本文關(guān)鍵詞： 業(yè)務(wù) 結(jié)構(gòu) 風(fēng)險(xiǎn) 連接函數(shù) 資產(chǎn)配置 證券公司　出處：《西南財(cái)經(jīng)大學(xué)》2013年博士論文　論文類(lèi)型：學(xué)位論文

【摘要】：經(jīng)過(guò)百年的發(fā)展歷程,國(guó)際知名的證券公司已從單一的證券承銷(xiāo)商與經(jīng)紀(jì)人逐漸發(fā)展成為業(yè)務(wù)種類(lèi)繁多、分支機(jī)構(gòu)遍布全球的金融產(chǎn)品和服務(wù)提供商,其業(yè)務(wù)不斷多元化、技術(shù)高度工程化,為客戶(hù)提供優(yōu)質(zhì)高效的直接金融服務(wù),發(fā)展成為現(xiàn)代金融的核心力量。我國(guó)證券公司以商業(yè)銀行等機(jī)構(gòu)的國(guó)債服務(wù)部為雛形,經(jīng)過(guò)二十多年的持續(xù)發(fā)展和不斷改進(jìn),現(xiàn)已成為我國(guó)證券市場(chǎng)的重要參與主體,證券業(yè)務(wù)逐步走上了多元化、規(guī)范化的發(fā)展道路。但回顧二十多年的發(fā)展歷程,我國(guó)證券公司仍然難改變“巨盈巨虧”的粗放經(jīng)營(yíng)模式,未能改變“靠天吃飯”的證券業(yè)務(wù)格局,在與國(guó)內(nèi)商業(yè)銀行、保險(xiǎn)公司以及國(guó)外證券公司的多方競(jìng)爭(zhēng)中,始終處于弱勢(shì)地位。 證券公司的風(fēng)險(xiǎn)及其管理一直是證券公司發(fā)展中的主要問(wèn)題。在本世紀(jì)初,風(fēng)險(xiǎn)管理不善等諸多原因?qū)е伦C券行業(yè)連續(xù)虧損,引發(fā)了數(shù)十家證券公司倒閉或被收購(gòu)的證券行業(yè)危機(jī),這是我們必須時(shí)刻提醒謹(jǐn)記的教訓(xùn)。 證券業(yè)務(wù)是證券公司經(jīng)營(yíng)的根本,也是證券公司區(qū)別于商業(yè)銀行和保險(xiǎn)公司等其他類(lèi)型的金融機(jī)構(gòu)的核心特征。證券公司相關(guān)業(yè)務(wù)的發(fā)展是證券公司不斷發(fā)展壯大的前提,是證券公司增強(qiáng)自身實(shí)力,做大做強(qiáng)的基本條件。 在2012年和2013年,我國(guó)證券行業(yè)連續(xù)兩年召開(kāi)“證券業(yè)創(chuàng)新大會(huì)”,隨后十多項(xiàng)支持證券公司進(jìn)行金融創(chuàng)新的政策加速出臺(tái),成為新時(shí)期我國(guó)證券行業(yè)加速改革創(chuàng)新的分水嶺。證券公司在業(yè)務(wù)層面的創(chuàng)新不僅將增加證券公司業(yè)務(wù)收入,還將深遠(yuǎn)的影響證券公司風(fēng)險(xiǎn)及其管理。’基于業(yè)務(wù)發(fā)展與風(fēng)險(xiǎn)管理兩方面的考慮,本文從證券公司業(yè)務(wù)發(fā)展出發(fā),分析業(yè)務(wù)發(fā)展對(duì)證券公司風(fēng)險(xiǎn)的影響,探討在風(fēng)險(xiǎn)可控的情況下的證券公司業(yè)務(wù)發(fā)展路徑,指導(dǎo)我國(guó)證券公司的業(yè)務(wù)發(fā)展以及風(fēng)險(xiǎn)管理實(shí)踐。 具體來(lái)講,本文的研究主要包括以下內(nèi)容： (一)基于業(yè)務(wù)結(jié)構(gòu)的證券公司風(fēng)險(xiǎn)理論。在第一章對(duì)本文的研究對(duì)象、思路、方法以及研究意義進(jìn)行概述后,本文在第二章系統(tǒng)梳理了證券公司業(yè)務(wù)結(jié)構(gòu)理論和風(fēng)險(xiǎn)理論的研究歷史與現(xiàn)狀,隨后在第三章詳細(xì)闡述了本文研究的理論基礎(chǔ)——基于業(yè)務(wù)結(jié)構(gòu)的證券公司風(fēng)險(xiǎn)理論。具體的,我們分析了證券公司業(yè)務(wù)結(jié)構(gòu)形成的原因,探討了證券公司業(yè)務(wù)結(jié)構(gòu)的測(cè)度方法與指標(biāo),并從業(yè)務(wù)收入和業(yè)務(wù)資產(chǎn)兩個(gè)角度定義了證券公司業(yè)務(wù)結(jié)構(gòu)。在證券公司風(fēng)險(xiǎn)理論分析中,本文著重分析了證券公司的風(fēng)險(xiǎn)測(cè)度問(wèn)題,提出用方差(標(biāo)準(zhǔn)差)和風(fēng)險(xiǎn)價(jià)值(VaR)等指標(biāo)測(cè)度證券公司風(fēng)險(xiǎn)。在論述了從業(yè)務(wù)結(jié)構(gòu)角度研究證券公司風(fēng)險(xiǎn)的必要性后,我們提出了本文的研究思路與研究步驟。 (二)證券公司業(yè)務(wù)結(jié)構(gòu)與風(fēng)險(xiǎn)關(guān)系研究。在第四章對(duì)我國(guó)證券公司業(yè)務(wù)結(jié)構(gòu)的歷史、現(xiàn)狀以及未來(lái)發(fā)展環(huán)境進(jìn)行統(tǒng)計(jì)分析后,本文在第五章嘗試構(gòu)建證券公司業(yè)務(wù)結(jié)構(gòu)與風(fēng)險(xiǎn)的關(guān)系模型,并利用我國(guó)100家證券公司的財(cái)務(wù)數(shù)據(jù)進(jìn)行實(shí)證分析,探究業(yè)務(wù)多元化發(fā)展對(duì)證券公司風(fēng)險(xiǎn)的影響。第五章的研究回答了證券公司業(yè)務(wù)結(jié)構(gòu)是否影響證券公司風(fēng)險(xiǎn)這一重要問(wèn)題,為本文后續(xù)研究奠定了理論與實(shí)證基礎(chǔ)。同時(shí)第五章的研究方法、模型及結(jié)論對(duì)于從證券行業(yè)角度分析我國(guó)金融混業(yè)經(jīng)營(yíng)提供新的視角和思路,有利于我國(guó)金融行業(yè)改革發(fā)展。 (三)基于連接函數(shù)(Copula)的證券公司業(yè)務(wù)風(fēng)險(xiǎn)整合研究�？紤]到證券公司業(yè)務(wù)之間的復(fù)雜聯(lián)系,本文第六章嘗試?yán)矛F(xiàn)代統(tǒng)計(jì)理論中的連接函數(shù)(Copula)方法整合證券公司業(yè)務(wù)風(fēng)險(xiǎn)。我們提出了從業(yè)務(wù)角度研究證券公司風(fēng)險(xiǎn)整合的基本框架、研究模型和分析步驟,并以我國(guó)證券公司財(cái)務(wù)數(shù)據(jù)為數(shù)據(jù)基礎(chǔ),采用二元Copula連接證券公司服務(wù)業(yè)務(wù)與投資業(yè)務(wù)兩大風(fēng)險(xiǎn),整合得到證券公司的風(fēng)險(xiǎn)。以上研究試圖從業(yè)務(wù)風(fēng)險(xiǎn)整合的角度回答為什么證券公司業(yè)務(wù)結(jié)構(gòu)會(huì)影響證券公司風(fēng)險(xiǎn)這一核心問(wèn)題。解答這一問(wèn)題,可以解釋本文第五章的實(shí)證結(jié)果,同時(shí)為后續(xù)的從業(yè)務(wù)角度探討證券公司風(fēng)險(xiǎn)管理提供了理論基礎(chǔ)。 (四)考慮風(fēng)險(xiǎn)收益的證券公司最優(yōu)業(yè)務(wù)資產(chǎn)配置研究。在以上研究基礎(chǔ)上,本文第七章結(jié)合現(xiàn)代資產(chǎn)配置理論探討證券公司業(yè)務(wù)資產(chǎn)的最優(yōu)配置問(wèn)題。在第七章中我們選擇風(fēng)險(xiǎn)價(jià)值(VaR)測(cè)度證券公司業(yè)務(wù)風(fēng)險(xiǎn)及總體風(fēng)險(xiǎn),采用可以測(cè)度證券公司業(yè)務(wù)收益間的非線(xiàn)性相關(guān)關(guān)系的Copula工具連接證券公司業(yè)務(wù)風(fēng)險(xiǎn),克服了方差-協(xié)方差矩陣僅能測(cè)度線(xiàn)性相關(guān)關(guān)系的弊端。本章嘗試構(gòu)建同時(shí)考慮企業(yè)收益和風(fēng)險(xiǎn)的證券公司業(yè)務(wù)資產(chǎn)的最優(yōu)配置模型,是本文證券公司業(yè)務(wù)結(jié)構(gòu)及其風(fēng)險(xiǎn)理論在證券公司風(fēng)險(xiǎn)管理上的應(yīng)用。 對(duì)證券公司業(yè)務(wù)結(jié)構(gòu)及其風(fēng)險(xiǎn)進(jìn)行以上理論研究和實(shí)證分析,本文得到以下基本結(jié)論： (一)證券公司業(yè)務(wù)結(jié)構(gòu)影響證券公司的總體風(fēng)險(xiǎn),具有不同特征(如資產(chǎn)規(guī)模等)證券公司在具體的業(yè)務(wù)結(jié)構(gòu)與風(fēng)險(xiǎn)關(guān)系上存在差異。資產(chǎn)規(guī)模大的證券公司在傳統(tǒng)業(yè)務(wù)(經(jīng)紀(jì)業(yè)務(wù)、承銷(xiāo)業(yè)務(wù))上存在規(guī)模經(jīng)濟(jì)優(yōu)勢(shì)：來(lái)自于傳統(tǒng)業(yè)務(wù)的收入比重越大,證券公司風(fēng)險(xiǎn)越低。資產(chǎn)規(guī)模小的證券公司在客戶(hù)資產(chǎn)管理、同業(yè)拆解等業(yè)務(wù)收入比重越大,風(fēng)險(xiǎn)越低。總體而言,資產(chǎn)規(guī)模大的證券公司在大部分業(yè)務(wù)發(fā)展上都占據(jù)較大優(yōu)勢(shì),說(shuō)明了證券公司資產(chǎn)規(guī)模對(duì)降低公司整體風(fēng)險(xiǎn)意義重大。本文認(rèn)為證券公司在未來(lái)多元化發(fā)展時(shí)須不斷提高自身資產(chǎn)等實(shí)力,不斷降低金融風(fēng)險(xiǎn)。同時(shí),證券監(jiān)管層更應(yīng)出臺(tái)政策鼓勵(lì)證券公司采取多種方式做大做強(qiáng),以期降低證券行業(yè)風(fēng)險(xiǎn)。 (二)本文將Copula理論應(yīng)用于證券公司業(yè)務(wù)風(fēng)險(xiǎn)的整合分析,相關(guān)理論與實(shí)證分析證實(shí),對(duì)比于證券公司業(yè)務(wù)完全正相關(guān)假設(shè),利用Copula技術(shù)連接證券公司業(yè)務(wù)風(fēng)險(xiǎn)之后得到的整體風(fēng)險(xiǎn)更接近于真實(shí)的證券公司風(fēng)險(xiǎn)情況。由于證券公司各業(yè)務(wù)之間客觀存在著復(fù)雜相互聯(lián)系,業(yè)務(wù)多元化發(fā)展導(dǎo)致業(yè)務(wù)風(fēng)險(xiǎn)的分散與對(duì)沖效應(yīng),最終表現(xiàn)為隨證券公司業(yè)務(wù)結(jié)構(gòu)而改變的證券公司總體風(fēng)險(xiǎn)。 (三)本文認(rèn)為可以改進(jìn)現(xiàn)代資產(chǎn)配置理論,并將其應(yīng)用于證券公司的業(yè)務(wù)結(jié)構(gòu)優(yōu)化分析。對(duì)原有資產(chǎn)配置理論所做的必要改進(jìn)包括,選擇具有更好的理論和應(yīng)用價(jià)值的風(fēng)險(xiǎn)價(jià)值(VaR)來(lái)測(cè)度證券公司業(yè)務(wù)風(fēng)險(xiǎn)及企業(yè)總體風(fēng)險(xiǎn),以及利用Copula函數(shù)連接證券公司業(yè)務(wù)風(fēng)險(xiǎn)。在此基礎(chǔ)上構(gòu)造的考慮收益和風(fēng)險(xiǎn)下的證券公司業(yè)務(wù)資產(chǎn)的最優(yōu)配置模型具有較好的應(yīng)用價(jià)值,可以構(gòu)造業(yè)務(wù)資產(chǎn)比例的有效區(qū)域,指導(dǎo)證券公司的業(yè)務(wù)發(fā)展實(shí)踐。 本文的創(chuàng)新主要體現(xiàn)在： (一)本文從現(xiàn)有理論與實(shí)證研究出發(fā),嘗試構(gòu)建基于業(yè)務(wù)結(jié)構(gòu)的我國(guó)證券公司風(fēng)險(xiǎn)理論,論述了從業(yè)務(wù)結(jié)構(gòu)角度研究證券公司風(fēng)險(xiǎn)可行性與必要性,為證券公司風(fēng)險(xiǎn)研究提供了新的視角。 (二)本文提出將連接函數(shù)(Copula)技術(shù)應(yīng)用于證券公司多種業(yè)務(wù)風(fēng)險(xiǎn)的整合,有效解決了證券公司非線(xiàn)性的業(yè)務(wù)風(fēng)險(xiǎn)整合難題,解釋了證券公司多業(yè)務(wù)發(fā)展的風(fēng)險(xiǎn)分散化效應(yīng)。本文的研究創(chuàng)新了Copula技術(shù)的應(yīng)用范圍,同時(shí)也驗(yàn)證了Copula技術(shù)在證券公司業(yè)務(wù)風(fēng)險(xiǎn)整合中的有效性。 (三)本文對(duì)現(xiàn)代組合投資理論進(jìn)行改進(jìn),并將其應(yīng)用于證券公司業(yè)務(wù)資產(chǎn)的配置問(wèn)題研究,首次提出在權(quán)衡收益和風(fēng)險(xiǎn)下的證券公司業(yè)務(wù)資產(chǎn)最優(yōu)配置模型,可以用于指導(dǎo)證券公司業(yè)務(wù)發(fā)展,該理論與方法突破了金融理論僅考慮組合資產(chǎn)的瓶頸,為評(píng)估與管理證券公司的整體風(fēng)險(xiǎn)提供了新的思路,具有較高的理論與實(shí)踐意義。 (四)本文所用的研究數(shù)據(jù)全面,是以往證券公司相關(guān)研究不具備的。由于缺乏成熟系統(tǒng)的數(shù)據(jù)庫(kù)資源,本文經(jīng)過(guò)多方努力收集了我國(guó)證券行業(yè)所有106家證券公司的財(cái)務(wù)相關(guān)數(shù)據(jù)作為本文實(shí)證研究的數(shù)據(jù)來(lái)源,為研究的順利開(kāi)展提供了強(qiáng)大的數(shù)據(jù)支持。
[Abstract]:After more than 20 years of development , China ' s securities firm has become an important part of China ' s securities market , and has become the core force of modern finance . The risk and management of securities companies have been the main problems in the development of securities companies . At the beginning of this century , many reasons such as poor risk management have led to the continuous loss of securities industry , which has led to the collapse of dozens of securities companies or the crisis of the securities industry acquired , which is the lesson that we must remind you to remember . Securities business is the fundamental characteristic of the operation of the securities firm , and it is the core characteristic of the securities company that is different from other types of financial institutions , such as commercial banks and insurance companies . The development of the relevant business of the securities company is the precondition for the development of the securities firm , and it is the basic condition for the securities firm to strengthen its own strength and make great efforts . In 2012 and 2013 , our country ' s securities industry held the Securities Industry Innovation Conference for two consecutive years , then more than ten supporting securities companies to carry out the policy acceleration of financial innovation , become the watershed of the new period of China ' s securities industry to accelerate reform and innovation . Specifically , the study mainly includes the following : ( 1 ) Based on the risk theory of securities companies based on business structure , in chapter 1 , the research history and present situation of securities firm ' s business structure theory and risk theory are reviewed in chapter 1 . Then , the paper discusses the reasons of the formation of securities firm ' s business structure , discusses the measure method and index of the securities firm ' s business structure , and puts forward the measure method and index of the securities firm ' s business structure . ( 2 ) The research on the relationship between the business structure and the risk of the securities company . After the analysis of the history , the present situation and the future development environment of the securities firm ' s business structure in chapter 4 , this paper attempts to construct the relationship model of the securities firm ' s business structure and risk in the fifth chapter . This paper attempts to analyze the risk of securities companies from the perspective of business risk . We propose to study the risk of securities firms from the perspective of business risk integration . In Chapter 7 , we choose the risk value ( VaR ) measure the securities firm ' s business risk and the overall risk . In Chapter 7 , we choose the risk value ( VaR ) measure the securities firm ' s business risk and the general risk . Based on the above theoretical research and empirical analysis of the securities firm ' s business structure and its risks , the following basic conclusions are obtained : Securities companies have different characteristics ( such as asset size , etc . ) . The larger the proportion of the traditional business ( brokerage business and underwriting business ) , the lower the risk , the lower the risk of securities companies . In general , the securities companies with large assets have a big advantage in the development of clients ' assets , and the lower the risk . At the same time , the securities regulatory layer should improve their own assets and so on continuously , and reduce financial risks . At the same time , the securities regulatory layer should also introduce policies to encourage the securities companies to do more in a variety of ways to reduce the risk of securities industry . ( 2 ) The paper applies Copula theory to the integration analysis of the business risk of the securities firm . The correlation theory and the empirical analysis confirm that the overall risk obtained after using the Copula technology to connect the business risk of the securities firm is closer to the real securities firm ' s risk . ( 3 ) It is believed that the theory of modern asset allocation can be improved and applied to the optimization analysis of the business structure of the securities company . The necessary improvement of the original asset allocation theory includes the choice of the risk value ( VaR ) with better theory and application value to measure the business risk of the securities firm and the overall risk of the enterprise , and the use of the Copula function to connect the business risk of the securities firm . The innovation of this article is mainly reflected in : ( 1 ) Based on the existing theory and the empirical research , this paper attempts to construct the risk theory of our country ' s securities firm based on the business structure , and discusses the feasibility and necessity of the research on the risk feasibility and the necessity of the securities firm from the perspective of the business structure , and provides a new perspective for the risk research of the securities firm . ( 2 ) This paper puts forward the application of Copula technology in the integration of various business risks in securities companies , effectively solves the problem of the integration of the non - linear business risk of securities companies , explains the risk diversification effect of multi - business development of securities companies . The research of this paper introduces the application scope of Copula technology , and also validates the effectiveness of Copula technology in the integration of securities firm ' s business risk . ( 3 ) The paper improves the theory of modern portfolio investment and applies it to the research of the disposition of the securities company ' s business assets . First , it puts forward the optimal allocation model of the securities firm ' s business assets under the trade - off benefits and risks , which can be used to guide the development of securities companies . The theory and method breaks through the bottleneck of the portfolio assets , provides a new idea for the evaluation and management of the whole risk of the securities firm , and has higher theoretical and practical significance . ( 4 ) The research data used in this paper is comprehensive , which is not available in the relevant research of securities companies in the past . Due to the lack of database resources of mature system , this paper has collected the financial related data of all 106 securities companies in our country ' s securities industry as the data source of the empirical research in our country , and provided powerful data support for the successful implementation of the research .

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.39

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