Research On Market Risk Spillover And Early Warning Of Financial Derivatives

Since the 1970 s,due to the development of financial liberalization,globalization and financial innovation,the risks faced by financial markets have become increasingly complex.Especially in the 21 st century,China’s financial market has developed rapidly and financial innovation tools have also become abundant.On April 16,2010,the Shanghai and Shenzhen 300 stock index futures contracts were listed in China,marking the formal entry of stock index futures contracts into China’s financial derivatives market.Financial derivatives are also highly risky because of their extremely high risk.Therefore,establishing a sound risk warning mechanism and continuously improving the ability of financial institutions to manage financial risks are inevitable measures to deal with increasingly complex and changing financial derivatives.The main content of the research in this article can be divided into three parts: First,the concept and classification of financial derivatives are described,and then the financial risks are summarized,and the financial risks are classified and described.Research content and significance.The literature review is based on the two aspects of financial derivatives risk spillovers and market risk warnings.The article takes this as a basis for research and analysis of China’s financial derivatives market risk spillovers and warnings.Second,by establishing a four-market VAR-GARCH(1,1)-BEKK volatility spillover effect model,a quantitative analysis of the financial derivatives market risk spillover is conducted.Select the daily closing price data of the IF1912 stock index futures contract from April 22,2019 to December 23,2019 as the representative of the financial derivatives market,the daily closing price data of the Shanghai Securities Fund Index represents the fund market,and the representative of the Shanghai and Shenzhen 300 stock index closing price data The stock market and national bond index daily closing price data represent the bond market.Using Wald to test the volatility spillover effect among the four markets,the test results show that the financial derivatives market is significantly affected by the volatility spillover effect of the fund and stock markets,and the volatility spillover to the bond market is relatively small,while the fluctuation of the financial derivatives market yield rate has 3.The stock market also has significant spillover effects.Third,it combines early warning analysis with VaR model and stress test.The historical simulation method is used to measure the risk value of the financial derivatives market,and the financial derivatives market risk early warning analysis is used.The daily closing price data of the IF1912 stock index futures from April 16,2010 to December 23,2019 is selected,and VaR is used to return The test test verifies the accuracy of the risk value forecast of the historical simulation method.The results show that VaR measures the risk value of the financial derivatives market well.Finally,the stress test is used to measure the pressure loss in extreme cases of financial derivatives market risk.The stress test is applied to the risk warning of financial derivatives on the financial market.Through the regression relationship of financial derivatives to the funds,stocks,and bond markets,the impact of fluctuations in the rate of return of financial derivatives on financial markets is calculated.