导　　师： 汪洋

学科专业： 120202

授予学位： 硕士

作　　者： ;

机构地区： 华南理工大学

摘　　要： 2010年4月16日我国沪深300股指期货合约正式上市交易。作为主要金融衍生工具，它使得投资者对整个股票市场价格指数的预期风险转移到期货市场中，以此来抵消股票市场风险。与其他金融衍生产品一样，股指期货交易机制具有高杠杆性、价格变化的敏感性和交易策略的复杂性，所以，股指期货也蕴含着巨大的风险，其风险也远远超过了股票现货市场。也就是说投资者获取高额收益的可能的同时也必须承担高额风险，那么股指期货的风险管理及其度量成为整个市场运营过程中的核心问题。 本文试图以沪深300股指期货合约正式上市后的市场表现为基础，研究股指期货风险的形成原因，特征以及风险控制方法，将理论结合实际，参考国内外优秀相关研究文献，进行借鉴和创新，对我国股指期货风险进行定性和定量分析，以期为沪深300股指期货市场未来的健康发展做出一定的贡献。以前由于我国的股指期货没有正式上市，有关我国股指期货风险方面的研究主要是基于仿真数据，所以并不能完全准确反映我国股指期货风险的全貌。加之在研究方面较多借鉴国外现有的研究模型和方法，缺少一定的创新性和针对性。针对以上问题，本文在数据方面采用自沪深300股指期货合约正式上市交易后的实际数据进行研究，在研究方法方面基于传统ARCH族模型发展起来的SWARCH模型与极值理论相结合进而计算风险价值VaR，从而更准确的描述沪深300股指期货的市场风险的波动性特征和风险程度，并通过最新上市的沪深300股指期货相关数据的实证检验，验证其模型的合理性和实用性，认为沪深300股指期货确实如传统的股指期货一样，其收益率确实存在尖峰厚尾的特性，且SWARCH-POT模型对股指期货市场风险的度量较传统模型更加准确和科学。 China's CSI300futures contracts was traded in April16,2010.As a major financialderivatives, it allows investors to transfer the expected risk of the entire stock market priceindex to the futures market in order to offset the risk of the stock market. AS the same as the other financial derivatives, highly leveraged trading mechanism, sensitivity in price changesand complexity in the trading strategy is the major character of CSI300futures.So CSI300futures contains a huge risk,which is much bigger than the spot market.In other words, theinvestors must bear the higher risk when they get the chance of high returns.Thus the riskmanagement and metric of CSI300futures is the key of the entire maket operation.Based onthe market performance after the trading of the CSI300futures contracts,this paper attemptsto study the the reason, characteristics and control methods of marketing risk of CSI300futures.in this paper,throught integrating theory with practice and referencing domestic andforeign excellent relevant research literature,we analyze the markting risk of CSI300futuresin an Innovative way in order to make some contribution to the healthy development of theCSI300futures market. Since CSI300futures are not Officially listed until April16,2010.Previous studies about the marketing risk of CSI300futures is always based onsimulated data, and therefore it can not completely accurately reflect the whole picture ofChina's stock index futures marketing risk.In addition,most of the reaearch learn from existingforeign models and methods and lacks of innowatino and pertinence. So this paper ues theactual contracts traded data in the CSI300futures, and intergrate SWARCH model and potmodle to calculate the value at risk, which can make a more accurate description of volatilitycharacteristics and risk degree of CSI300futures. Apart from this, through empirical test byactual contracts traded data,this paper verify the rationality and practicality of SWARCH-POTmodel and the results indicates the rate of return of CSI300futures has Le

关 键 词： 沪深 股指期货 市场风险 模型 极值理论

领　　域： [经济管理] [经济管理]