郑州商品交易所期货保证金设置研究  

Research on Margin Setting of Futures of ZCE

作　　者：张秀丽[1] 陈伟[2] 郭恺[1] 

机构地区：[1]郑州大学商学院,河南郑州450001 [2]中国建设银行濮阳分行,河南濮阳457000

出　　处：《金融理论与实践》2017年第1期98-101,共4页Financial Theory and Practice

摘　　要：郑州商品交易所(以下简称"郑商所")目前采取的静态保证金制度,已经不能适应当今期货市场交易的需要。首先对郑商所现行的静态保证金制度进行了介绍,然后以一号棉期货合约(CF)为例,运用Va R-GARCH模型计算单个期货合约的动态保证金水平,证明动态保证金能有效控制期货市场风险且降低参与者的资金成本,采取动态保证金制度更利于期货市场的发展。The static margin system, adopted by Zhengzhou commodity exchange(ZCE)currently, has been unable to meet the needs of today's futures market transactions. First the paper introduces the static margin system of ZCE and then, taking cotton futures contract as an example, calculating the dynamic margin level of a single futures contract by Va R-GARCH model, proves that the dynamic margin can control the risk of futures market effectively, reduce the capital cost of the participants and be more conducive to the development of the futures market.

关 键 词：期货市场 动态保证金 波动性 在险价值 

分 类 号：F830.91[经济管理—金融学]