證券公司自營風險管理案例研究
發(fā)布時間：2018-08-17 14:51
【摘要】：本文基于我國證券公司自營業(yè)務投資的特點，結合目前風險度量方法中較為有效的VaR理論對證券公司自營業(yè)務所面臨的整體證券市場風險進行描述，使用β系數度量了具體證券公司自營業(yè)務所面臨的市場風險大小，并對如何提高我國證券自營業(yè)務的風險管理水平進行了研究。 本文在研究過程中，遵循著風險識別、風險度量、風險控制的思路展開。首先分析了證券公司自營業(yè)務的特點及其所面臨的主要風險，，認為證券自營業(yè)務面臨著系統(tǒng)性及非系統(tǒng)性等多種風險，并認為市場風險是目前證券自營業(yè)務面臨的最主要風險。其次文章介紹了市場風險度量的常用方法，詳細介紹了β和VaR兩種方法，并使用VaR方法對中國證券市場指數進行了風險度量，使用β度量了中信證券自營組合所面臨的市場風險及如何基于β使用股指期貨進行套期保值控制市場風險。最后從最后從控制市場風險、經營決策風險、操作風險、其它措施等方面提出了風險控制的措施。
[Abstract]:Based on the characteristics of proprietary business investment of securities companies in China, this paper describes the overall securities market risks faced by securities companies by combining the VaR theory, which is more effective in the current risk measurement method. This paper uses 尾 coefficient to measure the market risk of the proprietary business of the specific securities companies, and studies how to improve the risk management level of the securities proprietary business in China. In the research process, this paper follows the idea of risk identification, risk measurement and risk control. Firstly, this paper analyzes the characteristics of securities companies' proprietary business and the main risks they face, and points out that the securities proprietary business faces systemic and non-systemic risks, and that the market risk is the most important risk faced by the securities proprietary business at present. Secondly, this paper introduces the common methods of market risk measurement, including 尾 and VaR, and uses VaR method to measure the risk of China's stock market index. This paper uses 尾 to measure the market risk faced by Citic Securities portfolio and how to hedge and control the market risk based on 尾. Finally, the measures of risk control are put forward from the aspects of controlling market risk, management decision risk, operation risk and other measures.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224
本文編號：2187991
[Abstract]:Based on the characteristics of proprietary business investment of securities companies in China, this paper describes the overall securities market risks faced by securities companies by combining the VaR theory, which is more effective in the current risk measurement method. This paper uses 尾 coefficient to measure the market risk of the proprietary business of the specific securities companies, and studies how to improve the risk management level of the securities proprietary business in China. In the research process, this paper follows the idea of risk identification, risk measurement and risk control. Firstly, this paper analyzes the characteristics of securities companies' proprietary business and the main risks they face, and points out that the securities proprietary business faces systemic and non-systemic risks, and that the market risk is the most important risk faced by the securities proprietary business at present. Secondly, this paper introduces the common methods of market risk measurement, including 尾 and VaR, and uses VaR method to measure the risk of China's stock market index. This paper uses 尾 to measure the market risk faced by Citic Securities portfolio and how to hedge and control the market risk based on 尾. Finally, the measures of risk control are put forward from the aspects of controlling market risk, management decision risk, operation risk and other measures.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224
【參考文獻】
相關期刊論文 前1條
1 王昕;殷仲民;陳俊堯;;證券公司自營業(yè)務風險管理分析[J];經濟問題;2006年12期
相關博士學位論文 前1條
1 肖新華;證券公司自營業(yè)務風險管理研究[D];中南大學;2010年
本文編號：2187991
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