Dissertation > Excellent graduate degree dissertation topics show

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
Read: Download Dissertation


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.

Related Dissertations

  1. The Study of Discrete Copula and Quasi-Copular,O211.6
  2. Copula-EGARCH-Kernel Density Estimation Model and Its Application,O211.3
  3. Shanghai and Shenzhen stock markets empirical research,F224
  4. Research on Support Vector Regression in Prediction of the Short-term Load of Power System,TM715;F224
  5. In the standard model based on VaR Equity Fund Risk Assessment Study,F224
  6. Price Volatility Risk Assessment and Comparison of China’s Commodity Futures,F224
  7. Comparison and Empirical Analysis of Value-at-Risk Prediction Models,F832.51
  8. Research and Implementation of Anti-Interference Location Algorithm Based on RSSI,TN929.5
  9. Engine cold test and processing of data and application of multivariate correlation,U464
  10. Risk Control Based on Copula loan portfolio optimization model,F224
  11. Future-cash Arbitrage and Risk Research in China Based on Copula-SV Model,F224
  12. One Kind Copula Function and Research of Relevant Problem,O211.5
  13. Connection function (Copula) theory and its applications in financial risk,F224
  14. Risk Measurement of China’s Stock Market Based on Quantile Regression Model,F832.51
  15. Copula function and high-end ES liquidity of commercial banks risk measure,F224
  16. Operational risk measure based on the the Bayes - copula method of commercial banks,F224
  17. Empirical Study on Gold Futures Hedging Ratio Using Copula-GARCH Model,F830.91
  18. Risk Analysis of the Electricity Auction Market Based on CVaR,F407.61
  19. Intergration of Bank’s Market and Credit Risk Based on Copula,F832.2
  20. Risk Measurement and Optimal Steategy Selection of Portfolio Based on SV Model and COPULA,F830.59
  21. The hybrid the Copula construct and applications,F832.51

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile