本文關(guān)鍵詞： 大自營 金融創(chuàng)新 國際投行 套利策略 OTC 大交易部　出處：《上海交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：由于行業(yè)發(fā)展的自然規(guī)律，自2006年以來，我國券商行業(yè)的經(jīng)濟(jì)業(yè)務(wù)的黃金時(shí)代已然結(jié)束，在通道業(yè)務(wù)利潤率下滑，傭金戰(zhàn)愈發(fā)激烈的環(huán)境下，筆者通過量化分析，檢驗(yàn)出目前國內(nèi)投行的投資效率相當(dāng)?shù)拖拢绾瓮ㄟ^創(chuàng)新業(yè)務(wù)改進(jìn)盈利模式顯得愈發(fā)重要。根據(jù)目前金融創(chuàng)新的政策背景，筆者提出了大自營、大投行、大資管模式作為未來券商發(fā)展趨勢，并就其中大自營問題展開論述。 筆者通過國際投行近幾十年的發(fā)展歷程，總結(jié)其中的成功經(jīng)驗(yàn)和教訓(xùn)，并以高盛、摩根斯丹利、野村證券等大牌投行盈利模式與組織架構(gòu)展開具體分析，提供國內(nèi)券商借鑒。 國內(nèi)券商的現(xiàn)狀為傳統(tǒng)業(yè)務(wù)逐漸停滯發(fā)展甚至萎縮，而創(chuàng)新業(yè)務(wù)則在2012年郭樹清主席提出大力推進(jìn)金融創(chuàng)新后，取得了蓬勃的發(fā)展。筆者在海通證券有多年的工作經(jīng)歷，在本文中以海通證券為實(shí)例，逐一討論傳統(tǒng)業(yè)務(wù)和創(chuàng)新業(yè)務(wù)的現(xiàn)狀與趨勢，結(jié)合海通的組織架構(gòu)，以分析國內(nèi)典型大型券商的業(yè)務(wù)模式優(yōu)劣勢。 第四部分是本論文的核心所在，基于對國際投行的經(jīng)驗(yàn)與國內(nèi)券商現(xiàn)狀的對比，筆者首先概括了目前政策監(jiān)管的發(fā)展方向，在創(chuàng)新在前，監(jiān)管跟上的大背景下，就自營業(yè)務(wù)的具體套利模型做了逐一討論，以國內(nèi)交易所的實(shí)際歷史數(shù)據(jù)為基礎(chǔ)，，對各種理論的套利模型進(jìn)行實(shí)證檢測，為自營業(yè)務(wù)設(shè)計(jì)創(chuàng)新產(chǎn)品和套利策略，其中主要包括無風(fēng)險(xiǎn)套利的ETF一二級市場套利、適合風(fēng)險(xiǎn)厭惡型投資者的滬深300股指期貨期現(xiàn)套利、通過相同標(biāo)的ETF之間的價(jià)差波動(dòng)實(shí)現(xiàn)套利的ETF配對交易、行業(yè)擇時(shí)與輪動(dòng)及行業(yè)動(dòng)量策略套利和結(jié)構(gòu)化產(chǎn)品套利。 OTC作為券商融資平臺(tái)、簽訂互換協(xié)議（對賭）以及推出各種金融創(chuàng)新產(chǎn)品的零售平臺(tái)，對于大自營模式有舉足輕重的意義，筆者在此也用了一定的篇幅進(jìn)行闡述。最后，在組織架構(gòu)方面，筆者提出應(yīng)由以產(chǎn)品和業(yè)務(wù)為中心逐步轉(zhuǎn)變?yōu)橐源笞誀I為中心，最終形成零售客戶、機(jī)構(gòu)客戶、企業(yè)客戶和財(cái)富管理四大事業(yè)部，并組成“大交易部”部門。
[Abstract]:Because of the natural law of industry development, since 2006, the golden age of economic business of China's securities industry has been over, in the environment of declining profit margin of channel business and increasingly fierce commission war. Through quantitative analysis, the author tests that the investment efficiency of domestic investment banks is rather low, how to improve the profit model through innovative business becomes more and more important. According to the current policy background of financial innovation. The author puts forward the model of big self-support, big investment bank and large capital management as the developing trend of securities companies in the future, and discusses the problem of large self-management. Through the development of international investment banks in recent decades, the author summarizes the successful experiences and lessons, and carries out a specific analysis of the profit model and organizational structure of the major investment banks such as Goldman Sachs, Morgan Stanley, Nomura Securities and so on. To provide reference for domestic securities companies. The current situation of domestic securities firms is that the traditional business gradually stagnates and even shrinks, while the innovation business is put forward by President Guo Shuqing in 2012 to promote financial innovation. The author has many years of work experience in Haitong Securities. Taking Haitong Securities as an example, this paper discusses the current situation and trend of traditional business and innovative business one by one, and combines the organizational structure of Haitong. In order to analyze the advantages and disadvantages of the business model of typical domestic large securities companies. The 4th part is the core of this paper. Based on the comparison between the experience of international investment banks and the current situation of domestic securities firms, the author first summarizes the development direction of the current policy supervision, ahead of innovation. Under the background of supervision, the paper discusses the specific arbitrage model of proprietary business one by one. Based on the actual historical data of domestic exchanges, the arbitrage models of various theories are tested empirically. Design innovative products and arbitrage strategies for proprietary business, including risk-free arbitrage of the ETF secondary market arbitrage, suitable for risk-averse investors of the CSI 300 stock index futures arbitrage. The arbitrage ETF pairing transaction is realized by the fluctuation of the price difference between the same target ETF, the industry timing and rotation and the industry momentum strategy arbitrage and the structured product arbitrage. As a securities financing platform, OTC signed swap agreements (bet) and launched a variety of financial innovation products retail platform, which is of great significance for the large proprietary model. Finally, in the organizational structure, the author proposed that the product and business as the center should be gradually changed to a large self-centered, and finally formed retail customers, institutional customers. Enterprise customer and wealth management four divisions, and formed a "big trading" department.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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