發(fā)布時間：2018-04-16 00:24

  本文選題：證券公司 + FICC業(yè)務　； 參考：《華東師范大學》2017年碩士論文

【摘要】：FICC即固定收益證券、貨幣及大宗商品,是投資銀行針對機構客戶提供的一項品種多樣、服務專業(yè)的綜合金融服務,該業(yè)務整體風險大、風險結構復雜,國內外對此均缺乏系統(tǒng)性研究,國內證券公司的相關風險管理體系建設也在摸索之中。在分析FICC業(yè)務風險種類及其特性的基礎上,總結得出確定有效的綜合性風險度量方法是做好FICC業(yè)務風險管理、促進業(yè)務協(xié)調發(fā)展的關鍵。通過總結國內外理論及實踐中綜合風險管理的各項方法,比較簡單加總、加權加總以及Copula-VaR法在FICC業(yè)務綜合風險度量上的優(yōu)劣,針對G證券公司在該業(yè)務風險管理上存在的實踐前提不足和綜合風險度量精確度不足等問題,從理論層面選取Copula-VaR法進行優(yōu)化。本文通過模擬該券商持倉組合數(shù)據(jù)進行了實證分析,對比得出Copula-VaR方法在應用前提、次可加性描述及厚尾風險描述等方面均優(yōu)于其他方法,切實解決了 G證券公司綜合風險度量上的問題,避免了風險的高估,在同等風險限額的前提下,可減少風險資本的無效占用,有助于促進業(yè)務發(fā)展�；诶碚撗芯考皩嵶C分析的過程和結論,對G證券公司FICC業(yè)務部門應用Copula-VaR法提高綜合風險度量精確度提出相關配套措施,以期對證券公司優(yōu)化FICC業(yè)務風險管理體系、促進業(yè)務健康發(fā)展提供一定的借鑒意義。
[Abstract]:FICC, or fixed income securities, currency and commodities, is an integrated financial service provided by investment banks to institutional clients in a variety of ways and specialized in services. The overall risk of the business is high and the risk structure is complex.There is a lack of systematic research at home and abroad, and the construction of the related risk management system of domestic securities companies is also in the process of exploration.On the basis of analyzing the types and characteristics of FICC business risks, it is concluded that the key to do well in FICC business risk management and promote the coordinated development of business is to determine an effective comprehensive risk measurement method.By summing up the methods of comprehensive risk management in theory and practice at home and abroad, this paper compares the advantages and disadvantages of the methods of adding, weighting and Copula-VaR in the comprehensive risk measurement of FICC business.In order to solve the problems such as insufficient practical premise and insufficient accuracy of comprehensive risk measurement in the risk management of G securities company, the Copula-VaR method is selected to optimize from the theoretical level.In this paper, the empirical analysis is made by simulating the portfolio data of the securities firm, and the conclusion is drawn that the Copula-VaR method is superior to other methods in terms of application premise, secondary additivity description and risk description with thick tail.It can effectively solve the problem of comprehensive risk measurement of G securities company, avoid the risk overestimation, reduce the invalid occupation of venture capital under the premise of the same risk limit, and help to promote the development of business.Based on the process and conclusion of theoretical research and empirical analysis, this paper puts forward some relevant measures to improve the accuracy of comprehensive risk measurement by applying Copula-VaR method to the FICC business department of G Securities Company, in order to optimize the risk management system of FICC business for the securities company.To promote the healthy development of business to provide certain reference significance.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F224;F832.51

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