CAJ | 학술논문

中国目前静态的期货保证金水平只是一个经验数字，对价格波动并不敏感，大部分时间投资者资金被过度占用，当市场波动剧烈时又不能覆盖足够的风险。本文研究了基于非正态分布下黄金期货保证金水平，利用广义极值分布和广义帕累托分布来拟合尾部风险。结果显示：黄金期货存在尖峰厚尾现象，在考虑流动性风险后，现有的保证金水平有下调空间，应设定为4.38％，当风险加大时应提高到5.15％。
중국목전정태적기화보증금수평지시일개경험수자，대개격파동병불민감，대부분시간투자자자금피과도점용，당시장파동극렬시우불능복개족구적풍험。본문연구료기우비정태분포하황금기화보증금수평，이용엄의겁치분포화엄의파루탁분포래의합미부풍험。결과현시：황금기화존재첨봉후미현상，재고필류동성풍험후，현유적보증금수평유하조공간，응설정위4.38％，당풍험가대시응제고도5.15％。
The static level of futures margin in China presently is only an empirical figure, and it is not sensitive to fluc-tuations.Sometimes, this margin level cannot cover the risk sufficiently when the market fluctuates severely.This paper is a research on the margin levels of China's gold futures based on abnormal distributions.Generalized Extreme Value ( GEV) dis-tribution and Pareto distribution are used to capture the risks of the tail of the gold futures.Results show that in combination with liquidity risks, the normal margin level should be 4.38%and should increase to 5.15%when the risk increases.