Futures contract is a highly leveraged financial instrument, and futures trading has the characteristics of high returns and high risks, so the control and management of futures trading risks is very important. VaR value can let futures investors know whether the risk in the current market is too large, and can let futures investors judge whether the timing of futures trading is appropriate and whether it is suitable for spot trading of futures contracts before doing futures trading. If the VaR value is larger than usual, it means that the opportunity cost of entering the market on the same day will be greater. On the contrary, if the VaR value is smaller than usual, it means that the opportunity cost of entering the market on the same day will be smaller. For futures investors who already own future positions, VaR can tell investors whether the risks they have taken have exceeded the tolerable limit. The sharp fluctuation of futures prices greatly increased the risk of the market. If corresponding measures are not taken, it is inevitable for investors and even some futures brokerage companies to explode their positions. In the international futures market, in order to cope with the potential market risks brought about by sharp price fluctuations, futures exchanges generally take effective preventive measures by raising margin. Improving the level of trading margin is a market-oriented means to prevent risks in the futures market, which is flexible, transparent and fair. This can enhance the ability of investors to resist the risk of price fluctuations, so as not to cause exchange members and investors to break through their positions due to large price fluctuations, thus improving the overall ability of the market to resist risks.

The main purpose of futures margin is to reduce the risk of default and maintain trading credit. If we only consider it from this perspective, then the safest insurance method is to set a deposit of 100%. In this way, futures investors will have no chance to default at all, but they will also eliminate the leverage function of the futures market. Therefore, in addition to credit risk control, the design of margin mechanism must also consider the efficiency of capital use. On the one hand, the ideal margin can control the risk of default, on the other hand, it still provides attractive leverage ratio and maintains the capital efficiency of small and broad market participants. Too high margin weakens the efficiency of funds and reduces the willingness to participate in the market, while too low margin makes the settlement center and settlement members face too much credit risk, so the margin design must strike a balance between these two extremes. We know that the risks covered by the futures margin should refer to the gains and losses of future positions held under normal trading conditions, so the margin should not be designed as a mechanism to cover extreme market fluctuations, which is just in line with the characteristics of VaR value in estimating the maximum possible loss under normal market conditions.

In futures trading, the performance integrity of both parties is an important key to futures trading. In order to reduce the risk of default, the futures market ensures the control of trading risk through a series of strict risk control mechanisms. First of all, the settlement center of the futures exchange is involved in the process of buying and selling futures contracts, becoming the seller of the buyer and the buyer of the seller, replacing one party as the counterparty, and at the same time bearing the rights and obligations of the other party in the futures contract. After the settlement center of the futures exchange is involved in futures trading, it is equivalent to ensuring the performance of futures contracts with the credit of the settlement center, so that futures investors don't have to worry about the credit risk of their counterparties, but at the same time, the settlement center also bears the credit risk of both parties to the transaction, exposing itself to the loss risk caused by the default of either party. In order to prevent futures investors from defaulting and protect the settlement center, participants in futures trading must use the received margin as a reserve for future losses. The daily mark-to-market system is implemented, and the open gains and losses are calculated daily according to the closing price of the futures contract on the same day. The daily gains are added to the margin account, and the losses are deducted from the margin account. The balance in the margin account shall not be lower than the maintenance margin level, otherwise the margin will be added to ensure that investors have sufficient loss reserve.

It can be seen that the futures margin system is divided into two levels: the first level is the settlement margin paid by member brokers to the settlement center; The second layer is the customer deposit paid by investors to futures brokerage companies. This margin system originated from the dual-track system of futures trading. The actual process of futures contract trading includes two levels. Futures investment customers must issue futures trading instructions to futures brokerage companies, and futures brokerage companies will place orders with futures exchanges for customers to match. Because futures investors open accounts and place orders in futures brokerage companies, their accounts are managed by futures brokerage companies, and their margin accounts are also monitored by futures brokerage companies. Usually, we call the margin charged by futures brokerage companies to futures trading customers as customer margin. When a futures brokerage company accepts a client's entrustment to trade on a futures exchange, it must ensure that the futures positions can fulfill the responsibilities of futures contracts. Therefore, according to the number of futures contracts bought and sold, the commission company must deposit the corresponding deposit in the futures settlement center, which is called settlement deposit. The futures settlement center only needs to monitor the margin accounts of futures brokerage companies, and futures brokerage companies manage the margin accounts of their investors. In other words, the futures clearing center bears and controls the risks of futures clearing companies, while the futures clearing members bear and control the default risks of their customers. The current margin design system of futures exchange is based on the principle of ensuring the amount of losses caused by one-day fluctuation of futures prices. By referring to the recent changes in futures prices, the maximum possible loss value (risk value) in a single day is estimated with a confidence level of 99.7% (three standard deviations), and then converted into the margin level. Margin (taking index futures as an example) is calculated as follows:

Settlement margin = index × index value per point × risk price coefficient

Among them, the risk price coefficient is determined by VaRmax with the largest risk value in four "sample groups" (30 trading days, 60 trading days, 90 trading days and 180 trading days), that is,

Risk price coefficient =Max{VaRmax, 5%}

The lower limit of the risk price coefficient is 5%, in order to avoid the fluctuation of the index decreasing over a period of time, which leads to the gradual decrease of the risk price coefficient and the low level of margin. If the fluctuation range of the future index suddenly expands, the original margin level will not be enough to bear the risk of loss. Comparing the difference between the current system (such as adjusting the margin ratio when the change reaches 65,438+05%) and the daily VaR estimation, it can be clearly seen that the margin is adjusted only when the change exceeds a certain range (such as 65,438+05%), so that the margin presents a step-by-step change (red line), while the daily calculated margin level is different (blue line). When the stepped margin level is higher than the daily adjusted margin level, it means futures. When the stepped margin level is lower than the daily adjusted margin level, it means that the futures exchange faces the default risk of insufficient margin commitment. This shows that the VaR value can better supplement the deficiency of the current margin system, thus making the margin level of futures contracts more reasonable. If we visit some large group companies, such as Brazilian coffee manufacturers, German steel manufacturers and Asian airlines, we will find that they all need to hedge against the adverse changes in commodity prices, exchange rates and interest rates. The most commonly used hedging tools are futures and options products traded on exchanges. Their relationship with futures brokers is mainly reflected in paying futures margin, trading and paying additional margin. As a member of the futures exchange, the futures brokerage company must transfer the deposit paid by its customers to the settlement company. However, the initial margin paid by brokers to the exchange is usually lower than that paid by customers, mainly because some positions of customers can offset each other. In addition, in most futures exchanges, the margin standard for brokerage companies is lower than the requirements of brokerage companies for customers.

Then, why don't futures brokerage companies reduce the margin charged to customers? If the margin is reduced, the futures brokerage company can provide customers with more competitive quotations: that is, the same fee and lower margin. Lowering the margin is more attractive to customers who are sensitive to margin or have higher financing costs. The funds saved by lowering the margin are not from the pockets of futures brokerage companies, so this is a transaction that is beneficial to both parties. Because many customers who protect goods have low credit ratings, financing is more expensive. However, this is also the limitation of the profit rate reduction strategy. If this strategy is used too much, the futures brokerage company will bear the credit risk of some customers. In addition, when the market fluctuates violently, customers are more likely to default, which makes the extra margin during the default period more.

In the face of the above situation, the VaR method just comes in handy. That is to say, futures brokerage companies can optimize their margin scale through VaR method, so that they can make up for their daily losses in most cases. This work includes two aspects, one is to ensure that the loss of any customer will not put the brokerage company in an untenable position, and the other is to ensure that the expected loss brought by credit risk is lower than the gain brought by trading commission.

The calculation of VaR value can be used to evaluate these two situations. If the asset correlation of customer transactions is weak, or the probability of customer default is low, and there are few open positions, then the VaR method will reduce the futures margin more than the current method, thus improving the market competitiveness of futures brokerage companies. Although the margin system is used in futures trading, what is actually traded is the total value of futures contracts. Therefore, it should be noted that the total value of futures contracts (portfolios) should be used to evaluate the VaR, not the investment margin.

The following is the basic process for calculating the VaR value:

First, calculate the sample yield. Obtain the daily closing price of the sample and calculate its yield, and the formula is as follows:

Where r is the rate of return, p is the closing price and t is the time.

2. Calculate the sample mean and standard deviation: the sample mean and standard deviation are calculated by the following formulas respectively:

Third, whether the average number of samples is zero is detected. Since the number of samples is usually greater than 30, statistical number z is used for detection.

Fourth, calculate the VaR value.

VaR=μ-Zaσ

Where α is 1- confidence.

We take buying and selling first-hand index futures contracts as an example to illustrate the calculation of VaR value. Suppose the latest closing price of the index is 4839, and the total value of futures contracts is 4839×200= 967800. Then, investors should first select the data of about half a year (usually using the daily return rate of the stock index), then calculate their unit risk coefficient by the above four steps, and finally multiply the unit risk coefficient by the total contract value to get the VaR value of the index futures contract. Of course, if investors invest more money themselves, the greater the risk they need to bear.