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 volatil_x005fity 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 accord_x005fing 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．