摘要
由于目前我国股市尚无做空机制,股指波动所引起的风险较大,而股指期货正是解决这一问题的重要工具。本文定性地分析了现阶段股指期货在我国尚待完善的资本市场上推出的风险主要来源于哪些方面,并定量地建立VAR模型以量化风险。
Because of lack of making-out mechanism, there is risk in the fluctuation of stock index. Stock index futures are just the facility to solve the problem. The article analyses qualitatively the main risks of stock index futures existing in the yet imperfect capital market, and quantitatively establishes the VAR model for measuring risks. This approach merits application.
出处
《北方工业大学学报》
2004年第3期62-66,共5页
Journal of North China University of Technology
基金
北方工业大学校科研资助项目
关键词
股指期货
风险分析
风险计量
stock index futures
risk analysis
risk measuring
