The Research On Performance Evaluation Of China Stock Index Futures Margin System

CSI300Stock Index Futures has brought a new revolution for China’s capital market. But the stock index futures market is different from the commodity futures markets in general, and its virtual nature, changeable and conductivity characteristics make it filled with greater liquidity risk and price volatility risk. Margin system is the most basic risk management system.That Leveraged Performance is the most primitive resource allocation function,to evaluate the promotion of market activity. The Protection performance must cover99%of the risk of price fluctuations and maintain transactions smoothly in the short-term trading days, which is another key point in evaluating the Margin system design affection.The paper firstly describes the core theory of the stock index futures margin evaluation, providing a theoretical basis for performance evaluation.Secondly details the stock index futures margin evaluation in the developed countries or regions, to find inspiration to building evaluation system of performance management and improvement of the margin system design for margin performance evaluation system in China. And by establishing multi-index performance evaluation system and using three years of data in compare and GARCH-VaR method to assess the margin system how play in the leverage performance and protection performance, to identify deficiencies and risk points in the system design, so we can find that the leverage performance work well, but protection performance still have some defects, such as the adjustment arbitrary largely, the level is much conservative, the additional technical efficiency slightly lower, the receive setting is general. So this paper from the following four aspects to further improve the margin system:Firstly, establish margin levels reasonable adjustments assessment system,which including needs assessment, margin levels estimated and market emotional feedback three different focused phases assessment process design.Secondly, develop the dynamic intraday mark-to-market system,which means that to check account margin balances in the end of the morning session,to isolation the risks as early as possible.Thirdly, improve the liquidation additional tracking technology,to enhance the liquidation and futures companies additional margin tracking utilization.Fourthly, establish a front-back charge mode in the base of market price, to recommend the China Financial Futures Exchange and Margin Monitoring Center develop the new margin calculation program, to optimize a receive mode of setting margin level.