China Stock Index Futures, Risk Management Study

Stock index futures is a kind of new derivative financial tool that developed in 80's 20th,which has the function of price discover, avoid risk and distribution property. It can perfect security market's function and mechanism efficiently and avoid stock market's systemic risk. Because Stock index futures has these deal characters of high fluidity and big leverage, which is always be used as speculate tool by minority speculator and risk fancier. It leads to many miserable financial affairs, such as BARLIN BANK'S bankrupt. So it is important to process stock index futures' risk management. At present, our country has posses the basic condition to extrude stock index futures. In order to protect our country's stock index futures can process successfully and it's function can bring into play adequately, it has important academic and practical meaning to research on my country's stock index futures' risk management, which is also the aim of this paper.In this article, we use such methods as systemic theory, inductive and deductive, comparative and instance method, combine the character of my country's stock and futures market with the base of foreign successful management experience and make systemic research on stock index futures from three aspects as :risk identify, evaluation and control. In this chapter of my country's stock index futures risk identify we discuss from three aspects such as the historical lesson of my country's stock index futures, the risk origin and identify 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, we use instance method, regard a financial derivative product's as samples, use riskmetric and historic stimulate method to calculate the VaR of this financial derivative product, then use failure frequency test method to prove the effective of VaR. This instance analysis has consult value for my country's stock index futures. Through analyzing the problem that my country stock index futures risk control will face and bring forward the object model of futures markets. At last we draw the conclusion that stock index futures risk can be controlled with modern risk monitor technology and coordinate management of stock and futures market.