Margin Setting of China's Government Bond Futures: Based on SPAN System

Abstract

Abstract:

Since its restart on September 6th 2013, China's government bond futures market has become an ever more attractive research field. Great importance has been attached to the futures margin level because it affects both investors and regulators. We apply an internationally accepted method-Standard Portfolio Analysis of Risk (SPAN system) and formulate a GARCH-VaR model to conduct a normative analysis of the reasonable futures margin level. By using the actual data, we find that the reasonable level of China's government bond futures market ought to be about 0.6%, which is much lower than the current 2% level. In the long run we should lower the futures margin level.

Key words: China's government bond futures, margin level, SPAN

Tan Hao, Yu Mei, Dong Jichang, Huang Hai. Margin Setting of China's Government Bond Futures: Based on SPAN System[J]. , 2016, 28(6): 3-10.

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