Research On The Deposit Ratio Of Margin Trading On Extreme Value Theory

Margin Trading Margin setting problem is the core issue of margin trading, margin system is an effective means to prevent credit risks from the market due to stock market risk, the risk margin is the most critical tool control. Set too low will increase the risk of default of credit transactions, and will increase the opportunity cost is too high, lower margin efficiency. Meanwhile, China’s margin deposit system also faces three problems: a unified margin ratio, because the subject does not distinguish between different. 2. The minimum requirements for margin ratio of 50% is too high. 3. Margin extensive risk management. And because 10% of China’s securities market price limits, lack of financial derivatives, the high turnover of the speculative atmosphere and individual investors account for the special circumstances of the dominant, leading to the use of foreign experience can’t be copied, it is necessary to explore financing for our financial coupon bond rapid development stage setting method.VaR model in the field of financial risk management has been widely used, but its time income from financial assets after the end of the sequence ubiquitous feature can’t get good effect. The large number of empirical studies show that the extreme value theory scholars through the tail of the data yields a local fit, one can effectively describe the thick tail phenomenon, on the other hand can prevent distortion of the overall fit and avoid over- or underestimated risk situations occur, which can more effectively estimate and predict risk value.Based on the margin trading, we proposed our margin trading margin ratio setting method. Select a different risk characteristics of the underlying margin empirical analysis, risk measurement methods based on the use of building EVT model, analyze income margin end of the sequence characteristics of the subject, and calculate the ratio of margin in line with the underlying risk characteristics.Finally, based on the empirical analysis, this paper our current margin deposit system proposed amendments, and to build a margin deposit risk coping mechanisms to achieve the docking of margin trading and risk monitoring model and the practical application. Given the personal ability, this research is difficult to perfect, so on the basis of this study, follow-up studies were discussed.