經(jīng)流動(dòng)性調(diào)整的期貨市場(chǎng)動(dòng)態(tài)保證金研究.pdf

1、廈門大學(xué)碩士學(xué)位論文經(jīng)流動(dòng)性調(diào)整的期貨市場(chǎng)動(dòng)態(tài)保證金研究姓名：岳耀民申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：林海20070901AbstractAbstractWiththedevelopmentofmarketeconomyandentryoftheⅥ呵Odomesticenterprisesneedtohedgetheriskwiththehelpoffuturesmarkettoplayapositiveroleinfinding

2、pricesandavoidingtheriskThesechangesobjectivelyrequirethefuturesmarkettopossessthesuitablemarketscaleandmarketmobilityAtpresent，themarginissetupaccordingtothevalueofthecontractinourcountryButinforeigncountries，itisdeterm

3、inedaccordingtotheamountofthepricechangeDynamicmargincanremedytheriskofmarketpricefluctuatingintime，SOthedynamicmarginandmarginsystemwillbeatrendinthefuturesmarketLiquidityisthekeyfactorwhichmustbetakenintoaccountinsetti

4、ngupthemargininourcountryThelevelofthemarginwhenconsideringtheliquiditycanbetteroverlaymarketriskButforegoneresearchesseldomconsiderliquidity；therefore，thispapercarriesoutthedynamicmarginresearchbyconsideringliquidityfac

5、torBecausepriceriskandliquidityareallcloselyrelatedwithpricefluctuation，futurespricefluctuationisnotonlyinfluencedwiththepriceriskfactorbutalsotheliquidityfactorComputingtwokindsofinfluencerespectivelyandaddingtogetherto

6、calculatethetotalriskwilloverestimatethetotalriskoffutures，thenoverestimatemarginAsaresult，howtoseparatethepricefluctuationthattwokindsoffactorscauseseemstobeimportantThemethodinthispaperis：withthehelpofGARCHmodel，liquid

7、ityandpriceriskaretheindependentvariablesinregressionequationofretumfluctuationSeparateliquidityandpricerisk，estimatetheriskofthereturnfluctuationandcomputeVaRofreturnregressionrisk，finallyestimatethemarginThearticleuses