The Study On The Optimization Of Margin Model In China's Futures Market

Margin is not only a basic risk control method for futures trading,but also an important part of futures trading costs.Its basic position is very important.China's futures market has experienced nearly 30 years of development,and the number of futures traded on the market is increasing.Up to now,it has covered agricultural products,chemicals,energy,building materials,metals and other fields,and has achieved fruitful results in serving the real economy.With the continuous enrichment of derivatives instruments,the continuous improvement of the investor structure and the recognition of the exchange as a qualified central counterparty,China's futures market,as a financial market infrastructure,has become increasingly important in the international futures market.It is worth noting that with the listing of options contracts and the launch of over-the-counter trading platforms,the introduction of futures,options market makers and foreign investors has enriched the market participants and the trading strategies of investors have become more and more complex,the participating entities are increasingly demanding the efficiency of the use of margin.At present,the single-strategy margin collection model focusing on risk prevention and the demand for higher margin utilization efficiency implemented by domestic futures exchanges have become the main contradictions in the new era of China's futures market.How to optimize the margin collection model,so as to effectively prevent the risk of the futures market,and better improve the efficiency of the use of margin has gradually become a topic that is valued by various futures exchanges and is being continuously studied.This article is based on this contradiction to select the topic,taking the "futures market margin model" as the research object,focusing on the global market,focusing on the development history,starting from the most representative portfolio margin model currently adopted by the world's major futures exchanges,Using theoretical research methods,comparative research and empirical research,we can explore the feasible path to optimize the futures market margin model.Illustrated by the case of Z Futures exchange,this paper compares and analyzes the difference between the domestic and international futures market margin system,and uses the real position data of the exchange as the empirical source to compare the difference in margin efficiency and risk coverage under the SPAN margin model and the single strategy margin model.According to the research results,this paper draws the conclusion that span margin model can meet the risk coverage requirements of China's futures market and can effectively improve the efficiency of margin use.At the same time,combined with the differences between domestic and foreign futures market systems,this paper puts forward suggestions for the implementation of span margin model after the localization of China's futures market.First of all,this paper introduces the basic theory of futures market margin.Introduce the basic concept of the margin system,the classification of the margin and the relationship between the margin and the market risk,and finally introduce the ultimate goal of the optimization of the margin model-to improve the "margin efficiency."Secondly,this paper expounds the evolution of the margin model in the futures market,and analyzes and summarizes the characteristics of different types of margin models.In order to further reflect the differences between domestic and foreign futures markets,this paper makes a research and analysis on the principle of choosing which margin model for domestic and foreign futures exchanges,and makes a comparative study on the business basis and application background of the margin model for domestic and foreign futures markets.This paper proposes the introduction of the most widely used SPAN(Standard Portfolio Analysis of Risk)margin model into China's futures market.Thirdly,this paper makes a comparative study of dynamic combination margin model and single strategy margin model.This paper introduces in detail the concepts of dynamic combination margin model and single strategy margin model as well as the advantages and disadvantages of the former,and takes SPAN margin model as an example to introduce its margin calculation method in detail.Taking the real position data of Z futures exchange in China as an example,the paper compares the margin utilization efficiency and risk coverage based on single strategy margin model and SPAN margin model under the same confidence interval,systematically analyzes the current situation of the margin utilization efficiency of Z futures exchange,and draws the conclusion that SPAN margin model can not only effectively reduce the transaction cost of investors,improve the margin utilization efficiency,but also meet the risk coverage requirements of China's futures exchange.Finally,based on the above research results,this paper analyzes the problems faced by the implementation of span margin model in China's futures market,draws the conclusion that it needs to be implemented after the localization transformation in China's futures market,and puts forward corresponding solutions to the problems faced by the implementation.At the same time,this paper forecasts the implementation of span margin model in China's futures market,and puts forward corresponding requirements for the necessary supporting measures for the implementation of span margin model.In view of the fact that the implementation of span margin model in China's futures market may be a relatively long-term process,this paper also puts forward suggestions on how to improve the efficiency of margin usage before the implementation of span margin model.This provides a new research perspective for the optimization of margin model to solve the main contradictions faced by China's futures market in the new era,improve the efficiency of investors' margin use,and accelerate the steady development of China's futures market.