基于VaR方法的融资融券动态保证金制度设计-金融学专业论文.docx

研究生优秀毕业论文 Abstract Abstract 硕士学位论文 Abstract Ma唱in trading is caUed security deposit trading in the Wbst．It’s a regular订ading system of financial markets in the deVeloped worId．But in China，the ma唱in trading business has only eXisted for four years，a variety of institutional building and refoml need to be done．Design of ma玛in is one of tlle moSt important issues． Lending relationship is the basic relationship between securities companies and customers．On the one hand，margin is the collateral to securities fims，which to hedge price fluctuations of underlying securities．0n廿1e other hand，Ⅱ1e ma唱i n is a source of nnancialleVerage．So，appropriate margin is faVorable to t11e development of margin trading．Unifled higher ma唱in rate is set by regulators when introducing the margin for the pu叩ose of protecting China。s capitaI market，．With the expansion of business scale．such way seems to be impropeL ln this paper，VaR methods，combined with the unique operating mles and risk factor of ma唱in trading system，are used to set up a ma唱in trading system for China． The histor弘and characteristics are described and analVzed in detail in t11e second chapter，also the shortcomings of the existing policy are discussed．The third chapter introduces the meory and methods of VaR，the relevant model and calcuIation methods．InⅡ1e fourth chapter，three requirements of dle design of me financing margin are proposed．Tllrough selection of historical data，using VaR-GARCH model， a detailed．real-time dynamic margin system is deVeloped．Through testing，this design of the margin of this paper can e仃．ectively is01ate nle risk，lower cost，easy to operate． Due to l imited conditjons．the model requires certain assumptions and the market enViromnent needs to meet some requirements．In chapter 5，in order to cooperate with the smooth