| 黄大豆系列组合保证金研究 |
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| 引用本文： | 徐毅.黄大豆系列组合保证金研究[J].合肥工业大学学报(社会科学版),2009,23(2):44-49. |
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| 作者姓名： | 徐毅 |
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| 作者单位： | 清华大学,经济管理学院,北京,100084;大连商品交易所,大连,116023 |
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| 摘 要： | 大连商品交易所对黄大豆1号、豆粕和豆油合约实行单个品种的静态收取，但基于组合计算动态收取已成为保证金制度发展的趋势。根据非参核密度估计和copula中的kendallτ方法对大连商品交易所黄大豆1号、豆粕和豆油的大豆系列组合保证金的实证结果，非参数核密度估计方法可以很好地估计覆盖市场风险和流动性风险的保证金，而copula中的kendallτ有效定量了不同品种问的相依性，克服了线性相关系数在衡量期货合约间非线性关系时的缺陷。这两种方法的结合体现了不同品种间的风险对冲，有效地降低了保证金要求水平，也提高了风险管理效率。
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| 关 键 词： | 金融工程 组合保证金 连接函数 |
A Study on Soybean Futures Portfolio Margin |
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| XU yi.A Study on Soybean Futures Portfolio Margin[J].Journal of Hefei University of Technology(Social Sciences),2009,23(2):44-49. |
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| Authors: | XU yi |
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| Institution: | 1.School of Economics and Management;Tsinghua University;Beijing 100084;China;2.Dalian Commodity Exchange;Dalian 116023;China |
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| Abstract: | The margin systems of the soybean Ⅰ, soybean meal and soybean oil futures contract in the Dalian Commodity Exchange calculated on each contract are static, but in developed future markets dynamic portfolio margin system is in fashion. According to the empirical result of soybean portfolio margin of Dalian Commodity Exchange with kernel density estimation and kendallτ in copula, kernel density estimation model could evaluate market risk and liquidity risk exactly, meanwhile, dynamic matrix of correlation coefficient could weight the correlation of the price changes among different futures effectively. These two methods could not only reduce the margin call but also improve risk management greatly. |
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| Keywords: | financial engineering portfolio margin copula kendallτ |
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