Research on Financial Index Product Innovation and Risk Control

Author: Xu Guoxiang
Publisher:
Publish Date: 2005-05-01
Features: This book adopts a combination of qualitative and quantitative research methods. In the qualitative research aspect, it examines the product design and risk control methods of major index innovation products in developed markets such as Europe and the United States, as well as emerging markets in Asia. Using inductive methods, it summarizes their commonalities and individual characteristics, serving as a mirror for China's index compilation and product innovation. In the design of index option products, it employs comparative research methods. In the quantitative research aspect, the book utilizes event study methods, VaR methods, EWMA methods, extreme value theory, GARCH models, minimum variance models, mean-variance models, and CAPM models, among others, to determine suitable contract specifications for index innovation products in China's securities market and propose risk control measures. It investigates how to quantify risks technically and control them institutionally, filling the gap in systematic research on stock index product innovation in China. The operational suggestions for stock index innovation products proposed in the research can serve as an important basis for transactions and decision-making by the China Securities Regulatory Commission and other securities regulatory authorities. The research outcomes further refine the theory and methods of statistical index compilation in China, enrich the treasure trove of statistical index theory and application, expand the application of quantitative statistical analysis methods in the financial industry, and can be incorporated into textbooks on statistics and financial statistics in China.