本文選題：證券公司 + 融資融券��； 參考：《沈陽大學(xué)》2012年碩士論文

【摘要】：自2010年3月融資融券交易被批準(zhǔn)以來，融資融券的業(yè)務(wù)利潤迅速成為試點(diǎn)證券公司的五大業(yè)務(wù)利潤來源之一。融資融券為證券公司提供了賣空交易平臺(tái)，也放大了證券公司的市場風(fēng)險(xiǎn)。目前國外的證券公司已經(jīng)使用VaR等金融管理工具評估及防范融券融券的市場風(fēng)險(xiǎn)，部分國內(nèi)證券公司也采用類似方法來管理傳統(tǒng)業(yè)務(wù)的市場風(fēng)險(xiǎn)。但證券公司對于融資融券市場風(fēng)險(xiǎn)的粗放管理，如沿用嚴(yán)格的保證金制度，已經(jīng)不能適應(yīng)證券市場快速發(fā)展的要求。 由于我國融資融券交易開放較晚，關(guān)于證券公司融資融券市場風(fēng)險(xiǎn)評估及防范的研究文獻(xiàn)仍然是單純的定性分析。因而，從證券公司對融資融券市場風(fēng)險(xiǎn)評估和相關(guān)研究現(xiàn)狀來看，使用VaR等成熟的金融管理工具，對證券公司融資融券市場風(fēng)險(xiǎn)的量化評估很有必要。另外，到目前為止，融資融券交易已經(jīng)有兩年半的歷史了，反映證券公司融資融券市場風(fēng)險(xiǎn)的數(shù)據(jù)已經(jīng)形成。因此，本文結(jié)合風(fēng)險(xiǎn)管理理論和VaR風(fēng)險(xiǎn)管理工具對融資融券市場風(fēng)險(xiǎn)進(jìn)行評估，并從證券公司角度提供防范建議，，其主要內(nèi)容分為以下五個(gè)部分： 第一部分是緒論，主要包括研究背景、研究意義、文獻(xiàn)綜述、研究思路和主要?jiǎng)?chuàng)新點(diǎn)等幾個(gè)方面。 第二部分主要對證券公司融資融券市場風(fēng)險(xiǎn)評估的相關(guān)理論概述進(jìn)行論述，主要包括融資融券市場風(fēng)險(xiǎn)的內(nèi)涵與特點(diǎn)、證券公司融資融券市場風(fēng)險(xiǎn)的理論依據(jù)和證券公司融資融券市場風(fēng)險(xiǎn)的評估方法等三個(gè)方面。 第三部分主要對證券公司的融資融券市場風(fēng)險(xiǎn)及其評估現(xiàn)狀進(jìn)行介紹，闡述存在的問題及其原因。 第四部分主要以宏源證券、中信證券等五只股票和上證指數(shù)為例，從單個(gè)融資融券標(biāo)的證券和資產(chǎn)組合等兩個(gè)方面對證券公司融資融券市場風(fēng)險(xiǎn)進(jìn)行評估，然后對評估結(jié)果進(jìn)行應(yīng)用。 第五部分從融資融券市場風(fēng)險(xiǎn)預(yù)警機(jī)制、管控流程及評估手段等幾個(gè)方面，為證券公司防范融資融券市場風(fēng)險(xiǎn)提出建議。
[Abstract]:Since the margin trading was approved in March 2010, the profit of margin trading has quickly become one of the five major profit sources of the pilot securities companies. Margin financing for securities companies to provide a short-selling platform, but also magnified the market risk of securities companies. At present, foreign securities companies have used financial management tools such as VaR to evaluate and guard against the market risks of short securities and short securities. Some domestic securities companies also adopt similar methods to manage the market risks of traditional business. However, the extensive management of margin market risk of securities companies, such as the use of strict margin system, has not been able to meet the requirements of rapid development of the securities market. Due to the late opening of margin trading in China, the research literature on the risk assessment and prevention of securities companies' margin trading is still a simple qualitative analysis. Therefore, it is necessary to use mature financial management tools, such as VaR, to evaluate the market risk of securities companies. In addition, so far, margin trading has a history of two and a half years, reflecting the securities companies margin market risk data has been formed. Therefore, this article combines the risk management theory and the VaR risk management tool to evaluate the market risk of margin and margin, and provides the precautionary advice from the perspective of the securities company, the main content of which is divided into the following five parts: The first part is the introduction, mainly includes the research background, the research significance, the literature review, the research thought and the main innovation and so on several aspects. The second part mainly discusses the related theory of securities company margin market risk assessment, mainly including the connotation and characteristics of margin market risk. The theoretical basis of securities company margin market risk and the evaluation method of securities company margin market risk. The third part mainly introduces the market risk and its evaluation status of securities companies, and expounds the existing problems and reasons. The fourth part mainly takes Hongyuan Securities, Citic Securities and other five stocks and Shanghai Stock Exchange Index as examples to evaluate the market risk of securities companies' margin margin from two aspects: single margin underlying securities and portfolio. Then the evaluation results are applied. The fifth part puts forward some suggestions for securities companies to guard against the market risk of margin and short selling from the aspects of early warning mechanism, control process and evaluation means.
【學(xué)位授予單位】：沈陽大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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