基于VaR-WKDE单个期货合约动态基准保证金模型研究  

A model of dynamic fiducial margin for single futures based on VaR-WKDE

作　　者：余方平[1] 许文[2,3] 迟国泰[4] 

机构地区：[1]中国保险监督管理委员会大连监管局,辽宁大连116001 [2]中国社会科学院金融研究所博士后流动站,北京100732 [3]大连银行,辽宁大连116001 [4]大连理工大学管理学院,辽宁大连116024

出　　处：《哈尔滨工业大学学报》2009年第2期254-256,共3页Journal of Harbin Institute of Technology

基　　金：国家自然科学基金资助项目(70571010);中期协联合研究计划资助项目(GT200410ZZ200505);大连市科技计划项目(2004C1ZC227)

摘　　要：以单个期货合约的对数涨跌率来反映合约的市场风险,借助VaR法和加权核估计法,并依据期货多头和空头损失不对称原则,建立了单个期货合约动态基准保证金确定模型,解决了合约每一交易日基准保证金的确定问题.该模型的特点一是借助加权核估计法预测合约涨跌率最大日亏损值,充分体现了涨跌率的实际走势,从而使VaR估计更加精确.二是提出了从多、空头风险值两个角度出发确定期货合约基准保证金思路,简化了SPAN和TIMS系统因设置多种价格风险情景而采用情景模拟法(SS)确定基准保证金的复杂性,保证了模型预测精度及准确性.三是借助大豆合约d0403实证研究及结果分析验证了模型实用性.By using the trading day logarithmic fluctuation to reflect the market risk of futures and adopting the value at risk method （VaR） and weighted kernel density estimation technology （WKDE）, a singlecontract dynamic fiducial margin determining model is set up to solve the problem of the contract trading day＇s fiducial margin based on the long and Short loss unsymmetrical principle. Through using WKDE to forecast the day＇s volatility of futures, the proposed model can reflect the trend of volatility and ensure the precise VaR evaluation. This paper brings forward the idea that the fiducial margin of futures can be solved by long position VaR and short position VaR respectively. It simplifies the complexity of the scenario simulation method that simulates different price risk scenarios in SPAN and TIMS system,which guarantees the precision and accuracy the model. The practicability of the model is validated by soybeans d0403 contract.

关 键 词：期货合约 基准保证金 风险价值(VaR) 加权核估计技术(WKDE) 

分 类 号：F830.9[经济管理—金融学]