我国期货市场结算担保金实证研究

作为我国期货市场的新生事物,结算担保金是结算机构防范风险的重要环节。基础担保金的标准,变动担保金的计算方法,非违约会员担保金在风险事故处理中的次序是各界关注的焦点。通过对期货市场三种结算担保金的计算方法分析,以及基于沪深300仿真交易的结算担保金实证研究,提出我国商品期货市场应尽快建立结算担保金制度,而中国金融期货交易所可以考虑在结算风险事故处理中引入其他财务安全措施,在结算担保金计算中采用风险价值方法。

Study on the Surety Fund in our Future Markets

As the new mechanism in our future markets,surety fund is the key point in settlement risk management.Its initial request,calculating methods and the rank of non-defaulted member's fund in risk compensation are hot topics now.After comparing the surety funds among foreign clearing houses and doing empirical research on CFFEX market,the paper proposes that surety fund should be established in the commodity market and CFFEX should better apply other financial services and use the VaR calculating method while ...