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The Calculation of Margin in Small Board of China

Author: XiaHouQin
Tutor: WangGuoJing
School: Suzhou University
Course: Probability Theory and Mathematical Statistics
Keywords: Historical volatility EWMA Garch Copula
CLC: F832.5
Type: Master's thesis
Year: 2011
Downloads: 33
Quote: 0
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Abstract


In February 1982, the world’s first stock index futures contracts that Value Line Composite Index Futures (VLI) was officially launched in the Kansas City Stock Exchange (KCBT). After that, the boom of listing and trading of stock index futures in the worldwide appears. Today, the stock index futures is the most active futures in the world. In April 2010, China timely launched its first Stock Index Futures - CSI 300 Index Futures, which filled the gaps of our financial futures.In this background, looking into success of stock index futures in the mature markets overseas. We are most likely to launch small-cap stock index futures thereafter. In the article we select the small board 300 as the underlying (the ideal index is carefully selected) to discuss the calculation of margin. In the article I use four methods to calculate the ratio of margin for small board 300. These four methods have their advantages and disadvantages. Finally, I compare the four models through their statistics. The innovation of this article is to apply the method of Copula to calculate the ratio of margin and compare it with the other three models from the theory and empirical study. The theory is proofed feasible from the empirical study.In the margin system, the calculation of margin is the core issue, which directly affects the effectiveness of the other systems.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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