【摘要】：盡管融資融券在國(guó)外已有一定的發(fā)展歷史,是比較常見(jiàn)的一種交易類型,但對(duì)中國(guó)來(lái)說(shuō),其還是一種新興的交易模式。在正式開(kāi)始運(yùn)行之前,此項(xiàng)業(yè)務(wù)曾一度被禁止,但隨著中國(guó)市場(chǎng)的完善,相關(guān)制度逐漸建立完全。受國(guó)外市場(chǎng)的影響,再加上中國(guó)資本市場(chǎng)的不斷發(fā)展,我國(guó)的融資融券業(yè)務(wù)正式出現(xiàn)在中國(guó)證券市場(chǎng)。但是目前我國(guó)的融資融券業(yè)務(wù)還存在不少有待解決的問(wèn)題,其中風(fēng)險(xiǎn)控制問(wèn)題是最重要的問(wèn)題之一。 從試運(yùn)行開(kāi)始之時(shí),管理層就提出制定保證金制度,保證金制度是規(guī)定投資者在每筆融資或者融券過(guò)程中,交納一定比例保證金,利用保證金沖抵帳戶可能發(fā)生虧損的制度。保證金的設(shè)定是在融資融券交易中阻擋風(fēng)險(xiǎn)的一道屏障,但是設(shè)定為多少是較為有難度的問(wèn)題,無(wú)論設(shè)定的過(guò)高或是過(guò)低都會(huì)使得交易的順利發(fā)展受到影響。目前我國(guó)采取的是固定的保證金比例制度,這個(gè)制度對(duì)于現(xiàn)行的市場(chǎng)情況可謂有利也有弊,所以如何設(shè)立保證金制度對(duì)投資者和證券公司來(lái)說(shuō)都很重要。 在VaR的方法的基礎(chǔ)上,本文將針對(duì)中國(guó)市場(chǎng)建立一個(gè)最合理的保證金比例制度。本文選取證券市場(chǎng)已有數(shù)據(jù)進(jìn)行處理,結(jié)合我國(guó)現(xiàn)行制度,通過(guò)模型分析,設(shè)定合理的彈性保證金制度,每日產(chǎn)生一個(gè)最低保證金比例。通過(guò)具體分析,這個(gè)比例能夠及時(shí)反映市場(chǎng)標(biāo)的證券價(jià)格變動(dòng)所產(chǎn)生的風(fēng)險(xiǎn),并有效加以防范,合理的保證金比例對(duì)客戶以及證券公司都是隔離風(fēng)險(xiǎn)的有效保護(hù)措施。不僅滿足了客戶及證券公司的需求,還保證了風(fēng)險(xiǎn)控制下的證券市場(chǎng)的健康發(fā)展。 通過(guò)此種方法,本文還對(duì)制定完成保證金比例之后的后續(xù)計(jì)劃提出了建議,提出了建立動(dòng)態(tài)風(fēng)險(xiǎn)預(yù)警系統(tǒng)。此種系統(tǒng)通過(guò)每日提取相應(yīng)的信息數(shù)據(jù),動(dòng)態(tài)地計(jì)算出客戶賬戶是否面臨風(fēng)險(xiǎn),并作出及時(shí)反應(yīng),為是否應(yīng)該追加保證金或是否應(yīng)該平倉(cāng)作出判斷,確保不會(huì)出現(xiàn)風(fēng)險(xiǎn)失控這一現(xiàn)象。 由于研究手段的限制,本文的研究并不能做到十分完善,所以本文在最后基于此次的研究,對(duì)融資融券的后續(xù)研究給出了一些預(yù)測(cè)和建議。
[Abstract]:Although margin financing has a certain history of development in foreign countries, it is a relatively common type of trading, but for China, it is still a new trading mode. The business was banned before it officially started, but as the Chinese market improved, the system gradually became fully established. Due to the influence of foreign markets and the continuous development of China's capital market, China's margin and margin business has formally appeared in China's securities market. However, there are still many problems to be solved in margin trading, among which risk control is one of the most important problems. From the beginning of the trial operation, the management put forward the establishment of margin system, which stipulates that investors pay a certain proportion of the margin in each financing or margin lending process, and make use of the margin to offset the loss of the account. The setting of margin is a barrier against risk in margin trading, but it is difficult to set it up. Whether it is too high or too low, the smooth development of trading will be affected. At present, China adopts a fixed margin ratio system, which is beneficial to the current market situation, so how to set up the margin system is very important for investors and securities companies. On the basis of VaR's method, this paper will establish a reasonable margin ratio system for Chinese market. This paper selects the existing data of the securities market to deal with it, combines the current system of our country, through the model analysis, sets a reasonable flexible margin system, and produces a minimum margin ratio every day. Through the concrete analysis, this proportion can reflect the risk caused by the change of the market underlying securities price in time, and effectively guard against it. A reasonable margin ratio is an effective protection measure for the clients and the securities companies to isolate the risk. Not only to meet the needs of customers and securities companies, but also to ensure the healthy development of the securities market under risk control. Through this method, this paper also puts forward some suggestions to establish the follow-up plan after the margin ratio is completed, and puts forward the establishment of the dynamic risk early warning system. By extracting corresponding information data on a daily basis, the system dynamically calculates whether the customer account is at risk and responds in a timely manner to determine whether margin should be added or whether positions should be closed. Make sure the risk doesn't get out of hand. Because of the limitation of research means, the research in this paper can not be very perfect, so this paper gives some predictions and suggestions on the follow-up study of margin and margin.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前2條

1 李卉;融資融券模式下市場(chǎng)中性策略的實(shí)證研究[D];首都經(jīng)濟(jì)貿(mào)易大學(xué);2013年

2 張一男;基于VaR方法的融資融券保證金比例研究[D];遼寧大學(xué);2013年

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本文編號(hào)：2375325