Analysis On The Risk Of The Stock Index Futures

Since 1970's, changes have taken place on the commercial structure of futures trade. Commercial futures which played a main role on the long run have backward to subordinate position, such as traditional agriculture products. Financial derivatives, such as foreign exchange, rate, stock index futures, gain development promptly, and become the main trend at the future trade market today. Stock index futures is a kind of new derivative financial tool that developed in 80's 20th, which has the function of price discovery, risk avoiding and distribution property. It can perfectly security market's function, mechanism efficiently and avoid stock market's systematic risk. Although the stock index futures was innovated only 20 years or so, it developed quickly, and has already been one of main products of financial futures trade.In this article, we use such methods as systematic theory, inductive and deductive, comparative and instance method, combine the character of our country's stock and futures market with the base of foreign successful management experience and make systematic research on stock index futures from three aspects as: Risk identification, Risk evaluation and Risk control. In this chapter of our country's stock index futures risk identification we discuss from three aspects such as the historical lesson of our country's stock index futures, the risk origin and identification methods of stock index futures. In the chapter of stock index futures risk evaluation we research from two aspects, qualitative and quantitative evaluation. The renew part of this paper is during the course of quantitative evaluation. Moreover, the paper takes advantage of VaR method, which is the most worldwide popular in the risk measurement field and makes a research on the risk of the Hang Seng Index futures market of Hong Kong. Firstly, due to the time series' analysis of the histories of Hang Seng Index futures' change and the fitting of GARCH function, it finds the variance equation and the standard deviation of forecasts. Then on a given confidence level, it forecasts the VaR value of next trading day's contract. Meanwhile, it establishes the VaR - GARCH Risk evaluation model which can measure the risk on time.Applying qualitative and quantitative analysis, the paper makes a systematic study on the risk of stock index futures and its management. Moreover the thesis introduces a large number of practice and research achievements of the western advanced markets. These valuable practical approaches could work as the guideline for the practice of the stock index futures in Chinese financial market.