本文選題：證券公司 + 系統(tǒng)性風(fēng)險(xiǎn)　； 參考：《山西財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：2008年美國(guó)次貸危機(jī)和2010年歐洲債務(wù)危機(jī)爆發(fā)后，系統(tǒng)性風(fēng)險(xiǎn)成為人們關(guān)注的熱點(diǎn)內(nèi)容。系統(tǒng)性風(fēng)險(xiǎn)如何形成，存在于哪些行業(yè)，如何加以防范都是擺在學(xué)術(shù)界和實(shí)務(wù)界面前的一道難題。絕大多數(shù)經(jīng)濟(jì)學(xué)家將研究重點(diǎn)放在銀行業(yè)上，因?yàn)樯虡I(yè)銀行系統(tǒng)性風(fēng)險(xiǎn)有著極強(qiáng)的傳染性，一旦爆發(fā)將造成巨大的損失。但是我們應(yīng)該同時(shí)看到證券行業(yè)一直以來(lái)都是高危行業(yè)，盡管此次金融危機(jī)沒(méi)有對(duì)我國(guó)證券業(yè)構(gòu)成影響，，然而隨著我國(guó)證券公司開(kāi)放程度逐漸增加，業(yè)務(wù)范圍不斷擴(kuò)大，衍生金融產(chǎn)品頭寸越來(lái)越多，證券公司的脆弱性將顯現(xiàn)出來(lái)，因此有必要對(duì)我國(guó)證券業(yè)的系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行研究。 本文通過(guò)對(duì)證券業(yè)和銀行業(yè)的資產(chǎn)負(fù)債結(jié)構(gòu)和經(jīng)營(yíng)方式等方面進(jìn)行比較分析發(fā)現(xiàn)：與銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)相比，證券業(yè)系統(tǒng)性風(fēng)險(xiǎn)在傳染規(guī)律與傳染程度兩方面都有各自的特征。在傳染規(guī)律方面，系統(tǒng)性風(fēng)險(xiǎn)在證券行業(yè)內(nèi)廣泛傳播的主要原因是證券公司經(jīng)營(yíng)模式以及監(jiān)管標(biāo)準(zhǔn)等的同質(zhì)化；在傳染程度方面，證券業(yè)系統(tǒng)性風(fēng)險(xiǎn)傳染程度較小。此外，本文還分析了證券業(yè)系統(tǒng)性風(fēng)險(xiǎn)日益凸顯的原因：包括證券公司日益國(guó)際化、金融集團(tuán)規(guī)模逐步擴(kuò)大和金融衍生產(chǎn)品持有頭寸的不斷增加。 為了具體量化我國(guó)證券業(yè)系統(tǒng)性風(fēng)險(xiǎn)的大小，本文采用基于GARCH模型的CoVaR方法對(duì)我國(guó)13家上市證券公司對(duì)整個(gè)證券業(yè)系統(tǒng)性風(fēng)險(xiǎn)的貢獻(xiàn)度進(jìn)行了實(shí)證分析。實(shí)證結(jié)果顯示，興業(yè)證券、華泰證券、光大證券、中信證券和廣發(fā)證券這五家證券公司比其余8家公司的相對(duì)系統(tǒng)性風(fēng)險(xiǎn)溢出值要大很多，主要原因是這5家證券公司在證券行業(yè)中處于系統(tǒng)性重要地位，而且與其他金融機(jī)構(gòu)有較多的業(yè)務(wù)或者資金方面的關(guān)聯(lián)。 在理論研究和實(shí)證分析的基礎(chǔ)上，本文最后對(duì)我國(guó)證券業(yè)系統(tǒng)性風(fēng)險(xiǎn)監(jiān)管提出了政策建議。我國(guó)證券業(yè)監(jiān)管當(dāng)局應(yīng)該立足于本國(guó)實(shí)際情況，充分借鑒國(guó)外成熟證券公司風(fēng)險(xiǎn)監(jiān)管的成功經(jīng)驗(yàn)，從內(nèi)部和外部?jī)煞矫鎸?duì)證券公司的風(fēng)險(xiǎn)實(shí)施監(jiān)管。首先，從內(nèi)部風(fēng)險(xiǎn)監(jiān)管角度說(shuō)，督促證券公司建立完善的內(nèi)部風(fēng)險(xiǎn)預(yù)警機(jī)制與科學(xué)系統(tǒng)的內(nèi)部風(fēng)險(xiǎn)監(jiān)管體系；其次，參照對(duì)銀行業(yè)實(shí)施的監(jiān)管措施，將巴塞爾協(xié)議中的監(jiān)管方法創(chuàng)新性地應(yīng)用于證券公司，對(duì)證券公司提出外部風(fēng)險(xiǎn)監(jiān)控要求，建立以?xún)糍Y本為核心的資本監(jiān)管體系；最后，在適當(dāng)時(shí)間以適當(dāng)標(biāo)準(zhǔn)對(duì)證券公司計(jì)提逆周期資本緩沖，從而避免證券公司倒閉對(duì)其他金融機(jī)構(gòu)甚至實(shí)體經(jīng)濟(jì)產(chǎn)生風(fēng)險(xiǎn)傳染效應(yīng)，將損失降到最低水平。
[Abstract]:After the subprime mortgage crisis in 2008 and the European debt crisis in 2010, systemic risk has become a hot topic. How to form systemic risk, which industry exists and how to prevent it is a difficult problem in academic and practical circles. Most economists focus on banking because systemic risk in commercial banks is highly contagious and will cause huge losses if it breaks out. However, at the same time, we should also see that the securities industry has always been a high-risk industry. Although the financial crisis has not affected the securities industry in China, however, with the gradual increase in the degree of openness of securities companies in China, the scope of business has been continuously expanded. As the position of derivative financial products becomes more and more, the vulnerability of securities companies will appear, so it is necessary to study the systemic risk of securities industry in China. Through the comparative analysis of the structure of assets and liabilities and the mode of operation of the securities industry and the banking industry, this paper finds that compared with the banking systemic risk, the securities industry systemic risk has its own characteristics in both the law of contagion and the degree of contagion. In the aspect of contagion law, the main reason for the widespread spread of systemic risk in the securities industry is the homogeneity of the management mode and the regulatory standard of the securities company, while in the aspect of the degree of contagion, the degree of systemic risk contagion in the securities industry is relatively small. In addition, this paper also analyzes the reasons for the increasingly prominent systemic risks in the securities industry, including the increasing internationalization of securities firms, the gradual expansion of financial groups and the continuous increase of financial derivatives holdings. In order to quantify the systemic risk of securities industry in China, this paper uses CoVaR method based on GARCH model to analyze the contribution of 13 listed securities companies to the systemic risk of securities industry. The empirical results show that the relative systemic risk spillover values of SocGen Securities, Huatai Securities, Everbright Securities, CITIC Securities and Guangfa Securities are much larger than the relative systemic risk spillover values of the other eight companies. The main reason is that these five securities firms are systemically important in the securities industry and have more business or financial connections with other financial institutions. On the basis of theoretical research and empirical analysis, this paper finally puts forward some policy recommendations on the regulation of securities systemic risk in China. China's securities regulatory authorities should base themselves on the actual situation of our country, fully learn from the successful experience of risk supervision of foreign mature securities companies, and supervise the risk of securities companies from both internal and external aspects. First of all, from the perspective of internal risk supervision, we urge securities companies to establish a sound internal risk warning mechanism and a scientific system of internal risk supervision. Secondly, referring to the regulatory measures implemented to the banking industry, Applying the supervision method of Basel Accord to securities companies innovatively, putting forward the external risk monitoring requirement to securities companies, and establishing the capital supervision system with net capital as the core; finally, In order to avoid the risk contagion effect on other financial institutions or even the real economy, the securities companies should be counted for countercyclical capital buffers according to the appropriate standards at the appropriate time, and the losses will be reduced to the lowest level.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.39

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