基于历史模拟法的期货动态保证金设置研究  

Research on Dynamic Margin Setting of Futures Based on Historical Simulation

作　　者：张秀丽[1] 郭恺[1] 

机构地区：[1]郑州大学商学院,河南郑州450001

出　　处：《湖南工业大学学报（社会科学版）》2017年第3期51-55,共5页Journal of Hunan University of Technology(Social Science Edition)

摘　　要：运用历史模拟法评估单个期货合约的风险价值,计算相应的动态保证金设置水平,对郑州商品交易所的白糖期货合约进行实证分析,其结果表明,比之国内期货交易所目前采取的静态保证金收取方式,动态保证金可以控制期货市场风险且降低参与者的资金成本,采取动态保证金收取方式更利于期货市场的发展。By assessing the risk value of a single futures contract through historical simulation, and calculating the corresponding dynamic margin level,the paper makes an empirical analysis of sugar futures contracts of Zhengzhou Commodity Exchange and the conclusion proves th a t, compared with the static margin system adopted by the domes-tic futures exchanges, the dynamic margin system could control the risk of futures market and reduce the capital cost of the participants. Therefore, adopting the dynamic margin would be more conducive to the development of the fu-tures market.

关 键 词：期货 动态保证金 历史模拟法 风险价值 

分 类 号：F830.91[经济管理—金融学]