Country's Stock Index Futures

The stock index futures is a variety of financial futures taking stock price index as trade target, which came from the financial innovation in the 1980's and became one of the most important and successful financial derivatives, and it is also one financial derivatives who has the shortest history and grew fastest. Due to the speculative, indirect and concentrate characteristics of stock index futures, the entire risk of the cash market is more intensively shown in the futures market, also due to the stock index futures trade's financial lever characteristics of "little against big", the accumulated risk is thus increasing, which will affect the corresponding financial capital markets. Accordingly, the risk of this market is outstanding. The finance risk management in China is always in traditional period, and lack of advanced and scientific methods. Therefore, the risk prevention and management of the stock index futures is especially important. The control of risk is an important premise to the development of stock index futures. This paper, based on risk management theory, has done a research on risk management of Stock Index Futures.The risk of Stock Index Futures is firstly introduced in this paper, include the kinds, the characteristics and the reason of Stock Index Futures; the second part is the analysis on risk management of Stock Index Futures, and this part could be divided into two sections: one is how to find the risks (using events-tree way) and the other is how to measure the risks (using Risk Metric VaR method of J. P. Morgan), which analyses the risk of Shanghai and Shenzhen 300 Stock Index Futures, and then educes valid conclusion ;the last part clarify particularly the risks control of Stock Index Futures, and conclude that, as long as we set up a rigorous system of market risk watch and control, and take advanced technique of risk control to strengthen the harmony of security and future market, the coming risks would be managed well after the establishment of Stock Index Futures.The main innovation of this paper is using VaR method, which measure the risk of Shanghai and Shenzhen 300 Stock Index Futures in simulation analysis, and it is valid to testify the VaR result in The fail frequency test. The VaR result grasps market risk. In other word, investors can estimate the most loss in certain probability by the VaR result of simulation analysis. I hope that this paper could provide a feasible measure way and evaluating standard for investors and supervise organization; also provides some suggestions for risk management of our country's Stock Index Futures.