Study On The Dynamic Futures Margin Settings In View Of Market Risk And Liquidity Risk

To control the daily transaction risk and decrease the loss caused by price fluctuation of thefutures market are the important purposes to set the futures deposits. However, there are manyproblems of the fixed, single static margin system in China, for example,(1) there isn’t directcorrelation between the fixed futures deposits ratio and the volatility of futures prices, and it doesnot adjust with the change of market risk.(2) It only consider the market risk when setting themargin ratio, however it ignores the impact of liquidity and other risk factors, it can’t cover thefutures market risk completely. While a reasonable margin level should not only consider thecontrol risk, and to give consideration to the efficiency in the use of funds, and can carry outdynamic management according to the changes of futures market risk. Hence, to construct thedynamic margin system of risk has important significance in theory and practice.Based on the understanding of the considering of the research status at home and abroad,related knowledge, GARCH model and VaR method, this paper mainly to do some work asfollows,(1) It builds a comprehensive liquidity measurement index of Lt which considering theeffect of futures contract price movements, positions and the volume of transactions.(2) In thecase of there exists correlation in market risk and liquidity risk, it constructs3kinds of dynamicmargin model Using GARCH model and combining the Variance-covariance method VaRmodel, One is the dynamic futures margin model only confers market risk, Two are the dynamicfutures margin model one and model two which conferring the relationships between the marketrisk and liquidity risk.(3) In order to test the superiority of the dynamic margin, this paper takesthe Copper Future, fuel oil future as an example to discuss those models, and the result is themodel two is the best one, the effect to coverage the market risk is better, margin ration is morereasonable, and can be very good to promote the activity of the futures market. Hopefully thestudy of this paper is useful to improve the futures margin system.