中文摘要：

主要研究沪深300股指期货保证金水平的设置及违约率的确定问题.首先运用Hill估计法和VaR-x估计法求解股指数据的全样本、左尾及右尾的尾部指数估计值,得到保证金水平分别为3.571 7％和5.334％.再将估算得到的保证金水平与实际发生的历史价格波动进行回溯检验,发现在违约率为1％的假设下,Hill估计法和VaR-x估计法的保证金水平都涵盖不了99％的资产价格波动.接着考虑违约率继续上升到2％、3％和4％的情形.研究结果表明：1）对Hill估计法,当违约率等于3％时,其保证金水平可以涵盖97％以上的价格波动;2）对VaR-x估计法,当违约率在1％-3％时,求得的保证金水平较为合理.在进一步的比较研究中还发现,由于Hill估计法的尾部指数在左尾和右尾之间并无显著差异,因此不必对空头和多头设置不同的保证金水平;但VaR-x估计法求得左尾的保证金水平远远低于右尾的保证金水平,因此需要对空头和多头设置不同的保证金水平.

英文摘要：

The article mainly researches the setting of the margin levels of Shanghai and Shenzhen 300 stock index futures and the determination of the default rate.Firstly,it applies the methods of both Hill estimation and VaR-x estimation to solve the estimated values of the tailing exponential of the full-samples,the left-tail and the right-tail,and finds the margin levels are 3.571 7％ and 5.334％ respectively.Secondly,it makes a backtracking test by comparing the estimated values of the margin levels with the actual historic pricing volatility and discovers that the margin levels derived from neither Hill estimation nor VaR-x estimation can cover 99 ％ of the asset pricing volatilities under the assumption that the default rate is 1％.Then it considers the default rate being 2 ％,3 ％ and 4 ％ respectively.The results show：（1）.when the default rate equals 3 ％,the margin level derived from Hill estimation can cover more than 97 ％ of the pricing volatilities ; when the default rate is within 1％-3 ％,the margin level derived from VaR-x estimation is reasonable.There is no significant difference between the left-tail and the right-tail of the tailing exponential got by the Hill estimation.Therefore,it does not need to set different margin levels for short positions and the long positions.But according to VaR-x estimation,the margin level of left-tail is significantly lower that the margin level of right-tail,so different margin levels are needed for short positions and the long positions.