| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 90 === Abstract
Along with a price limit and capital requirement, the existence of a margin decrease the likelihood of a customer defaulting, a broker going bankrupt and systemic instability of the futures market. This paper applies two sub-theories of generalized extreme value distribution and generalized Pareto distribution inherited from extreme value theory to examine the prudent margin policy for price extremal movements. The theoretical framework focuses explicitly on tail returns, thereby properly computing prudent margin level for large levels of risk, This paper finds： (1) the assumption of normality to impose a smaller margin level since the presence of a fat-tail. (2) on the basis of margin insolvency using an expected shortfall, the margin requirements of stock index futures across contracts with a Nikkei225 contract being the more risky, and S&P500, CAC40, and DAX futures indexes are the least risky. (3) the ability to capture extreme price movements using expected shortfall is more suitable than the approach of the VaR based on generalized extreme value distribution. (4) the proxy of the appropriate threshold using an expected shortfall can capture well the extreme price movements and can be an excellent risk measure instrument to set the prudent margin level.
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