极值理论在期货保证金水平设置中的应用  

Application of Extreme Value Theory to Futures Margin Levels Setting

作　　者：董志英[1] 陈良均[2] 

机构地区：[1]乐山师范学院数学系,四川乐山614000 [2]电子科技大学应用数学学院,成都6140054

出　　处：《电子科技大学学报》2007年第S1期480-481,484,共3页Journal of University of Electronic Science and Technology of China

摘　　要：在期货合约中,既能抵御违约风险又不影响市场活跃性的条件下,保证金水平的设置至关重要.该文利用极值理论对与期货市场风险大小密切相关的价格波动进行分析,推导出在一定置信度p下保证金水平的表达式,同时指出该理论的优缺点.In futures contract,margin levels setting is vital in the condition of protecting against default risk and not affecting market liquidity.This paper applies extreme value theory to analyze price fluctuation relevant to market risk and gives formula of margin levels in given probability.Meanwhile the advantage and disadvantage of this theory are pointed out.

关 键 词：极值理论 期货 保证金水平 

分 类 号：F713.35[经济管理—产业经济] F224