股指期货是以某种股票指数为标的资产的期货合约.由于股票指数本身的波动性很大,因此对股指期货风险的度量就有较大的难度.通过对VaR模型、ES模型、POT模型的研究比较,找到其中比较适合我国股指期货的风险度量模型.
Stock Index contract was a stock contract which Sign property was some Stock Index. Stock Index was often taken high fluctuation. So it was very difficult to measure Stock Index contract risk. It is studied and compared with VaR model, ES model and POT model in order to find out which was more suitable for our country's Stock Index contract risk measure.