Research On Risk Management Of Domestic Stock Index Futures

After more than two years of preparatory work, the preparatory work of the domestic stock index futures transaction basically has been ready,but still it is away from promotes officially and does not have the concrete timetable till December,2008.Causes"the financial storm"by the American loan crisis to engulf the entire world,and at present we are experiencing of the damage which causes from"the hypothesized economy"to"the entity economy". From this the finance derivative product innovation and the financial supervision attract more concern of the finance market. This article unifies the domestic and foreign financial environment as well as the domestic stock index futures transaction closely promotes on its risk management carries. At the same time for the purpose of developing the stock index futures prompt sale to our country each transaction link's risk management has been discussed.During the preparatory process of the domestic stock index futures,risk and innovation to the introduction of stock index futures cause a negative impact on the domestic stock index futures and other financial derivatives risk control raise up more dispute. However, the introduction of stock index futures has not been delayed,just a question of time. At the same time monitoring on the stock index futures should be more careful by the financial crisis. This article attempts to analyze the reason which the stock index futures transction is not on in accordance with the financial analysis of the situation,and the introduction of the time. Then combine with stock index futures risk management processes,this paper consider the stock index futures market risk identification,measurement and control in our market,and try to give some advice for our country's stock index futures market. In the measurement model of choice,the writer read a large number of references literatures,but it does not find a mode which can use well in the all markets, and the most of the measuring modes on the outcome of the difference are not significant. Then this article chooses a more general-purpose GARCH-VaR model to measure in China's stock index futures risk, and to provide some suggestions for our use of risk measurement models. In the risk control links area, the writer constructs a three-level system to monitor risk through three levels of top-down regulation of stock index futures all-round implementation of risk management. This control system designed is focused on building a framework,and the construction of the framework is so complicated and it has much more work to do.This article utilizes several research techniques and it contains: induction deduction,qualitative comparison and empirical analysis. The primary research coverage includes: Firstly, it analyses the rapid development situation of the oversea stock index futures trading,unifies our country stock index prompt sale arrangement situation to domestic and explain the truth that it still has been developed in our market. Secondly this article carries on the recognition to the stock index futures transaction's risk. Thirdly it selects HS300 index and the simulation stock index futures contract IF0809 closing data once more,utilizes the GARCH model to analysis its fluctuations,and then it measures its VaR. Finally it combines the preparations of the domestic stock index futures,and builds a set of three levels of risk index futures regulation.