CSI300Index Futures Risk Management

The most important purpose of the establishment of stock index futures is to avoid systemic risk in financial markets, with respect to non-systemic risk, it can not be eliminated but just be avoided. Due to the high leverage nature of stock index futures, how the investors to strengthen the risk control and how the government regulators to strengthen the supervision of the stock index futures market risk, these issues are currently required urgent consideration. Risk man-agement can greatly reduce the probability of loss, good risk management can create value greatly. Traditional risk management is only a certain angle of risk measurement and it can not give the most accurate value of the financial assets changes. VaR method has largely made up for the shortcomings of traditional risk management, and has been promoted and applied. But how to choose the VaR method to accurately and quickly measure the risk of the Shanghai and Shenzhen300stock index futures is the difficulty and focus of this article.The main contents of this paper include:(1) After reviewing the study of the domestic and foreign scholars who have studied the VaR in the risk management of stock index futures and in the application of stock index futures risk management, on the basis of those research results, we put forward research methods, structure, and noted that innovation and the insufficiency of this paper.(2) The main contents include the principle of VaR and basic calculation method, in view of the distribution of stock index futures "fat tail asymmetry" phenomenon,we introduce the g-h distribution to analyze it and then build the stock index futures VaR risk measurement model.(3) Respectively using the method of the Delta-normal, historical simulation, the Monte Carlo simulation, the VaR method based on the distribution of g-h to measure the risk of the stock index futures, and by comparing the accuracy test results we can obtained by the op-timal method of stock index futures risk measurement.(4) We make respectively recommenda-tions to investors, futures companies, regulatory authorities and other main body behavior.The significance of this paper is that:(1) We combined the theory with the actual situation of risk management real Shanghai and Shenzhen300stock Index futures data, and make the research more practical significance.(2) In view of the distribution of stock index futures "fat tail asymmetry" phenomenon,we introduce the VaR risk measurement model of g-h distribution and point out the model is more effective.