Abstract: The static level of futures margin in China is presently only an empirical figure, and it is not sensitive to fluctuations. Sometimes, this margin level cannot cover the risk enough when the market fluctuates severely. The BMM, POT, Return Level, and ES methods are used to study the gold futures trading and clearing margin levels combined with liquidity risks. Results show the trading margin level should be 5.2% and should increase to 6.2% when the risk increases. It is suggested that the clearing margin should be changed from 5% to 5.8% for covering risk from three months to one year.

摘要： 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，在大部分时间里投资者资金被过度占用，但当市场波动剧烈时又往往不能覆盖足够的风险。本研究利用BMM、极值POT、重现水平和期望不足研究了黄金期货结算保证金和交易保证金水平，同时考虑了流动性风险。研究发现正常交易日交易保证金水平应为 5.2%,风险加大时可提高到6.2%。另外，结算保证金率可视风险覆盖时间长短的需要选择5%至5.8%。