Risk Management Of Stock Index Futures Base On La-var

The introduction of stock index futures, on the one hand, is of great significance in the development of our securities market, but on the other, it is faced with challenges of risk management and control. With the implementation of the margin system, stock index futures are marked by high risk and high yield. Furthermore, our securities market is in the emerging stage of development, risk management and control is particularly important. With the appearance and wide application of the VaR method, a powerful tool has provided for risk measurement—the key to risk management, and a risk measurement system on the core of VaR method has formed.In the financial markets, liquidity risk is the risk that cannot be ignored. Traditional VaR method measures market risk but not liquidity risk, which often results in underestimation of risk. How to build a VaR model adjusted by liquidity risk (LA-VaR), to improve the effectiveness of risk measurement, has always been the focus of the foreign and domestic scholar's research. On the occasion of stock index futures in china listing, discussion on the LA-VaR model, which is built suitable for the risk measurement of our stock index futures market, is of important realistic significance.Based on the analysis of liquidity, liquidity risk and liquidity-measure index, according to the root causes and manifestations of liquidity risk, this paper selects two indicators—price margin and exchange ratio—which are hard to argue with to measure liquidity, to construct indicators V, a measure of liquidity risk. On the basis of BDSS model and with the reality of stock index future market in china, a VaR model adjusted by liquidity risk is established. The empirical analysis shows that:liquidity risk is an important component of total risk, hence focusing only on the market risk will seriously underestimate the risk; from the result of back test, LA-VaR model can significantly reduce predicting days, the LA-VaR model built on the liquidity indicator V achieves better forecast effect. At the same time, applying the VaR value to the risk management of stock index future market, the results indicated that margin at 10% level is sufficient to cover events of default,100 yuan/point is a more reasonable contract multiplier, and a market risk early warning system is built under the VaR.