| 基于VaR技术管理股指期货现金流风险的实用探究 |
| |
| 引用本文： | 宁叶,刘睿智.基于VaR技术管理股指期货现金流风险的实用探究[J].淮海工学院学报,2011(3):67-69. |
| |
| 作者姓名： | 宁叶 刘睿智 |
| |
| 作者单位： | [1]对外经济贸易大学国际经济贸易学院,北京100029 [2]上海财经大学统计与管理学院,上海200433 |
| |
| 摘 要： | 采用理论结合实际的方法,基于VaR技术提出了对股指期货现金流风险进行头寸管理,是一种能够应用于大型机构短期（以每日为周期）头寸管理中资金配置的实用性方法,尤其注意结合了我国新近推出的股指期货保证金制杠杆交易和当日无负债的结算特点,计算出的应配置交易资金可以降低真实杠杆比率,从而有效控制现金流风险。
|
| 关 键 词： | 股指期货 杠杆比率 现金流风险 VaR技术 RiskMetrics |
Practical Research into the Management of Cash Flow Risk in the Stock Index Futures |
| |
| NING Ye,LIU Rui-zhi.Practical Research into the Management of Cash Flow Risk in the Stock Index Futures[J].Journal of Huaihai Institute of Technology:Natural Sciences Edition,2011(3):67-69. |
| |
| Authors: | NING Ye LIU Rui-zhi |
| |
| Affiliation: | 1.School of International Trade and Economics,University of International Business ＆ Economics,Beijing 100029,China; 2.School of Statistics and Management,Shanghai University ofFinance and Economics,Shanghai 200433,China) |
| |
| Abstract: | Integrating theory with practice,this paper presents a method based on VaR technique which can take a position management in the cash flow risk of stock index futures.It is a practical way of capital allocation which can be used in short-term（with a daily cycle） position management of large organizations.With particular attention to the stock index futures recently launched in China which exchanges under the margin system and MTM system,the allocated capital of transaction calculated can well lower the real leverage ratio so as to control the cash flow risk effectively. |
| |
| Keywords: | stock index futures leverage ratio cash flow risk VaR technique RiskMetrics |
| 本文献已被 维普 等数据库收录！ |
