股指期货市场强行平仓风险估计  

The Estimation of Mandatory Liquidation Risk in Stock Index Futures Market

作　　者：王永杰[1] 陈成[1] 苏振华[1] 

机构地区：[1]重庆大学数学与统计学院,重庆400030

出　　处：《重庆工商大学学报（自然科学版）》2011年第3期261-264,共4页Journal of Chongqing Technology and Business University:Natural Science Edition

摘　　要：考虑了我国指数期货市场投资者被强行平仓风险的计算问题。利用鞅的最优停止理论,给出了一个强行平仓概率和投资者保证金资本存量之间的关系。采用300指数历史数据的研究发现,为了保证一个40 d左右的指数期合约以90%以上的概率不被强行平仓,投资者需要为每份合约准备至少30万人民币的保证金资本;若要维持一个寿命为55 d的指数期货合约,投资者需要为每份合约至少准备50万左右的保证金资本。一个仅有200万保证金资本存量的投资者最多能持有4份寿命为55 d的期货合约。Mandatory liquidation of Chinese stock futures market is considered in this paper,where the ruin risk of investor is measured by a new martingale method using optimal stopping theory.At the same time,the relationship between mandatory liquidation probability and investors＇ margin capital stock is obtained.Through calculating the historical data of Csi300,we found that in order to guarantee a index stock contract of 40 lifetime not mandatory liquidation with above 90% probability,investors should prepare margin capital at least 300,000 RMB for each contract;If we want to maintain index futures contract with 55 lifetime,investors need margin capital at least 500,000 RMB for each contract.If investors only have margin capital stock of 2,000,000 RMB,they at most maintain 4 shares of future contracts with 55 lifetime.

关 键 词：每日结算制度 保证金 强行平仓 破产概率 

分 类 号：O21[理学—概率论与数理统计]