Analysis of Margin Resetting in Chinese Commodity Futures Markets

摘要：

The present fixed-ratio margin system in Chinese futures markets cannot capture the majority of the expected future futures price movements. Many clearinghouses of the other developed countries or regions set margin requirements for its members accounts by TIMS, STANS, SPAN or VaR method. We recommend value at risk method because it is appropriate to Chinese primary futures markets. In this paper we design a prudent margin-setting VaR model based on RiskMetrics or conditional EVT respectly to protect futures positions from extreme price movement. We use backtesting to evaluate these models and the empirical results will show the most approapriate method.

关键词： eztreme value Value at Risk margin resetting backtesting

作者: Xiaoyan Zhang Zhiding Chen

作者单位: School of Economics & Management, China Three Gorges University, Yichang City,Hubei Prov. P.R.China, School of Economics & Management, China Three Gorges University, Yichang City,Hubei Prov.P.R.China,

会议类型: 国际会议

会议名称: The 2nd International Conference on Risk Analysis and Crisis Response(第二届风险分析与危机反应国际学术研讨会)

会议地点: 北京

会议语种:英文

页码: 217-222

在线出版日期: 2009-10-19（万方平台首次上网日期，不代表论文的发表时间）