中国股指期货风险识别与预警机制

由于杠杆效应的存在,股指期货蕴涵着巨大的风险。本文运用事件树等方法对我国股指期货进行风险识别,并构建VaR-GARCH模型进行风险估测和预警机制研究。结果表明,只要建立严密的股指期货市场风险管理制度和监管体系,采用适时风险监控技术,并加强证券和期货市场的监管协调,我国股指期货风险完全可以防范和控制。

Risk Identification and Forecasting Mechanism of Stock Index Futures in China

This paper employs event tree risk identification method to indentify risks in China's stock index futures. The paper also construct VaR-GARCH model to estimate and forecast the relevant risk. The results show that the risk in stock index futures can be avoided provided there are well-designed risk management system and supervision system,plus good coordination in securities market in China.