Value At Risk Of Shanghai And Shenzhen 300 Stock Index Futures

Risk is the loss of uncertainty. Prudent risk prevention capability is the most core competitiveness that all business areas should have. Financial risk is involved in financial market transactions about the uncertainty of loss. The main business of financial institutions is to actively manage financial risks. The outbreak of the Asian financial crisis in 1997, the 2008 subprime crisis and China's stock market big crash in 2015, without exception, show the importance of financial risk management.Setting the upper limit and sensitivity analysis are the common method for risk management, but these methods do not consider the volatility of risk factors and the correlation between them. However, Va R, which is short for value at risk, breaks through the limitations of the two defects of the above methods. Va R, the maximum loss in a confidence interval, can be more objective to assess the risk. Therefore, the Va R method attracts more and more attention in the risk management field. At present, domestic and foreign scholars mainly study the risk management of the stock market on the application of Va R method, but the Va R application research of China's financial futures market is still very little.In this paper, the Va R method is applied to the CSI300 futures and we study the yield of the stock index futures. First, we apply these four methods to calculate the Va R of CSI300 futures: GARCH model method, delta-normal method, historical simulation method and Monte Carlo simulation method. Secondly, when using the historical simulation method to calculate Va R, we take the high frequency data into account in addition to the daily return data. The Va R model of the high frequency data, compared with ordinary daily return data, has greater flexibility and precision. Besides daily return data, we select one-minute and five- minute data to calculate the Va R of CSI300 futures under the historical simulation. After that, we carry out a model test based on failure rate, that is, to find out the number of the given sample in the event which exceed Va R so as to determine whether the risk measurement model can accurately predict the risk. Finally, this paper compares the advantages and disadvantages of various methods, as well as the Va R of CSI300 futures. We find that the Monte Carlo simulation method is the most conservative and cautious calculation method, which have a great significance for the investors.