Market-Risk Measurement Of Treasury Future Based On VaR-GARCH Model

On September 6,2013,The China Financial Futures Exchange has launched a bond futures contracts.The bonds futures market in China has been restarted after the pilot shut down nearly 20 years.China's national debt futures pilot opened in 1992.At that time,due to the macroeconomic background not mature,the financial regulatory system not securities,and the futures company irregularity behavior,the Treasury futures market only for less than three years has been suspended.Early experience shows that the risk of national debt futures management is very important.It is the key period of interest rate marketization reform in our country.Treasury cash market in China and other financial regulation are gradually mature.Bond futures market runs relatively smoothly in the two years.It is worth noting that the Treasury futures due to the special nature of the subject matter,always can't get rid of a macro policy risk.At the same time it is a tool for investors to hedge futures are widely used,but with the Treasury futures for financial products may face the risk of more complex.Therefore,stable bond futures market expectation is particularly important,only in this way we can stabilize the market trading main body,complete and reasonable market price.The first chapter describes the research background of this article and the study of purpose and meaning of national debt futures.The second chapter makes arrangement to the domestic and foreign scholars on Treasury bonds futures market volatility and the risk control.The third chapter introduces the concept and characteristics of bond futures as well as the national debt futures market development present situation in our country.The fourth chapter discusses the national debt futures risk types and 327 national debt risk analysis.The chapter five summarizes the risk management theory,Va R and ES risk management theory and introduce some related model.The chapter six analysis data after the restart bond futures market risk,and the basic situation of the select GARCH(1,1)model to estimate Treasury futures market risk.The chapter seven put forward the risk control measures pertinently.This article mainly uses the inductive deductive method and quantitative analysis to study of the China's national debt futures market risk.The innovation point of this paper is to systematically study the Treasury futures risk management.And it is the first time using mathematical and empirical method to measure the restart after the Treasury futures market risk.