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A Study on Margin Models Forcommodity Futures

Author: WangJiaJie
Tutor: ZhouGuoFu;ZhangZuoCheng
School: Shanghai Jiaotong University
Course: Finance MBA
Keywords: Futures Trading Security deposit Set model Fluctuation
CLC: F724.5;F426.31
Type: Master's thesis
Year: 2010
Downloads: 193
Quote: 0
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Abstract


Margin system is the core of risk management in the futures market , the steel industry as a pillar of the national economy , one very large proportion of rebar in China's total steel . With the international trend of China's futures market became clear , with the participation of China's iron and steel industry in the international market gradually deepening , the rebar futures margin system design can not only from simply consider the risk control factors , but should gradually transition to the same time consider the two aspects of risk control and market efficiency . This thesis is to proceed from the domestic futures industry development , as well as the deposit system status quo , the representative of the Shanghai Futures Exchange rebar futures contract traded as research object, the the application yields absolute value method , OHLC and EWMA law model checking the rebar futures price volatility the margin level differences in the results . The paper found EWMA model is more in line with current domestic futures trading both prudential calculation of margin and liquidity needs way ; followed by more emphasis on current rebar futures margin setting prudential margin level is high , the futures market liquidity have a certain influence . However , the price volatility of the futures market is more severe , in exceptional circumstances , such as the impact of the financial turmoil , will make the price volatility , and thus the current margin level and does not completely cover all the risk of price fluctuations , which may in turn lead to the risk of default . In view of this situation , the paper attempts to put forward a number of recommendations from the contract design and institutional reform to gradually replace the current static management , margin management system to a more flexible and dynamic . In recent years, with the gradual development and growth of China's futures market , the futures market is also gradually increased , but most studies have mainly focused on the futures market functioning and effectiveness . Innovative point of this paper is that the the deeper studies margin settings , targeted research , especially for rebar futures margin rules .

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