Risk management of stock index futures  

作　　者：Lü Xiaorong Wang Fusheng Wang Hongbao(School of Management, Harbin Institute of Technology, Harbin 150001, China) 

出　　处：《Journal of Southeast University(English Edition)》2008年第S1期191-195,共5页东南大学学报（英文版）

摘　　要：The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measurement of the stock index futures market. The results suggest that under normal market conditions it is feasible to apply the VaR method in the measurement of the market risks of stock index futures. The daily VaR value of the stock index futures provides a foreseeable profit and loss of the stock index futures. Financial supervisors can adjust their supervising strategies according to the daily VaR value. The speculators can adjust risk capital reserve rates in the same way. The application of this method in China's stock index futures market requires the solutions to specific problems: the absence of historical data, the difficult confirmation of non-risk interest rates etc.The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measurement of the stock index futures market. The results suggest that under normal market conditions it is feasible to apply the VaR method in the measurement of the market risks of stock index futures. The daily VaR value of the stock index futures provides a foreseeable profit and loss of the stock ...

关 键 词：value-at-risk (VaR) method risk management stock index futures (SIF) 

分 类 号：F83[经济管理—金融学]