Dissertation > Excellent graduate degree dissertation topics show

Study on the Dynamic Futures Margin Settings in View of Market Risk and Liquidity Risk

Author: ShiYuPing
Tutor: ZhangZhiQing
School: Wuhan University of Science and Technology
Course: Management Science and Engineering
Keywords: Futures Market Risk Liquidity Risk GARCH-VaR Method Security Settings
CLC:
Type: Master's thesis
Year: 2013
Downloads: 13
Quote: 0
Read: Download Dissertation

Abstract


To control the daily transaction risk and decrease the loss caused by price fluctuation of thefutures market are the important purposes to set the futures deposits. However, there are manyproblems of the fixed, single static margin system in China, for example,(1) there isn’t directcorrelation between the fixed futures deposits ratio and the volatility of futures prices, and it doesnot adjust with the change of market risk.(2) It only consider the market risk when setting themargin ratio, however it ignores the impact of liquidity and other risk factors, it can’t cover thefutures market risk completely. While a reasonable margin level should not only consider thecontrol risk, and to give consideration to the efficiency in the use of funds, and can carry outdynamic management according to the changes of futures market risk. Hence, to construct thedynamic margin system of risk has important significance in theory and practice.Based on the understanding of the considering of the research status at home and abroad,related knowledge, GARCH model and VaR method, this paper mainly to do some work asfollows,(1) It builds a comprehensive liquidity measurement index of Lt which considering theeffect of futures contract price movements, positions and the volume of transactions.(2) In thecase of there exists correlation in market risk and liquidity risk, it constructs3kinds of dynamicmargin model Using GARCH model and combining the Variance-covariance method VaRmodel, One is the dynamic futures margin model only confers market risk, Two are the dynamicfutures margin model one and model two which conferring the relationships between the marketrisk and liquidity risk.(3) In order to test the superiority of the dynamic margin, this paper takesthe Copper Future, fuel oil future as an example to discuss those models, and the result is themodel two is the best one, the effect to coverage the market risk is better, margin ration is morereasonable, and can be very good to promote the activity of the futures market. Hopefully thestudy of this paper is useful to improve the futures margin system.

Related Dissertations

  1. A Study about the Stock Index Future’s Influence on the Stock Market,F224
  2. Study on Organizational Change of LD Futures Company about Business Development,F832.39
  3. China's stock market risk warning and empirical study,F224
  4. An Empirical Study on the Relationship between the China Stock Index Futures and Spot Markets,F224
  5. Research on VaR Based on Liquidity Risk of Open-end Funds,F224
  6. The Positive Study of the Efficiency of Domestic Nonferrous Metals Market Based on SCP Paradigm,F713.35;F224
  7. An Empirical Study on Risk Transmissions between Stock Index and Index Futures Markets in China,F832.51
  8. Research on the Integrated Risk Measurement of Chinese Commercial Banks and Its Sensitivity,F224
  9. A Study on the Impact of Investor Confidence on Optimal Hedge Ratio,F713.35
  10. Our open-end fund market risk measurement,F224
  11. Forwards and futures to hedge the risk of foreign assets in the comparison,F713.35
  12. Future-cash Arbitrage and Risk Research in China Based on Copula-SV Model,F224
  13. The Empirical Research on the Risk and Hedging Ratio of China Stock Index Futures Based on Copula Function,F832.5
  14. The Study of the Lead-Lag Relationship between Cash and Shanghai-Shenzhen 300 Stock Index Futures,F832.51
  15. China Taiwan region index futures and spot trading analysis of the interaction between,F224
  16. Copula function and high-end ES liquidity of commercial banks risk measure,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. A Study on Risk Spillover Effect of Copper Futures Between LME and SHFE,F713.35;F724.5
  20. The Research for Risk Management of Futures Investment,F713.35
  21. Research on the Cross-market Risk from Capital Market Transmit to the Banking System and Supervision of the Banking System under the Sub-prime Mortgage Crisis,F224

CLC: >
© 2012 www.DissertationTopic.Net  Mobile