基于极值理论方法的中国股指期货保证金设定的实证研究  

Empirical Research on Stock Index Futures' Margin Setting of China Based on the Method of Extreme Value Theory

作　　者：李晓渝[1] 宋曦[1] 潘席龙[1] 

机构地区：[1]西南财经大学中国金融研究中心,四川成都610017

出　　处：《统计与信息论坛》2006年第4期42-47,共6页Journal of Statistics and Information

摘　　要：保证金制度的合理设定是确保股指期货交易高效和安全进行的保证。文章在极值理论广义帕累托分布(GPD)下,研究了上证以180指数为标的的股指期货的保证金水平,并且与正态分布假设下的保证金水平进行比较。建议以GPD下的损失期望值作为确定中国股指期货保证金水平的依据,并且可以考虑区分不同头寸设置不同的保证金水平,为中国的股指期货交易的保证金设定提供参考。The reasonable setting of margin system is to make sure index futures transaction in etticient and safe operation. With the GPD, this paper studies the margin level of the stock index future contract of Shanghai 180 index, and compares with the margin level of hypothesis of normal distribution, It suggests regarding the expected shortfall value under GPD as the basis of determining the level of the stock index futures＇ margin,and considers differentiating setting different margin levels for long and short positions, in order to provide the reference for setting the margin of transaction of stock index futures of China.

关 键 词：指数期货 极值理论 保证金水平 损失期望值 

分 类 号：F830.9[经济管理—金融学]