本文選題：證券投資者保護(hù)基金　切入點(diǎn)：倒向隨機(jī)微分方程　出處：《天津大學(xué)》2014年碩士論文

【摘要】：我國證券市場(chǎng)很顯然是一個(gè)剛剛興起的市場(chǎng)，然而近幾年來由于金融危機(jī)或者內(nèi)部操作風(fēng)險(xiǎn)等原因，市場(chǎng)出現(xiàn)了大量證券公司倒閉進(jìn)而投資者紛紛從證券市場(chǎng)撤資的現(xiàn)象作為議價(jià)能力較低的群體，中小證券投資者無疑是利益容易受到損害的群體基于此，2005年我國ǎ證券投資者保護(hù)基金管理辦法ǐ，并在同年成立了證券投資者保護(hù)基金公司，標(biāo)志著我國證券投資者保護(hù)基金制度步入起始階段 中國證券投資者保護(hù)基金的基本功能就是按照相關(guān)規(guī)則籌集資金管理基金和使用基金，使其順利實(shí)現(xiàn)保護(hù)投資者的目標(biāo)，其資金主要來源于作為會(huì)員的證券公司每年向證券投資者保護(hù)基金交付的會(huì)員費(fèi)用；其主要支出為當(dāng)證券公司被撤銷關(guān)閉和破產(chǎn)時(shí)，按照國家有關(guān)政策對(duì)債權(quán)人予以的償付，即對(duì)投資者的損失進(jìn)行補(bǔ)償 本文立足于我國證券市場(chǎng)的現(xiàn)狀以及證券投資者保護(hù)基金的相關(guān)理論，運(yùn)用定量的方法，將保護(hù)基金資金來源（證券公司等繳納的會(huì)費(fèi)等）投資運(yùn)作機(jī)制以及證券投資者賬戶結(jié)構(gòu)統(tǒng)一到一個(gè)分析過程中，使得研究與先前相比具有相對(duì)精確性系統(tǒng)性和前瞻性文章主要通過倒向隨機(jī)微分方程（BSDE）的方法建立系統(tǒng)模型將證券投資者保護(hù)基金的一整套研究過程巧妙的統(tǒng)一起來，達(dá)到已知期末狀態(tài)數(shù)據(jù)而獲得起初要收取會(huì)員費(fèi)用的目的文章首先估計(jì)某一時(shí)刻券商的破產(chǎn)比例，進(jìn)而獲得在某一既定范圍內(nèi)的中小投資者的賠付比例及金額；其次，將期末賠付金額與與投資收益相結(jié)合，建立線性倒向隨機(jī)微分方程，根據(jù)一類特殊線性倒向隨機(jī)微分方程的顯式解，獲得期初資金需求值，并據(jù)此闡述保護(hù)基金公司的籌資投資決策文章對(duì)我國證券投資者保護(hù)基金在籌資賠償?shù)葐栴}上采取的經(jīng)驗(yàn)?zāi)Ｊ竭M(jìn)行了探討，并對(duì)完善我國證券投資者保護(hù)基金提出了一些有針對(duì)性的建議 我國建立證券投資者保護(hù)基金具有非常深遠(yuǎn)的意義，一方面，以往我國政府一直以來承擔(dān)起證券公司破產(chǎn)清算導(dǎo)致的后果，即對(duì)受損的證券投資者進(jìn)行賠償，保護(hù)基金的建立將改變這種現(xiàn)狀；另一方面，我國證券投資者保護(hù)體系在投資運(yùn)作機(jī)制監(jiān)管職能等各方面還很不完善，保護(hù)基金的建立為此提供了一個(gè)新的方法，當(dāng)然，，目前我國保護(hù)基金非常需要借鑒世界各國成功經(jīng)驗(yàn)和做法
[Abstract]:China's securities market is obviously a newly emerging market. However, in recent years, due to the financial crisis or internal operational risks, A large number of securities companies closed down in the market, and investors withdrew from the securities market one after another as a group with low bargaining power. There is no doubt that small and medium-sized securities investors are vulnerable groups. Based on this, in 2005, China set up securities investor protection fund management measures, and set up the securities investor protection fund company in the same year. It marks the initial stage of China's securities investor protection fund system. The basic function of China Securities Investor Protection Fund is to raise funds, manage funds and use funds in accordance with relevant rules, so that they can smoothly achieve the goal of protecting investors. Its funds are mainly derived from the annual membership fees paid by a securities company as a member to the Fund for the Protection of Securities investors; its main expenses are the repayment of creditors in accordance with the relevant policies of the State when the securities company is revoked, closed or bankrupt, Compensation for investors' losses. Based on the current situation of China's securities market and the relevant theories of securities investors' protection funds, this paper uses quantitative methods. Unifying the operating mechanism for the protection of the fund's sources of funds (contributions paid by securities companies, etc.) and the structure of the securities investor's accounts in one analysis process, This makes the research more accurate, systematic and forward-looking than before, mainly through the method of backward stochastic differential equation (BSDE) to establish a systematic model to integrate the whole research process of the securities investor protection fund ingeniously. First, the paper estimates the bankruptcy rate of securities firms at a certain time, and then obtains the proportion and amount of compensation paid by small and medium-sized investors within a given range. Combining the final compensation amount with the investment income, the linear backward stochastic differential equation is established. According to the explicit solution of a special kind of linear backward stochastic differential equation, the initial capital demand value is obtained. Based on this, the paper discusses the empirical model of the fund protection fund in our country, such as fund raising compensation and so on, based on the analysis of the financing and investment decision of the protection fund company. Some suggestions are put forward to perfect the protection fund of China's securities investors. The establishment of securities investor protection fund in China has far-reaching significance. On the one hand, our government has been bearing the consequences of bankruptcy liquidation of securities companies in the past, that is, compensation to the injured securities investors. The establishment of the protection fund will change this situation; on the other hand, the protection system of the securities investors in our country is not perfect in all aspects, such as the regulatory function of the investment operation mechanism. The establishment of the protection fund provides a new method for this, of course, At present, it is very necessary for China's protection fund to learn from the successful experiences and practices of various countries in the world.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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