【摘要】：2010年3月31日融資融券交易的推出，標(biāo)志著我國的信用交易正式開始運行，結(jié)束了我國一直以來“單邊市”的情況。由于融資融券特有的杠桿性、做空機(jī)制等特點，使得證券公司在開展此項業(yè)務(wù)時，在享受到業(yè)務(wù)創(chuàng)新所帶來的收入外還將面臨著更大的風(fēng)險，如何有效地管理風(fēng)險成為監(jiān)管部門和證券公司在設(shè)計融資融券業(yè)務(wù)規(guī)則時面臨的首要課題。因此，對融資融券風(fēng)險管理進(jìn)行研究具有重要的現(xiàn)實意義。 本文介紹了融資融券業(yè)務(wù)的相關(guān)基礎(chǔ)知識，融資融券業(yè)務(wù)的推出對證券公司的影響，系統(tǒng)的梳理了證券公司所面臨的風(fēng)險以及主要風(fēng)險防范措施，并著重闡述了我國目前的保證金體系。我們將投資組合的方法引入到現(xiàn)行的動態(tài)保證金制度中，根據(jù)每只股票的歷史表現(xiàn)賦予每只股票一個風(fēng)險系數(shù)值，根據(jù)賬戶中每只股票的總市值計算每只股票的權(quán)重，風(fēng)險系數(shù)值的加權(quán)平均數(shù)為該投資者當(dāng)天的維持擔(dān)保比例，，當(dāng)客戶的保證金比例小于維持擔(dān)保比例時，證券公司向客戶發(fā)出追加保證金通知。這樣，投資于風(fēng)險較大的股票的投資者就要繳納更多的保證金，而投資于風(fēng)險較小的股票的投資者只需繳納較少的保證金，從而達(dá)到了鼓勵投資、控制風(fēng)險的目的。我們采用萬科A和長江電力兩只股票的歷史數(shù)據(jù)作為依據(jù)，進(jìn)行了數(shù)據(jù)模擬，模擬結(jié)果證明，改進(jìn)后的保證金制度能夠更有效地減少證券公司所遭受的損失。
[Abstract]:The launch of margin trading on March 31, 2010 marks the official start of credit transactions in China and ends the "one-sided market" situation in China. Because of the special leverage and short selling mechanism of margin financing and short selling, the securities companies will face more risks in the process of carrying out this business, besides enjoying the revenue brought by the business innovation. How to effectively manage risk has become the most important issue that regulators and securities companies face when designing the rules of margin trading. Therefore, the financing margin risk management research has important practical significance. This paper introduces the basic knowledge of margin trading business, the impact of the introduction of margin trading business on securities companies, and systematically combs the risks faced by securities companies and the main risk prevention measures. And has elaborated our country present margin system emphatically. We introduce the portfolio method into the current dynamic margin system, assign a risk factor value to each stock based on the historical performance of each stock, and calculate the weight of each stock based on the total market value of each stock in the account. The weighted average of the risk coefficient value is the maintenance guarantee ratio of the investor on the same day. When the margin ratio of the client is less than that of the maintenance guarantee ratio, the securities company sends the customer an additional margin notice. In this way, investors who invest in riskier stocks have to pay more margin, while those who invest in less risky stocks have to pay less margin, thus encouraging investment and controlling risk. Based on the historical data of Vanke A and Changjiang Electric Power, we simulate the data. The simulation results show that the improved margin system can reduce the losses suffered by securities companies more effectively.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 朱鴻粟;;淺談我國的融資融券業(yè)務(wù)[J];財會通訊;2011年02期

2 袁莉;;試析我國證券市場的融資融券業(yè)務(wù)[J];財會通訊;2011年05期

3 吳作鳳;;基于投資者視角談融資融券交易會計核算[J];財會月刊;2010年31期

4 馬司鼎;楊箐;;融資融券業(yè)務(wù)對我國證券市場影響分析[J];東方企業(yè)文化;2011年08期

5 顧明;;參與融資融券:風(fēng)險細(xì)細(xì)數(shù)來[J];股市動態(tài)分析;2010年06期

6 曹慧娟;王曉帆;;融資融券業(yè)務(wù)對證券公司的影響及風(fēng)險控制[J];經(jīng)營管理者;2010年08期

7 呂鴻;;融資融券交易的四大風(fēng)險[J];華人世界;2010年05期

8 巴曙松;中國資本市場開放的路徑選擇[J];經(jīng)濟(jì)研究參考;2003年31期

9 朱相平;朱灝;;融資融券:理論綜述及在我國的實踐意義[J];經(jīng)濟(jì)視角(下);2011年01期

10 劉中文;李軍;;融資融券業(yè)務(wù)風(fēng)險與控制研究[J];經(jīng)濟(jì)縱橫;2007年06期

相關(guān)碩士學(xué)位論文 前1條

1 畢世強(qiáng);融資融券A股市場影響研究[D];大連理工大學(xué);2010年

本文編號：2387996