Research On The System Of Risk Control Of The Stock Index Futures

Along with our country securities market scale constantly expanding, financial derivatives are developing. Since stock index futures launched, financial markets have also been highly attention in our country. Stock index futures is one of the financial derivatives and also is a tool of risk aversion. It is very popular among many investors. Not only does it improves the trading function of the stock market, lowers transaction costs, and improves the mechanism of the price of the stock market, but also it owes more risk aversion mechanism. According to the functions and characteristics of stock index futures, stock index futures is a double-edged sword, it can play a positive role, but also hidden a huge risk. Once the regulation is undeserved, it can bring losses to investors. The more serious case will cause the entire financial market volatility. So it is necessary to study the risk of stock index futures species, measurement method and actively to the risk of stock index futures for effective management and control.The the first chapter, this paper simply introduces the research background, significance and methods, and simply describes the status of the development of stock index futures at home and abroad. The second chapter, this paper introduces the concept of stock index futures, features and function, and also details analysis of expired futures may face various risks. The third chapter, it analyses the source of the risk of stock index futures from the macroscopic and microscopic two angles. The fourth chapter, it mainly introduces the domestic and international risk management control system of the stock index futures and finds out the problem of stock index futures risk management in our country. The fifth chapter, it introduces stock index futures risk identification method and the measurement method. Then the selection of the stock market of Shanghai and Shenzhen300index futures risk to measure and a GARCH-VaR model is established to carry on the empirical analysis. The Chapter6, the select of GF futures case risk to analyze and finally it puts forward suggestions to control the risk. The seventh chapter is to summarize the full text.This paper adopts many methods, including comparative analysis, empirical analysis and the method of combining qualitative and quantitative analysis. It mainly selects GARCH (1,1) model to estimate the VaR value, the selection of the stock market of Shanghai and Shenzhen300index futures risk for comprehensive measurement. In this paper, the results show that using GARCH-VaR model to assess the accuracy is very high, it has a certain practical significance. And risk management system for domestic and foreign stock index options conduct a comprehensive comparative analysis, and puts forward the suggestion to how to perfect our country stock index futures risk management control system.