China's Stock Index Futures Margin Level Setting And Empirical Analysis

The introduction of csi300 Index and the establishment China Financial Futures Exchange laid the foundation for of the launch of China's stock index futures. In the upcoming launch of stock index futures, it is necessary to establish a dynamic model based on stock index futures price volatility level of margin settings. The level of margin predicted through the model will have a strong sensitivity, the level of risk can be covered according to different levels of a reasonable margin. Setting the level of margin primarily considering a substantial probability of default behavior of futures price changes, not with a small margin, or price change in the behavior does not matter. Therefore, extreme behavior should be the main consideration in the level of margin settings, while the extreme value theory is committed to portray extreme behavior of the tail of the sequence, so this article will use the extreme value theory, non-parametric estimation method to estimate the tail index return series. This paper introduces the domestic and international research results about stock index futures margin level setting, then, introduced an important system in control the risk of stock-index futures-margin system, and the theoretical basis to set the benchmark level of margin, and introduced the method of setting level of margin in other Exchanges, then systematically discuss the principle and method of extreme value theory, and through empirical analysis estimates the level of csi300 index margin, testing proved that VaR-X method to calculate the applicability of the Chinese stock index futures margin provides a reference ideas and methods.