The Study On Futures Margin System Of China

The system of the futures trading margin is one of the most important system in future market,which is known as the first barrier to prevent the risk in future market.From producing to the development,China’s trading margin system is always adopted the method that is based on contract value,and charged according to a certain ratio.It is called as the static margin system.This system make great contributions to China’s futures market.Unfortunately, it has its own shortcomings.For example,risk do not be considered fully.These shortcoming also become obstacles to the further development of China’s future market.Presently,the system of dynamic trading margin is widely adopted among the world’s future exchange.Through using the statistics model and fully considering the risk factors,then it can get a comprehensive ratio.This approach is more flexible and beneficial to improve the efficiency of investors’fund. Gradually, it is becoming the main direction of development.In addition,China’s future market is also blocked by the old settlement method.This paper is mainly divided into four parts.The first part of the paper will point out that the future market may be faced with a variety of risks.as well as the mecanism and principle of the future trading margin system.Though comparing the static trading margin system and dynamic trading margin system.this part will analysis the advantages and disadvantages comprehensively.The second part focuses on comparing the major trading margin of international exchange.and the differences between China’s trading margin system and the mainstream.The third part is the empirical analysis,which based on the Garch model by using the VaR(Value at Risk) method.The result will argue that the current trading margin system is no longer suitable for the development of the future market.The last part will give some suggestions about further development of China’s future market and the opinion to perfect future system. There are two deficiencies in this paper which are worth of sustained attention and timely correction.Specifically:First of all.it can be inferred that,in the empirical part of the essay, the logarithmic return sequence does not obey the normal distribution,but has the characteristics of steep peaking and heavy tail.then we can not choose the variance-covariance method in the specific application process of VaR method.As the high requirement of Monte Carlo simulation,we choose the historical simulation method which is more traditional.However.this method has its inherent defects,so that the result may be not accurate enough.Secondly.the last part of this paper put forward several proposals about the further development of the futures market in China.There are only three proposals in the paper that are not comprehensive.