基于VaR-WKDE单个期货合约动态基准保证金模型研究

以单个期货合约的对数涨跌率来反映合约的市场风险,借助VaR法和加权核估计法,并依据期货多头和空头损失不对称原则,建立了单个期货合约动态基准保证金确定模型,解决了合约每一交易日基准保证金的确定问题.该模型的特点一是借助加权核估计法预测合约涨跌率最大日亏损值,充分体现了涨跌率的实际走势,从而使VaR估计更加精确.二是提出了从多、空头风险值两个角度出发确定期货合约基准保证金思路,简化了SPAN和TIMS系统因设置多种价格风险情景而采用情景模拟法(SS)确定基准保证金的复杂性,保证了模型预测精度及准确性.三是借助大豆合约d0403实证研究及结果分析验证了模型实用性.

A model of dynamic fiducial margin for single futures based on VaR-WKDE

By using the trading day logarithmic fluctuation to reflect the market risk of futures and adopting the value at risk method(VaR) and weighted kernel density estimation technology(WKDE),a single-contract dynamic fiducial margin determining model is set up to solve the problem of the contract trading day’s fiducial margin based on the long and short loss unsymmetrical principle.Through using WKDE to forecast the day’s volatility of futures,the proposed model can reflect the trend of volatility and ensure the precise VaR evaluation.This paper brings forward the idea that the fiducial margin of futures can be solved by long position VaR and short position VaR respectively.It simplifies the complexity of the scenario simulation method that simulates different price risk scenarios in SPAN and TIMS system,which guarantees the precision and accuracy of the model.The practicability of the model is validated by soybeans d0403 contract.