The Research On Market Risk Early Warning Of Financial Derivatives

This paper take HS300stock index futures as an example to investigate thedomestic financial derivatives market risk, with the aid of VaR-GARCH model and stresstesting methods and the prediction of the risk of the stock index futures market, so thepaper can provide valuable reference to the construction of domestic financial derivativesmarket risk early warning system. This article is divided into five chapters: first one isbased on risk management from the view of the theory research of risk management ofthe economic basis and the important value in financial practice; Secondly, standing inthe angle of HS300stock index futures, financial derivatives risk measure as thefoundation, this paper explores stock index futures market risk, and take HS300stockindex futures IF1203as an example, to explore the influencing factor of the risk of stockindex futures market, and conducted related inspections; Thirdly, with the aid of theVaR-GARCH model, the paper construct the early warning theoretical framework for thefinancial derivatives to lay a theoretical foundation to the risk information measurementand the warning theory; Fourthly, the stress testing model use in extreme market situationwarning research, make up for the defect of the VaR-GARCH model and make thecomplicated derivative risk easier, and direct. At last, from the Angle of view of thefinancial supervision, provide the policy suggestions to establish a perfect financialderivatives risk early warning system.