沪深300股指期货风险管理研究
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摘要
20世纪70年代后期以后,随着布雷顿森林体系的瓦解,以美元为主导的固定汇率制崩溃,汇率波动加剧,大宗商品的价格也急剧波动,给经济发展带来很大的不确定性,导致证券市场的波动加剧。为了有效规避市场的系统性风险,作为金融衍生产品的股指期货也就应运而生了。可是,股指期货也是一把双刃剑：股指期货的买空卖空机制,在一定程度上可以挤压泡沫,同时股指期货实行杠杆交易,在一定程度上也放大了市场风险。因此,如何对股指期货的风险进行识别、测量和控制,从而进行有效的风险管理就成为摆在世界各国监管层面前的一个艰巨的任务。
本文运用VaR、压力测试的方法来对股指期货的风险管理进行研究,全文按照风险管理的一般步骤：风险识别、风险测量和风险控制展开。
第一章,本文介绍了国内外学者在股指期货风险管理方面的研究综述,并对这一研究综述进行了评价。
第二章,本文研究了股指期货风险的类型,通过分析股指期货各类风险的互动关系,得出市场风险是核心风险的结论。
第三章,本文首先分析了股指期货无套利模型中影响股指期货价格的因素主要有现货指数价格、无风险收益率、股指期货红利率以及持有股指期货的天数。接着分析了股指期货均衡价格的形成是套利机制作用的结果。最后分别利用2005、2006、2008年数据建立了基于VaR法的沪深300股指期货无套利模型,测量了风险,然后利用2006、2007、2008年的数据进行了返回检验。
第四章,本文用压力测试模拟极端市场情形的方法来进一步检测机构或者个人投资者所面临的市场风险,从而检测他们事前把握和管理风险的能力。结果发现,如果沪深300指数上涨或下跌幅度超过5%,投资者全仓进行股指期货交易将面临爆仓的危险,因此,为了防范这些极端的市场风险,投资者除了提高分析操作能力,努力判断准确指数运行趋势之外,还必须控制好仓位比例和努力做到熟练应用止损技术。
文章第五章总结了文章的主要结论,并提出了我国沪深300股指期货风险管理的政策建议,最后给出了本文的不足及有待改进之处。
After the later 70 years of the 20th century, with the collapse of the Bretton Woods System, dollar-driven collapse of fixed exchange rate system, exchange rate volatility and commodity prices fluctuated sharply, which brought a great deal of uncertainty to the economy and led to stock market's greater volatility. In order to effectively avoid the system risk, Stock Index Futures as one of financial derivative products emerged. However, Stock Index Futures is also a two-edged sword:To some extent, fictitious mechanism of Stock Index Futures squeezes the bubble, however, to a certain extent, Stock Index Futures' leverage transactions enlarge the market risk. Therefore, how to identify, measure and control risk of Stock Index Futures and thus to effectively manage risk has become the common and toughing problem which faces the regulators in the whole world.
This paper uses VaR and Stressing Methods to do a research on risk management of Stock Index Futures. The whole risk management process starts with the general steps:risk identification, risk measurement and risk controls.
The first chapter introduces Home and Foreign scholars'current research on risk management of Stock Index Futures and makes a review on their present research.
Article II gets the conclusion that market risk is the core risk by analyzing the interaction between various types of risk.
Article firstly analyzes the main factors:risk-free rate of return, dividend yield, price of stock index, holding days on stock index futures which affect price of stock index futures in stock index futures no-arbitrage model. Then this paper analyzes the formation of the equilibrium price of stock index futures is the result of arbitrage mechanism. At last this paper uses datas in 2005,2006,2008 to establish Shanghai and Shenzhen 300 stock index futures no-arbitrage model, measuring risk then uses datas in 2006,2007,2009 to do a back test.
Article IV uses Stressing Test to simulate extreme market conditions to test the ability to seize manage market risk for individual or institutional investors so that they can test risks before risks happened. The result shows that, if Shanghai and Shenzhen 300 Stock Index Futures rises or falls by more than 5%and investors hold all positions, investors will face the danger of explosion position, therefore, to prevent these extreme market risk, in addition to improving the analysis operation and correctly determining the run trends of Shanghai and Shenzhen 300 Stock Index, we must also control the proportion of holding positions and work hard to use stop-loss technology.
Chapter V summarizes the article, the article's main conclusions, and gives policy recommendations for the risk management of Shanghai and Shenzhen 300 Stock Index Futures, in the end, the author gives the weakness of the article and which fields should continue to be developed.
本文运用VaR、压力测试的方法来对股指期货的风险管理进行研究,全文按照风险管理的一般步骤：风险识别、风险测量和风险控制展开。
第一章,本文介绍了国内外学者在股指期货风险管理方面的研究综述,并对这一研究综述进行了评价。
第二章,本文研究了股指期货风险的类型,通过分析股指期货各类风险的互动关系,得出市场风险是核心风险的结论。
第三章,本文首先分析了股指期货无套利模型中影响股指期货价格的因素主要有现货指数价格、无风险收益率、股指期货红利率以及持有股指期货的天数。接着分析了股指期货均衡价格的形成是套利机制作用的结果。最后分别利用2005、2006、2008年数据建立了基于VaR法的沪深300股指期货无套利模型,测量了风险,然后利用2006、2007、2008年的数据进行了返回检验。
第四章,本文用压力测试模拟极端市场情形的方法来进一步检测机构或者个人投资者所面临的市场风险,从而检测他们事前把握和管理风险的能力。结果发现,如果沪深300指数上涨或下跌幅度超过5%,投资者全仓进行股指期货交易将面临爆仓的危险,因此,为了防范这些极端的市场风险,投资者除了提高分析操作能力,努力判断准确指数运行趋势之外,还必须控制好仓位比例和努力做到熟练应用止损技术。
文章第五章总结了文章的主要结论,并提出了我国沪深300股指期货风险管理的政策建议,最后给出了本文的不足及有待改进之处。
After the later 70 years of the 20th century, with the collapse of the Bretton Woods System, dollar-driven collapse of fixed exchange rate system, exchange rate volatility and commodity prices fluctuated sharply, which brought a great deal of uncertainty to the economy and led to stock market's greater volatility. In order to effectively avoid the system risk, Stock Index Futures as one of financial derivative products emerged. However, Stock Index Futures is also a two-edged sword:To some extent, fictitious mechanism of Stock Index Futures squeezes the bubble, however, to a certain extent, Stock Index Futures' leverage transactions enlarge the market risk. Therefore, how to identify, measure and control risk of Stock Index Futures and thus to effectively manage risk has become the common and toughing problem which faces the regulators in the whole world.
This paper uses VaR and Stressing Methods to do a research on risk management of Stock Index Futures. The whole risk management process starts with the general steps:risk identification, risk measurement and risk controls.
The first chapter introduces Home and Foreign scholars'current research on risk management of Stock Index Futures and makes a review on their present research.
Article II gets the conclusion that market risk is the core risk by analyzing the interaction between various types of risk.
Article firstly analyzes the main factors:risk-free rate of return, dividend yield, price of stock index, holding days on stock index futures which affect price of stock index futures in stock index futures no-arbitrage model. Then this paper analyzes the formation of the equilibrium price of stock index futures is the result of arbitrage mechanism. At last this paper uses datas in 2005,2006,2008 to establish Shanghai and Shenzhen 300 stock index futures no-arbitrage model, measuring risk then uses datas in 2006,2007,2009 to do a back test.
Article IV uses Stressing Test to simulate extreme market conditions to test the ability to seize manage market risk for individual or institutional investors so that they can test risks before risks happened. The result shows that, if Shanghai and Shenzhen 300 Stock Index Futures rises or falls by more than 5%and investors hold all positions, investors will face the danger of explosion position, therefore, to prevent these extreme market risk, in addition to improving the analysis operation and correctly determining the run trends of Shanghai and Shenzhen 300 Stock Index, we must also control the proportion of holding positions and work hard to use stop-loss technology.
Chapter V summarizes the article, the article's main conclusions, and gives policy recommendations for the risk management of Shanghai and Shenzhen 300 Stock Index Futures, in the end, the author gives the weakness of the article and which fields should continue to be developed.
引文
1 Markowitz, H.M., The Early history of portfolio theory:1600-1960, Financial Analysis Jounral.1999, (55):5-16
2沈小胜：论金融衍生产品的风险及其监管,厦门大学学报(哲社版),1997,(3),44-47
3邓湘伟：金融衍生工具的风险及其防范,中国科学—中国金融学院学报,2000,(1),50-52
4王宝森：股票指数期货交易策略及风险管理研究,中国博士论文数据库,2004,98-110
5中国金融期货交易所网站：http://www.cffex.com.cn/
6 Jedrzej Bialkowski, Jacek Jakubowski, Stock index futures arbitrage in emerging markets:Polish evidence, International Review of Financial Analysis 17 (2008),368-369
7等于样本数据的个数乘以相应的置信水平
8利用股指期货无套利模型先求出2006年246个沪深300股指期货均衡价格,然后求出现货与期货价格之间偏离率,并按从大到小的顺序进行排列,最后用2005年沪深300股指期货5%置信水平和1%置信水平下的VaR值并分多头和空头两种情形与2006年实际每天的偏离值作比较,求出实际超过两种置信水平下VaR值的天数。
9高显岳：压力测试在我国商业银行风险管理中的应用,中国学位论文文摘数据库,2006,37-38
10投资者分机构投资者和个人投资者,个人投资者就是我们通常所说的散户投资者,机构投资者包括工商企业法人、证券公司、投资基金、养老基金、保险机构、商业银行及各种政府机构。与个人投资者相比,机构投资者拥有比较专业的投资管理人才,可以独立进行价值评估,从而大大降低了投资的盲目性。此外,机构投资者的资金实力比较雄厚,有条件进行组合投资,可以最大限度地降低非系统风险。对于机构投资者,现实中最常见的就是证券投资基金,证券投资基金按照投资对象的不同可以划分为：股票基金、债券基金、货币市场基金、衍生证券基金。与机构 投资者相比,个人投资者在持有的金融资产总量方面,要远远落后于机构投资者。此外,由于个人投资者力量分散,资金有限,无法将有限资金分散于尽可能多的证券品种进行投资。
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[54]高显岳,压力测试在我国商业银行风险管理中的应用,中国学位论文文摘数据库,2006,37-38
2沈小胜：论金融衍生产品的风险及其监管,厦门大学学报(哲社版),1997,(3),44-47
3邓湘伟：金融衍生工具的风险及其防范,中国科学—中国金融学院学报,2000,(1),50-52
4王宝森：股票指数期货交易策略及风险管理研究,中国博士论文数据库,2004,98-110
5中国金融期货交易所网站：http://www.cffex.com.cn/
6 Jedrzej Bialkowski, Jacek Jakubowski, Stock index futures arbitrage in emerging markets:Polish evidence, International Review of Financial Analysis 17 (2008),368-369
7等于样本数据的个数乘以相应的置信水平
8利用股指期货无套利模型先求出2006年246个沪深300股指期货均衡价格,然后求出现货与期货价格之间偏离率,并按从大到小的顺序进行排列,最后用2005年沪深300股指期货5%置信水平和1%置信水平下的VaR值并分多头和空头两种情形与2006年实际每天的偏离值作比较,求出实际超过两种置信水平下VaR值的天数。
9高显岳：压力测试在我国商业银行风险管理中的应用,中国学位论文文摘数据库,2006,37-38
10投资者分机构投资者和个人投资者,个人投资者就是我们通常所说的散户投资者,机构投资者包括工商企业法人、证券公司、投资基金、养老基金、保险机构、商业银行及各种政府机构。与个人投资者相比,机构投资者拥有比较专业的投资管理人才,可以独立进行价值评估,从而大大降低了投资的盲目性。此外,机构投资者的资金实力比较雄厚,有条件进行组合投资,可以最大限度地降低非系统风险。对于机构投资者,现实中最常见的就是证券投资基金,证券投资基金按照投资对象的不同可以划分为：股票基金、债券基金、货币市场基金、衍生证券基金。与机构 投资者相比,个人投资者在持有的金融资产总量方面,要远远落后于机构投资者。此外,由于个人投资者力量分散,资金有限,无法将有限资金分散于尽可能多的证券品种进行投资。
[1]理查德.J特维来斯,弗兰克.J.琼斯：期货交易实用指南,(第三版),北京：‘经济科学出版社,2000
[2]John C.Hull,期权、期货和其他衍生产品(第五版),北京：清华大学出版社,2006
[3]Markowitz, The early history of portfolio theory,1600-1960, Financial Analysis Journal, 1999, (55)
[4]Raymond W. So and Yiuman Tse, Review of Quantitative Finance and Accounting,16, 311-321,2001
[5]Andreas Grunbichler, Francis A. Longstaff, Valuing Futures and Options on Volatility, Journal of Banking& Finance,1996, (20):985-1001
[6]AH-BOON SIM, RALF ZURBRUEGG (2001), Asia-Pacific Financial Markets 8: 237-258,2001
[7]YU CHUAN HUANG (2004), Review of Quantitative Finance and Accounting,22: 79-95,2004
[8]Nolan, J.P., Maximum likelihood Estimation and Diagnostic for Stable Distributions, Department of Mathematics and Statistic,1999
[9]Peters, E.E., Chaos and Order in the Capital Markets, John Wiely&Sons, Inc,1996
[10]Jonathan.Dark, Journal of Financial and Quantitative Analysis (2007),42:1021-1040, Cambridge University Press
[11]Efron B.Tibshirani RJ, An introduction to the bootstrap,1993,1-4
[12]Donald Lien, Anlong Li, Futures hedging under mark-to-market risk, Journal of Futures Markets,2003,23(4):389-398
[13]Svein Arne Person, Torres Trovik, Otimal hedging of contingent exposure:the Importance of a risk-premium, Journal of Futures Markets,2000,20(9):823-841
[14]Reimer Kuhn, Peter Neu, Functional Correlation Approach to Operational Risk in Banking Organizations, Physica 2003, (A322):650-666
[15]Bank for International Settlement, Stress Testing by Large Financial Institutions：Current Practice and Aggregation Issues, Committee on the Global Financial System, Switzerland, 2000
[16]Longin, From Value at Risk to Stress Testing:The Extreme Value Approach, Journal of Banking and Finance,2000,24,1097-1130
[17]Mahoney JM, Forecast biases in value-at-risk estimations:Evidence from foreign exchange and global equity portfolio:(memo), Federal Reserve Bank of New York,1996
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