本文關(guān)鍵詞： 融資融券 保證金比例 VaR方法 動(dòng)態(tài)保證金制度　出處：《遼寧大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：融資融券交易，又稱信用交易或者保證金交易，是指投資者在買賣證券時(shí)，向券商交付一定比例保證金以獲得購(gòu)買證券所需資金或出售證券的交易行為。在融資融券業(yè)務(wù)中券商必然面臨下列幾種風(fēng)險(xiǎn)：客戶投資標(biāo)的證券價(jià)格波動(dòng)的風(fēng)險(xiǎn)，標(biāo)的證券流動(dòng)性風(fēng)險(xiǎn)以及由此引起的客戶信用風(fēng)險(xiǎn)等。一個(gè)好的保證金制度既能最大限度的控制風(fēng)險(xiǎn)，又能使融資融券交易的杠桿機(jī)制有效的發(fā)揮。保證金可以是現(xiàn)金，也可以是可充抵保證金的證券。如果證券充抵保證金，那么就不免會(huì)產(chǎn)生擔(dān)保品貶值風(fēng)險(xiǎn)、擔(dān)保品流動(dòng)性風(fēng)險(xiǎn)以及由此造成的客戶信用風(fēng)險(xiǎn)等。 如何科學(xué)地設(shè)置保證金比例與證券保證金折算率在融資融券業(yè)務(wù)風(fēng)險(xiǎn)管理中尤為重要。保證金比例設(shè)定過(guò)低或者可充抵保證金證券折算率過(guò)高都很難防范市場(chǎng)波動(dòng)等因素給賬戶引起的風(fēng)險(xiǎn)，而相反保證金比例設(shè)定過(guò)高或者可充抵保證金證券折算率過(guò)低必然會(huì)影響業(yè)務(wù)開展的規(guī)模和效率。 本文在對(duì)現(xiàn)有固定保證金制度加以介紹與評(píng)述后，選取中國(guó)證券市場(chǎng)為研究對(duì)象，對(duì)相關(guān)歷史數(shù)據(jù)進(jìn)行統(tǒng)計(jì)整理后，基于VaR的方法計(jì)算并評(píng)估融資融券標(biāo)的證券和可充抵保證金證券的風(fēng)險(xiǎn)情況；然后，，以此方法來(lái)確定保證金的比例以及可充抵保證金證券的折算率；最后，進(jìn)一步提出了建立有效的融資融券動(dòng)態(tài)保證金制度的必要性與可行性。在動(dòng)態(tài)保證金制度下，以VaR方法為理論基礎(chǔ)，及時(shí)有效地評(píng)估標(biāo)的證券以及擔(dān)保品的風(fēng)險(xiǎn)狀況；既最大限度預(yù)防風(fēng)險(xiǎn)的發(fā)生，又避免了效率的損失。本文通過(guò)對(duì)融資融券業(yè)務(wù)保證金制度中的保證金比例及擔(dān)保品折算率的初步探討，以期對(duì)管理層及券商在融資融券業(yè)務(wù)中的風(fēng)險(xiǎn)評(píng)估與管理提出一些參考與建議。
[Abstract]:Margin trading, also known as credit trading or margin trading, refers to investors buying and selling securities. The act of delivering a certain amount of margin to a securities firm to obtain the funds required to purchase securities or to sell securities. In the business of margin financing and margin trading, the securities firm must face the following kinds of risks:. The risk of the fluctuation of the price of the securities in which the client invests. The liquidity risk of underlying securities and the resulting customer credit risk. A good margin system can control the risk to the maximum extent. Margin can also be used as a leverage mechanism for margin trading. Margin can be cash or securities that can be charged for margin. If securities are charged against margin, the risk of collateral depreciation will inevitably arise. Collateral liquidity risk and the resulting customer credit risk. How to set up the margin ratio and the margin conversion rate scientifically is particularly important in the risk management of margin trading. It is difficult to guard against the market if the margin ratio is too low or the margin margin conversion rate is too high. The risk to the account caused by factors such as volatility. On the contrary, too high margin ratio or too low conversion rate of rechargeable margin securities will inevitably affect the scale and efficiency of business. After introducing and commenting on the existing fixed margin system, this paper selects the Chinese stock market as the research object, and carries on the statistical analysis to the related historical data. To calculate and evaluate the risk of margin underlying securities and rechargeable margin securities based on VaR method; Then, the ratio of margin and the conversion rate of rechargeable margin securities are determined by this method. Finally, the paper further puts forward the necessity and feasibility of establishing an effective margin system. Under the dynamic margin system, the VaR method is the theoretical basis. Timely and effective assessment of the risk status of the underlying securities and collateral; Not only to prevent the occurrence of risk, but also to avoid the loss of efficiency. This paper discusses the margin ratio and collateral conversion rate in margin system. With a view to management and securities in margin business risk assessment and management put forward some references and suggestions.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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