The Roles of Margin Adjustment on Controlling Futures Market Risk and the Reform of Margin System——Empirical Analysis from Dalian Commodity Exchange

摘要：

This paper makes theoretical and empirical analysis of the roles of margin adjuestment on adjusting futures market risk based on the data from Dalian Comodity Exchange and method of VaR(Value-at-Risk). We draw conclusions that market risk decreases when margin lever is increased and doesn’t change when the margin lever is decreased. Based on the conclusions and the realities in China market, we make suggestions on the reform of the margin system in futures market, complying with the basic principles of prudentiality and opportunity cost.

关键词： VaR Back-Testing Margin Futures Market.

作者: 蒋贤锋 史永东

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）