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股指期货具有价格发现,规避风险以及提高资金配置效率等功能。我国于2010年4月16日正式推出沪深300股指期货,这是我国资本市场发展的一大里程碑。股指期货的跨期性、杠杆性、联动性和多样性等特点很好地弥补金融市场的缺陷,不仅可以健全股票市场的价格机制还可以大大降低交易成本,并且为广大参与者提供了一个可以避险的投资工具。沪深300股指期货的推出彻底改变了我国金融市场风险管理工具缺乏的现状,但同时也面临股指期货高杠杆交易巨大风险的挑战。本文将运用ES模型度量股指期货的基差风险,最后实证研究预测沪深300股指期货的基差风险。本文将在国内外相关理论的研究基础上,运用非对称Laplace分布来拟合沪深300股指期货的基差;建立非对称Laplace分布下的Expected Shortfall模型来分析沪深300股指期货的波动情况;计算出该模型下的ES值和Va R值;分别将模型得出的Va R和ES值与实际的基差波动进行比较,考察ES和Va R对实际基差波动的拟合情况;对ES和Va R分别进行有效性检验;最后对我国目前使用Expected Shortfall模型还存在的问题进行简要的阐述,给出我国沪深300股指期货管理的相关经验。
Stock index futures with price discovery, to avoid risks and improve capital allocation efficiency and other functions. China formally launched CSI300 stock index futures on April 16, 2010, a major milestone for the development of China’s capital market. The characteristics of intertemporal, leverage, linkage and diversity of stock index futures make up for the defects of financial markets. Not only can the stock market price mechanism be improved, but also the transaction costs can be greatly reduced, and the majority of participants can provide a Hedging investment tools. The introduction of the Shanghai and Shenzhen 300 stock index futures completely changed the status quo of the lack of financial market risk management tools in our country, but at the same time, it also faced the great risk of stock index futures high leverage trading. This article will use the ES model to measure the basis of the risk of stock index futures, the final empirical study predicts the CSI 300 stock index futures basis risk. Based on the domestic and international related theories, this paper uses the asymmetric Laplace distribution to fit the basis difference of CSI 300 stock index futures; establishes Expected Shortfall model under asymmetric Laplace distribution to analyze the fluctuation of CSI 300 stock index futures; ES value and Va R value under the model were calculated. The VaR and ES values obtained by the model were compared with the actual basis difference fluctuations respectively, and the fit of ES and Va R to the actual fundamental difference fluctuation was investigated. And Va R respectively. Finally, the existing problems of Expected Shortfall model in our country are briefly described, and the related experience of stock index futures management in Shanghai and Shenzhen 300 stock indexes is given.