中文摘要：

为了解决标准资产组合风险分析（SPAN）保证金系统的开放性问题，本文采用测度风险的参数、半参数和非参数VaR方法和描述相关结构的时变Copula技术，给出了VaR—SPAN系统中主要输入参数的设定方案．实例计算结果表明，与采用VaR．SPAN计算流程计算得到的国内期货产品组合所需的保证金大小相比，交易所实际收取的保证金偏高．

英文摘要：

In order to solve the publicity issue of the standard portfolio analysis of risk （SPAN） margin system, this paper adoptes parametric, semi-parametric, non-parametric value-at-risk （VaR） methods measuring the risk, and time-varying Copula technique describing the dependence structure to provide a technical solution to set the main input parameters of VaR-SPAN system. Using real example the margin requirement of domestic futures portfolio are calculated with VaR-SPAN calculation process. The results show that the actual margins charged by domestic exchange are excessive.