基于杠杆率的证券业发展和风险控制研究

发布时间：2017-12-31 07:38

本文关键词：基于杠杆率的证券业发展和风险控制研究　出处：《北京交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：高杠杆运营是金融中介机构普遍特征,即便是经历了2008年经济危机后“去杠杆化”浪潮,国际投资银行的杠杆率仍旧维持在10倍以上。但是我国的证券行业却不具备这一特征,而且杠杆率有逐年递减之势,伴随而来的是证券业的发展现状不足以支撑金融市场和国民经济的快速发展。目前诸多问题造成我国证券行业的金融功能边缘化,这使得监管层认识到放松监管、鼓励创新才是促进证券业发展的有效措施。而本文发现较低的杠杆率水平正是限制我国证券业规模发展和业务创新的主要影响因素之一。本文意在研究论证高杠杆化运营在我国证券业创新发展中的促进作用以及具体的转型措施。文章首先从理论上论证我国证券业高杠杆运营的可行性；然后通过财务分析和对比分析的研究方法分析证券公司的资产负债表和业务结构与国际投资银行的差异,并从提高证券公司杠杆率水平的角度提出改进建议和具体措施；最后利用理论推导和实证分析方法从宏观层面研究杠杆率水平对证券业行业规模的影响。本文的研究成果认为证券公司因为其较高的风险管理能力而具备高杠杆运营的条件,可以提高资产负债表的杠杆率水平。同时证券公司应该增加长期债务比重,增加短期负债渠道,为业务创新提供资金支持和提供流动性；在资产配置上应该减少低收益的现金资产比例和高风险的直接投资规模,通过配置多样化的交易性金融资产维持资产的流动性和安全性。文章还提出通过发展资本中介型业务提高证券公司的杠杆率,充分利用起其资产负债表,提高证券公司的资本运营效率,并从股权交易类业务、固定收益类业务和利息佣金类业务三个方向给出具体业务转型措施。资本中介型业务能够打破证券公司原有业务客户与自身资本的隔离,提高杠杆率水平的同时也有效的控制自有资本的风险暴露程度。在这种业务转型模式下,本文从市场风险、流动性风险和信用风险三个角度提出了三维一体的综合风险管理理念和模式,并且建议证券公司建立基于IT技术的全资产覆盖风险分析引擎以应对末来的风险冲击。最后,本文理论推导了杠杆率对证券公司收益率和资产规模的影响,并利用历史数据实证分析在我国实际的市场环境中,通过提高杠杆率来提高证券业盈利能力和扩大证券行业规模是有效的。本文共有
[Abstract]:The operation is generally highly leveraged financial intermediaries, even experienced in 2008 after the economic crisis deleveraging, the international investment bank leverage ratio is still maintained at more than 10 times. But China's securities industry does not have this feature, and leverage has decreasing trend, with the is the rapid development of the current situation of the development of the securities industry is not enough to support the financial market and the national economy. At present, many problems caused by the financial function of marginalization of the securities industry, which makes the understanding of regulators to deregulation, encourage innovation is the effective measures to promote the development of securities industry. And this paper found that the lower the level of leverage ratio is is one of the main factors restricting the development of the securities industry scale and business innovation.
This article is intended to promote research and demonstration high leverage in the development of China's securities industry innovation and the transformation feasibility measures. Firstly, theoretically, the highly leveraged operation of China's securities industry; and then through the research methods of financial analysis and comparative analysis of the differences of securities company's balance sheet and business structure and international the investment bank, and puts forward specific measures and suggestions from improving the securities company leverage level angle; finally using the method of theoretical derivation and empirical analysis from the macro level of leverage rate impact on the securities industry scale. The research results of this paper that securities companies because of its high risk management ability and high lever operation conditions can improve the balance sheet leverage level. At the same time the securities company should increase the proportion of long-term debt, short-term negative increase The debt channel, to provide financial support and provide liquidity to business innovation; in the asset allocation should reduce the low yielding cash asset ratio and high risk of direct investment, the liquidity and safety of diversification of trading financial assets to maintain assets. The article also proposed to increase the leverage of the company through the securities intermediary development the business capital, make full use of its balance sheet, improve the securities company's capital operation efficiency, and from the equity trading business, fixed income business and interest commission business in three directions are given specific business restructuring measures. Isolation capital intermediary type of business of securities companies to break the original business customers with their own capital, increase leverage the level of risk is the effective control of its own capital exposure. In this business transformation mode, this article from the market risk, liquidity risk Three aspects of credit risk and puts forward a three-dimensional integrated risk management concept and mode, and suggested the securities companies to establish IT technology of total assets to cover the risk analysis engine to deal with at the end of the risk on the basis of the impact. Finally, this paper deduced the leverage ratio and asset scale effect benefit of securities companies, and the use of history the data in the empirical analysis of China's actual market environment, by increasing the leverage to improve the profitability of the securities industry and expand the scale of the securities industry is effective. This paper consists of

【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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