The Model Of Stock Index Future Margin Based On VaR Of Monte Carlo Simulation

When China will soon launch a stock index future, should build dynamic model on setting benchmark margin level, with Chinese characteristics. The model forecast of the trade system of the future margin is sensitive. It may act according to the different risk degree formulation reasonable level. Stock Index Futures margin should be covered by the risk that normal status under the futures positions held by the profit or losses, the margin should not be designed to cover the extreme volatility of the market mechanism. This is exactly in line with estimates VaR value in normal circumstances the greatest possible amount of the loss. In the calculation of VaR the Monte Carlo simulation is a stronger application, so this article selects based on Monte Carlo model VaR takes the method of the trade system of future margin.This paper first introduced the selection of stock index futures and development of unique, and clearly by the decision of its risks different from the general futures products. Next, introduced the control of stock index futures on the risk of a major system—the margin system, the level of margin on the benchmark established the theoretical basis, as well as the establishment of international methods were compared. Then we have a conclusion that must be based on the actual situation of China speed up the model of research of the stock index futures based margin, setting the appropriate margin level. Subsequently, the system on the VaR model principles and methods of calculation and, through empirical analysis of the Hang Seng Index measuring the level of margin, Monte Carlo simulation tests prove the applicability of calculating VaR, as well as fitting stock index futures market price fluctuations than EWMA law, China's stock index futures for the margin settings for reference ideas and methods.