Considering The Residual Correlation In The Futures Portfolio Dynamic Margin Settings

One of the most important trading system on the futures market is the margin system, an important feature of which is the distinction between the futures market and stock market. Be on time performance guarantee for the futures contract, deposit system plays a crucial role in ensuring normal operation of the futures market. Our margin in the form of the transaction amount calculated on the basis of, under normal circumstances, the market does not appear obvious fluctuation of the market and the domestic market is relatively stable operation condition, futures trading in China which are fixed in accordance with the proportion of gold holdings amount are calculated, the basic without considering the correlation between the investment, the more traditional margin.But in building a portfolio of futures, affect the credit risk level of the whole residual correlation of some varieties are not paid to consider given by Copula function is derived for consistency and correlation measure can be very good to capture various financial assets between the tail yield related information. In addition, the time-dependent Copula functions can also be good capture variables dynamic, asymmetric relation. And because the Copula function of multivariate joint distribution modeling, and is easy to extend to the conditional distribution of the situation, so it can be used not only for multivariate financial time series analysis of the relation between the rate of return, can also be based on residual Copula simulation, this paper uses the Copula function to simulate the different varieties of futures of the residuals of the Copula function, and then on marginal distribution using GARCH model to reflect the dynamic changes of portfolio returns, and the true distribution closer to the joint distribution, so as to establish a more effective risk management model. In the calculation of portfolio VaR reducing elements correlation brings high VaR value. Eventually in the design margin of the process, can fully avoid margin too occupied to investors the fund using efficiency.