Research of Risk Measure for the CSI 300 Index Futures

Abstract

The CSI 300 stock index futures are the first financial futures in China; it is also one of the effective hedging tools for investors in stock market. Effective management for risk of the CSI 300 stock index future market has important theoretical and practical significance. In this paper, on the basis of the existing risk measure research, we adopt the method of Monte Carlo respectively on long position and short position of CSI 300 stock index future to calculate the maximum loss, which is called value at risk. Additionally, we analyze the characteristics of the risk for the CSI 300 stock index future market since listed.