Analysis of Margin Resetting in Chinese Commodity Futures Markets

机译：中国商品期货市场的保证金重置分析

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The present fixed-ratio margin system in Chinese futures markets cannot capture the majority of the expected future futures price movements. Many clearinghouses of the other developed countries or regions set margin requirements for its members' accounts by TIMS, STANS, SPAN or VaR method. We recommend value at risk method because it is appropriate to Chinese primary futures markets. In this paper we design a prudent margin-setting VaR model based on RiskMetrics or conditional EVT respectly to protect futures positions from extreme price movement. We use backtesting to evaluate these models and the empirical results will show the most approapriate method.

机译：当前中国期货市场的固定比率保证金制度无法捕捉到大多数预期的期货价格走势。其他发达国家或地区的许多票据交换所通过TIMS，STANS，SPAN或VaR方法为其成员帐户设置保证金要求。我们建议采用风险价值法，因为它适用于中国主要期货市场。在本文中，我们分别基于RiskMetrics或有条件EVT设计了审慎的保证金设定VaR模型，以保护期货头寸免受极端价格波动的影响。我们使用回测来评估这些模型，经验结果将显示最合适的方法。

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来源
《The 2nd International Conference on Risk Analysis and Crisis Response(第二届风险分析与危机反应国际学术研讨会)》|2009年|217-222|共6页
会议地点 Beijing(CN);Beijing(CN)
作者
Xiaoyan Zhang; Zhiding Chen;
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作者单位

School of Economics Management, China Three Gorges University, Yichang City,Hubei Prov. P.R.China, 443002;

School of Economics Management, China Three Gorges University, Yichang City,Hubei Prov.P.R.China, 443002 State Key Laboratory of Water Resource and Hydropower Engineering Science, Wuhan University, Wuhan City, Hubei Prov. P.R.China, 430072;

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会议组织
原文格式 PDF
正文语种 eng
中图分类
关键词
extreme value; Value at Risk; margin resetting; backtesting;

机译：极值;风险值;保证金重置;回测;

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机译：设定期货投资组合维持保证金的新方法：来自中国商品期货市场的证据
2. A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets [J] . ChiXie, Jiao-JiaoYang, Gang-JinWang Journal of applied mathematics . 2014,第1期

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3. A leader of the world commodity futures markets in the making? The case of China's commodity futures [J] . Hung-Gay Fung, Yiuman Tse, Jot Yau, International Review of Financial Analysis . 2013,第apra期

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4. Analysis of Margin Resetting in Chinese Commodity Futures Markets [C] . International conference on risk analysis and crisis response . 2009

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5. Pricebehaviour in China's commodity futures markets. [D] . Xin, Yu. 2003

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7. A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets [O] . Chi Xie, Jiao-Jiao Yang, Gang-Jin Wang 2014

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8. Commodity Futures Trading: Purpose, Use, Impact, and Regulation of Cattle Futures Markets [R] . 1987

机译：商品期货交易：牛期货市场的目的，使用，影响和监管

Analysis of Margin Resetting in Chinese Commodity Futures Markets

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