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Stock Index Futures, Risk Management And Control

Posted on:2004-01-25Degree:MasterType:Thesis
Country:ChinaCandidate:T J LuFull Text:PDF
GTID:2206360125961264Subject:Industrial Economics
Abstract/Summary:PDF Full Text Request
In China, with the growing of security market scale, the acceleration of marketing process and the development of institutional investors, more and more immanent contradictions have appeared. One important factor is the lack of financial tools, which results in the short of risk management tools in the security market. Therefore, as an effective risk management and investment tool, the stock index futures has been paid close and extensive attention by all the investors both inside and outside the security market recently. The thesis focuses on the stock index futures and its function in financial risk management.This thesis analyzes and sums up some theories and methods of the stock index futures based on a great deal of interrelated domestic and overseas data. The thesis includes four chapters. It introduces the stock index futures in brief firstly. Then illustrates the economic functions and risk management measures of stock index futures separately. Still then it discusses the feasibility and necessity of developing stock index futures in China at present. It emphasizes the analysis of the risk management measures and the basic terms of stock index futures developing in China. It shows that although some new market risk sources will appear, it is feasible to develop stock index futures in China at present under the circumstances that the bourses, the supervising organizations, the broker institutions and the market participants can fully understand the investment risks of stock index futures and master the measures of risk management. It also shows that developing stock index futures will benefit Chinese security market and is helpful to enhance the efficiency of the security market.Applying qualitative and quantitative analysis, the Paper makes a systematic study on the risk of stock index futures(SIF)and its management. First, the paper summarizes the three basic theories of financial risk management, and on the basis of this, it puts forward the study on qualitative analysis of the risk of SIF and its management. Moreover, the paper takes advantage of VaR method, which is the most worldwide popular in the risk measurement field, and makes a positive research on the risk of the Hong Kong Hang Seng Index Futures market. Finally,using the above results, it analyses the possible problems that will exist if we introduce VaR method to our coming SIF market and presents the relevant advisory comments and resolutions.In addition, besides the theoretic analysis, the thesis introduces a large number of practice and research achievements of the western advanced markets. These valuable practical approaches could work as the guideline for the practice of the stock index futures in Chinese financial market.Lu TieJun(Industry Economics) Directed by Professor Li XuYing...
Keywords/Search Tags:stock index futures, risk management, hedging, VaR method
PDF Full Text Request
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