本文關(guān)鍵詞：基于杠桿率的證券業(yè)發(fā)展和風(fēng)險(xiǎn)控制研究　出處：《北京交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 杠桿率 證券公司 業(yè)務(wù)創(chuàng)新 行業(yè)發(fā)展 風(fēng)險(xiǎn)控制

【摘要】：高杠桿運(yùn)營(yíng)是金融中介機(jī)構(gòu)普遍特征,即便是經(jīng)歷了2008年經(jīng)濟(jì)危機(jī)后“去杠桿化”浪潮,國(guó)際投資銀行的杠桿率仍舊維持在10倍以上。但是我國(guó)的證券行業(yè)卻不具備這一特征,而且杠桿率有逐年遞減之勢(shì),伴隨而來(lái)的是證券業(yè)的發(fā)展現(xiàn)狀不足以支撐金融市場(chǎng)和國(guó)民經(jīng)濟(jì)的快速發(fā)展。目前諸多問(wèn)題造成我國(guó)證券行業(yè)的金融功能邊緣化,這使得監(jiān)管層認(rèn)識(shí)到放松監(jiān)管、鼓勵(lì)創(chuàng)新才是促進(jìn)證券業(yè)發(fā)展的有效措施。而本文發(fā)現(xiàn)較低的杠桿率水平正是限制我國(guó)證券業(yè)規(guī)模發(fā)展和業(yè)務(wù)創(chuàng)新的主要影響因素之一。 本文意在研究論證高杠桿化運(yùn)營(yíng)在我國(guó)證券業(yè)創(chuàng)新發(fā)展中的促進(jìn)作用以及具體的轉(zhuǎn)型措施。文章首先從理論上論證我國(guó)證券業(yè)高杠桿運(yùn)營(yíng)的可行性；然后通過(guò)財(cái)務(wù)分析和對(duì)比分析的研究方法分析證券公司的資產(chǎn)負(fù)債表和業(yè)務(wù)結(jié)構(gòu)與國(guó)際投資銀行的差異,并從提高證券公司杠桿率水平的角度提出改進(jìn)建議和具體措施；最后利用理論推導(dǎo)和實(shí)證分析方法從宏觀層面研究杠桿率水平對(duì)證券業(yè)行業(yè)規(guī)模的影響。本文的研究成果認(rèn)為證券公司因?yàn)槠漭^高的風(fēng)險(xiǎn)管理能力而具備高杠桿運(yùn)營(yíng)的條件,可以提高資產(chǎn)負(fù)債表的杠桿率水平。同時(shí)證券公司應(yīng)該增加長(zhǎng)期債務(wù)比重,增加短期負(fù)債渠道,為業(yè)務(wù)創(chuàng)新提供資金支持和提供流動(dòng)性；在資產(chǎn)配置上應(yīng)該減少低收益的現(xiàn)金資產(chǎn)比例和高風(fēng)險(xiǎn)的直接投資規(guī)模,通過(guò)配置多樣化的交易性金融資產(chǎn)維持資產(chǎn)的流動(dòng)性和安全性。文章還提出通過(guò)發(fā)展資本中介型業(yè)務(wù)提高證券公司的杠桿率,充分利用起其資產(chǎn)負(fù)債表,提高證券公司的資本運(yùn)營(yíng)效率,并從股權(quán)交易類業(yè)務(wù)、固定收益類業(yè)務(wù)和利息傭金類業(yè)務(wù)三個(gè)方向給出具體業(yè)務(wù)轉(zhuǎn)型措施。資本中介型業(yè)務(wù)能夠打破證券公司原有業(yè)務(wù)客戶與自身資本的隔離,提高杠桿率水平的同時(shí)也有效的控制自有資本的風(fēng)險(xiǎn)暴露程度。在這種業(yè)務(wù)轉(zhuǎn)型模式下,本文從市場(chǎng)風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)和信用風(fēng)險(xiǎn)三個(gè)角度提出了三維一體的綜合風(fēng)險(xiǎn)管理理念和模式,并且建議證券公司建立基于IT技術(shù)的全資產(chǎn)覆蓋風(fēng)險(xiǎn)分析引擎以應(yīng)對(duì)末來(lái)的風(fēng)險(xiǎn)沖擊。最后,本文理論推導(dǎo)了杠桿率對(duì)證券公司收益率和資產(chǎn)規(guī)模的影響,并利用歷史數(shù)據(jù)實(shí)證分析在我國(guó)實(shí)際的市場(chǎng)環(huán)境中,通過(guò)提高杠桿率來(lái)提高證券業(yè)盈利能力和擴(kuò)大證券行業(yè)規(guī)模是有效的。本文共有
[Abstract]:The operation is generally highly leveraged financial intermediaries, even experienced in 2008 after the economic crisis deleveraging, the international investment bank leverage ratio is still maintained at more than 10 times. But China's securities industry does not have this feature, and leverage has decreasing trend, with the is the rapid development of the current situation of the development of the securities industry is not enough to support the financial market and the national economy. At present, many problems caused by the financial function of marginalization of the securities industry, which makes the understanding of regulators to deregulation, encourage innovation is the effective measures to promote the development of securities industry. And this paper found that the lower the level of leverage ratio is is one of the main factors restricting the development of the securities industry scale and business innovation.
This article is intended to promote research and demonstration high leverage in the development of China's securities industry innovation and the transformation feasibility measures. Firstly, theoretically, the highly leveraged operation of China's securities industry; and then through the research methods of financial analysis and comparative analysis of the differences of securities company's balance sheet and business structure and international the investment bank, and puts forward specific measures and suggestions from improving the securities company leverage level angle; finally using the method of theoretical derivation and empirical analysis from the macro level of leverage rate impact on the securities industry scale. The research results of this paper that securities companies because of its high risk management ability and high lever operation conditions can improve the balance sheet leverage level. At the same time the securities company should increase the proportion of long-term debt, short-term negative increase The debt channel, to provide financial support and provide liquidity to business innovation; in the asset allocation should reduce the low yielding cash asset ratio and high risk of direct investment, the liquidity and safety of diversification of trading financial assets to maintain assets. The article also proposed to increase the leverage of the company through the securities intermediary development the business capital, make full use of its balance sheet, improve the securities company's capital operation efficiency, and from the equity trading business, fixed income business and interest commission business in three directions are given specific business restructuring measures. Isolation capital intermediary type of business of securities companies to break the original business customers with their own capital, increase leverage the level of risk is the effective control of its own capital exposure. In this business transformation mode, this article from the market risk, liquidity risk Three aspects of credit risk and puts forward a three-dimensional integrated risk management concept and mode, and suggested the securities companies to establish IT technology of total assets to cover the risk analysis engine to deal with at the end of the risk on the basis of the impact. Finally, this paper deduced the leverage ratio and asset scale effect benefit of securities companies, and the use of history the data in the empirical analysis of China's actual market environment, by increasing the leverage to improve the profitability of the securities industry and expand the scale of the securities industry is effective. This paper consists of

【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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