China Stock Index Futures Contracts On Margin Settings Of The Risk Control Study

To analyze the control of risks on stock index futures contracts systematically, this research focuses on the margin level settings by using both qualitative and quantitative methods. The core of the paper is to build a model between margin requirements and risks on stock index futures, and then to make empirical analysis to find a reasonable margin levels for Chinese stock index futures contracts.It gives a detailed description of literature review domestic and abroad. It explains the importance, the principles and the setting methods of margin levels of the stock index futures contracts, and then we refer to the experiences from the international futures markets, especially taking the margin levels setting method of Hong Kong stock index futures as example. We first discuss about the theories of risks management of financial goods, and then apply the basis theory of John Cotter (2001) and Login (1999); we illustrate the relationship between return rate and margin levels according to EVT and SMA respectively. Then it analyzes and investigates the results combining with the statistic data of the sample's return rate charts. From the research, we know that the extreme value technique is found to be appropriate since it generates theoretical margin violation probabilities that closely follow the empirical probability distribution. The POT method is based on utilizing all peak events of a given time series exceeding a specified threshold. Currently in China, the futures market operates well with an increasing expending scale, mature development of risk management and sound financial supervision. Therefore, China is eager to develop its capital markets by launching domestic stock index futures.