【摘要】：2010年3月,A證券公司等六家擁有較強(qiáng)綜合實(shí)力的券商首次正式開(kāi)通了融券融資業(yè)務(wù),掀開(kāi)了我國(guó)正式運(yùn)行雙邊信用交易的序幕。作為一種創(chuàng)新的信用交易方式,融券融資交易的特點(diǎn)是允許賣(mài)空交易以及具有杠桿效應(yīng)。融券融資業(yè)務(wù)可以說(shuō)是一把“雙刃劍”,在為券商擴(kuò)大收益的同時(shí)也加大了面臨的市場(chǎng)風(fēng)險(xiǎn)。因此,如何有效進(jìn)行融資融券市場(chǎng)風(fēng)險(xiǎn)的控制成為我國(guó)證券公司得以長(zhǎng)期穩(wěn)定發(fā)展的關(guān)鍵。本文以融券融資業(yè)務(wù)的首批試點(diǎn)券商 A證券公司為研究對(duì)象,結(jié)合相關(guān)市場(chǎng)風(fēng)險(xiǎn)管理知識(shí),通過(guò)CVaR風(fēng)險(xiǎn)測(cè)度方法進(jìn)行實(shí)證研究,深入剖析了融資融券市場(chǎng)風(fēng)險(xiǎn)的控制問(wèn)題,并提出了相關(guān)政策建議。首先,全面闡述了本文的研究背景、研究方法、研究意義、研究思路及創(chuàng)新點(diǎn)等,并對(duì)相關(guān)文獻(xiàn)進(jìn)行了歸納和總結(jié);其次,介紹了融券融資業(yè)務(wù)市場(chǎng)風(fēng)險(xiǎn)的相關(guān)理論,分別從融券融資業(yè)務(wù)的相關(guān)概念和發(fā)展現(xiàn)狀、面臨市場(chǎng)風(fēng)險(xiǎn)的內(nèi)涵以及市場(chǎng)風(fēng)險(xiǎn)管理理論等展開(kāi)了論述;再次,針對(duì)A證券公司,在介紹其融券融資業(yè)務(wù)發(fā)展概況的基礎(chǔ)上,深入探究了該業(yè)務(wù)市場(chǎng)風(fēng)險(xiǎn)的成因、表現(xiàn)以及控制現(xiàn)狀等;然后,采用實(shí)證手段,研究并驗(yàn)證了基于GARCH CVaR模型來(lái)進(jìn)行融資融券市場(chǎng)風(fēng)險(xiǎn)控制的合理性,為下一章提出構(gòu)建基于CVaR法的動(dòng)態(tài)保證金制度和市場(chǎng)風(fēng)險(xiǎn)預(yù)警系統(tǒng)的事中控制措施奠定基礎(chǔ);最后,從事前、事中、事后三環(huán)節(jié)針對(duì)A證券公司控制融券融資市場(chǎng)風(fēng)險(xiǎn)問(wèn)題提出政策建議。本文的主要結(jié)論如下:首先,通過(guò)對(duì)A證券公司融券融資業(yè)務(wù)發(fā)展現(xiàn)狀、市場(chǎng)風(fēng)險(xiǎn)管理狀況等研究,本文認(rèn)為該公司的融券融資市場(chǎng)風(fēng)險(xiǎn)控制體系較為健全,管理程度較為嚴(yán)格,尤其在保證金制度方面采取固定保證金比例,這雖能有效控制此業(yè)務(wù)可能帶來(lái)的市場(chǎng)風(fēng)險(xiǎn),但卻也極大影響了投資者的資金使用效率,不利于公司實(shí)現(xiàn)避險(xiǎn)和獲利雙贏目的。其次,在案例分析中,本文基于VaR GARCH模型和CVaR GARCH模型分別對(duì)A證券公司標(biāo)的證券 中信證券進(jìn)行風(fēng)險(xiǎn)度量,通過(guò)比較分析以及Kupieec和DLC事后檢驗(yàn)可得,VaR模型和CVaR模型在度量單個(gè)金融資產(chǎn)市場(chǎng)風(fēng)險(xiǎn)上均具有效性,且采用CVaR方法較VaR方法更能覆蓋標(biāo)的證券可能面臨的市場(chǎng)風(fēng)險(xiǎn)。因此,基于GARCH CVaR模型來(lái)控制融券融資業(yè)務(wù)的市場(chǎng)風(fēng)險(xiǎn)是行之有效的,這為下一章提出構(gòu)建基于CVaR值的動(dòng)態(tài)保證金制度和市場(chǎng)風(fēng)險(xiǎn)預(yù)警系統(tǒng)的事中控制措施打下基礎(chǔ)。綜上所述,本文認(rèn)為A證券公司可嘗試通過(guò)GARCH CVaR方法來(lái)控制其融券融資業(yè)務(wù)的市場(chǎng)風(fēng)險(xiǎn)。最后,本文提出A證券公司應(yīng)從事前、事中、事后三個(gè)環(huán)節(jié)進(jìn)行融券融資市場(chǎng)風(fēng)險(xiǎn)控制的政策建議。事前,完善A證券公司融券融資市場(chǎng)風(fēng)險(xiǎn)的內(nèi)控體系;事中,A證券公司基于CVaR值建立融券融資市場(chǎng)風(fēng)險(xiǎn)動(dòng)態(tài)保證金制度和市場(chǎng)風(fēng)險(xiǎn)預(yù)警系統(tǒng);事后,A證券公司設(shè)立融券融資市場(chǎng)風(fēng)險(xiǎn)披露機(jī)制與市場(chǎng)風(fēng)險(xiǎn)處置機(jī)制。
[Abstract]:In March 2010, six securities firms, such as A Securities Company and other securities companies with strong comprehensive strength, officially opened the margin financing business for the first time, which opened the prelude to the formal operation of bilateral credit transactions in China. As an innovative way of credit trading, margin trading is characterized by allowing short selling and leverage. Margin financing can be said to be a "double-edged sword", which increases the market risk while expanding the income for securities companies. Therefore, how to effectively control the risk of margin market becomes the key to the long-term and stable development of securities companies in China. In this paper, the first batch of securities company of short margin financing business is taken as the research object, combining with the knowledge of market risk management, the paper makes an empirical study through the method of CVaR risk measurement, and deeply analyzes the problem of controlling the market risk of margin financing and margin trading. And put forward the relevant policy recommendations. First of all, this paper comprehensively describes the research background, research methods, research significance, research ideas and innovation points, and summarized the relevant literature. Secondly, introduced the relevant theory of market risk of margin financing business. Respectively from the securities financing business related concepts and development status, facing the connotation of market risk and market risk management theory, etc.; thirdly, for A securities company, on the basis of introducing the general situation of its margin financing business development, This paper probes into the causes, performance and control status of the market risk in this business. Then, the rationality of the risk control of margin market based on GARCH CVaR model is studied and verified by the empirical method. It lays a foundation for the next chapter to establish the dynamic margin system based on CVaR and the control measures of market risk early warning system. After the three links A Securities Company to control the risk of margin financing market policy recommendations. The main conclusions of this paper are as follows: firstly, through the research on the current situation of margin financing business and market risk management of A Securities Company, this paper thinks that the securities margin financing market risk control system of this company is relatively sound. More strict management, especially in the margin system to adopt a fixed margin ratio, although this business can effectively control the potential market risks, but also greatly affected the efficiency of the use of funds by investors. It is unfavorable for the company to achieve a double-win goal of avoiding risks and making profits. Secondly, in the case study, based on VaR GARCH model and CVaR GARCH model, we measure the risk of the underlying securities of A securities company. Through comparative analysis and post-test of Kupieec and DLC, it can be concluded that Kupieec model and CVaR model are effective in measuring the market risk of individual financial assets, and CVaR method can cover the market risk of underlying securities better than VaR method. Therefore, it is effective to control the market risk of margin financing based on GARCH / CVaR model, which lays a foundation for constructing dynamic margin system based on CVaR value and market risk early warning system in the next chapter. To sum up, A Securities Company can try to control the market risk of its margin financing business by GARCH CVaR method. Finally, this paper puts forward the policy suggestions on the risk control of margin financing market in three aspects: before, during, and after the A securities company should engage in. In advance, we should perfect the internal control system of margin financing market risk of A securities company, and establish the dynamic margin system and market risk warning system based on CVaR value. Afterwards, A Securities Company set up the mechanism of market risk disclosure and market risk disposal.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51

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本文編號(hào)：2199423