Futures Margin Clearing System

In the present, the most mature portfolio risk measure system is SPAN (Standard Portfolio Analysis of Risk). The system which was developed by the Chicago Commodity Exchanges (CME) in December 16, 1988, is used to measure the total risk position of the members to determine the margin amount to be charged. For it is operated conveniently and process rapidly, when it was launched the SPAN has become the mainstream in the margin calculation systems. There are currently 50 global exchanges or clearing team to use the system. The SPAN has gradually become a global industry standard for the calculation of portfolio margin.Ⅰ.The purpose of this thesiscompare and analyze the dynamic and statistic margin calculate system between China and overseas, introduce the concept of dynamic margin clearing, point out that the dynamic margin clearing will become the research direction of our futures margin clearing system and provide a new research perspective for our futures risk management.Ⅱ.The main content and viewpointsThe article is divided into three parts. The main content and viewpoints are as follows:Chapter One: Futures Margin system research. It well be narrated in three sections. Section I, the definition of margin and margin system. Section II, compare the futures margin clearing system between china and overseas. Section III conclusion: The dynamic margin clearing system will be the direction of our futures risk management.Chapter Two: output the principles and examples of dynamics margin calculation. This thesis mainly introduces the dynamics margin calculation,...