基于业务结构的我国证券公司风险研究

发布时间：2018-02-15 14:41

本文关键词： 业务结构风险连接函数资产配置证券公司　出处：《西南财经大学》2013年博士论文　论文类型：学位论文

【摘要】：经过百年的发展历程,国际知名的证券公司已从单一的证券承销商与经纪人逐渐发展成为业务种类繁多、分支机构遍布全球的金融产品和服务提供商,其业务不断多元化、技术高度工程化,为客户提供优质高效的直接金融服务,发展成为现代金融的核心力量。我国证券公司以商业银行等机构的国债服务部为雏形,经过二十多年的持续发展和不断改进,现已成为我国证券市场的重要参与主体,证券业务逐步走上了多元化、规范化的发展道路。但回顾二十多年的发展历程,我国证券公司仍然难改变“巨盈巨亏”的粗放经营模式,未能改变“靠天吃饭”的证券业务格局,在与国内商业银行、保险公司以及国外证券公司的多方竞争中,始终处于弱势地位。证券公司的风险及其管理一直是证券公司发展中的主要问题。在本世纪初,风险管理不善等诸多原因导致证券行业连续亏损,引发了数十家证券公司倒闭或被收购的证券行业危机,这是我们必须时刻提醒谨记的教训。证券业务是证券公司经营的根本,也是证券公司区别于商业银行和保险公司等其他类型的金融机构的核心特征。证券公司相关业务的发展是证券公司不断发展壮大的前提,是证券公司增强自身实力,做大做强的基本条件。在2012年和2013年,我国证券行业连续两年召开“证券业创新大会”,随后十多项支持证券公司进行金融创新的政策加速出台,成为新时期我国证券行业加速改革创新的分水岭。证券公司在业务层面的创新不仅将增加证券公司业务收入,还将深远的影响证券公司风险及其管理。’基于业务发展与风险管理两方面的考虑,本文从证券公司业务发展出发,分析业务发展对证券公司风险的影响,探讨在风险可控的情况下的证券公司业务发展路径,指导我国证券公司的业务发展以及风险管理实践。具体来讲,本文的研究主要包括以下内容： (一)基于业务结构的证券公司风险理论。在第一章对本文的研究对象、思路、方法以及研究意义进行概述后,本文在第二章系统梳理了证券公司业务结构理论和风险理论的研究历史与现状,随后在第三章详细阐述了本文研究的理论基础——基于业务结构的证券公司风险理论。具体的,我们分析了证券公司业务结构形成的原因,探讨了证券公司业务结构的测度方法与指标,并从业务收入和业务资产两个角度定义了证券公司业务结构。在证券公司风险理论分析中,本文着重分析了证券公司的风险测度问题,提出用方差(标准差)和风险价值(VaR)等指标测度证券公司风险。在论述了从业务结构角度研究证券公司风险的必要性后,我们提出了本文的研究思路与研究步骤。 (二)证券公司业务结构与风险关系研究。在第四章对我国证券公司业务结构的历史、现状以及未来发展环境进行统计分析后,本文在第五章尝试构建证券公司业务结构与风险的关系模型,并利用我国100家证券公司的财务数据进行实证分析,探究业务多元化发展对证券公司风险的影响。第五章的研究回答了证券公司业务结构是否影响证券公司风险这一重要问题,为本文后续研究奠定了理论与实证基础。同时第五章的研究方法、模型及结论对于从证券行业角度分析我国金融混业经营提供新的视角和思路,有利于我国金融行业改革发展。 (三)基于连接函数(Copula)的证券公司业务风险整合研究。考虑到证券公司业务之间的复杂联系,本文第六章尝试利用现代统计理论中的连接函数(Copula)方法整合证券公司业务风险。我们提出了从业务角度研究证券公司风险整合的基本框架、研究模型和分析步骤,并以我国证券公司财务数据为数据基础,采用二元Copula连接证券公司服务业务与投资业务两大风险,整合得到证券公司的风险。以上研究试图从业务风险整合的角度回答为什么证券公司业务结构会影响证券公司风险这一核心问题。解答这一问题,可以解释本文第五章的实证结果,同时为后续的从业务角度探讨证券公司风险管理提供了理论基础。 (四)考虑风险收益的证券公司最优业务资产配置研究。在以上研究基础上,本文第七章结合现代资产配置理论探讨证券公司业务资产的最优配置问题。在第七章中我们选择风险价值(VaR)测度证券公司业务风险及总体风险,采用可以测度证券公司业务收益间的非线性相关关系的Copula工具连接证券公司业务风险,克服了方差-协方差矩阵仅能测度线性相关关系的弊端。本章尝试构建同时考虑企业收益和风险的证券公司业务资产的最优配置模型,是本文证券公司业务结构及其风险理论在证券公司风险管理上的应用。对证券公司业务结构及其风险进行以上理论研究和实证分析,本文得到以下基本结论： (一)证券公司业务结构影响证券公司的总体风险,具有不同特征(如资产规模等)证券公司在具体的业务结构与风险关系上存在差异。资产规模大的证券公司在传统业务(经纪业务、承销业务)上存在规模经济优势：来自于传统业务的收入比重越大,证券公司风险越低。资产规模小的证券公司在客户资产管理、同业拆解等业务收入比重越大,风险越低。总体而言,资产规模大的证券公司在大部分业务发展上都占据较大优势,说明了证券公司资产规模对降低公司整体风险意义重大。本文认为证券公司在未来多元化发展时须不断提高自身资产等实力,不断降低金融风险。同时,证券监管层更应出台政策鼓励证券公司采取多种方式做大做强,以期降低证券行业风险。 (二)本文将Copula理论应用于证券公司业务风险的整合分析,相关理论与实证分析证实,对比于证券公司业务完全正相关假设,利用Copula技术连接证券公司业务风险之后得到的整体风险更接近于真实的证券公司风险情况。由于证券公司各业务之间客观存在着复杂相互联系,业务多元化发展导致业务风险的分散与对冲效应,最终表现为随证券公司业务结构而改变的证券公司总体风险。 (三)本文认为可以改进现代资产配置理论,并将其应用于证券公司的业务结构优化分析。对原有资产配置理论所做的必要改进包括,选择具有更好的理论和应用价值的风险价值(VaR)来测度证券公司业务风险及企业总体风险,以及利用Copula函数连接证券公司业务风险。在此基础上构造的考虑收益和风险下的证券公司业务资产的最优配置模型具有较好的应用价值,可以构造业务资产比例的有效区域,指导证券公司的业务发展实践。本文的创新主要体现在： (一)本文从现有理论与实证研究出发,尝试构建基于业务结构的我国证券公司风险理论,论述了从业务结构角度研究证券公司风险可行性与必要性,为证券公司风险研究提供了新的视角。 (二)本文提出将连接函数(Copula)技术应用于证券公司多种业务风险的整合,有效解决了证券公司非线性的业务风险整合难题,解释了证券公司多业务发展的风险分散化效应。本文的研究创新了Copula技术的应用范围,同时也验证了Copula技术在证券公司业务风险整合中的有效性。 (三)本文对现代组合投资理论进行改进,并将其应用于证券公司业务资产的配置问题研究,首次提出在权衡收益和风险下的证券公司业务资产最优配置模型,可以用于指导证券公司业务发展,该理论与方法突破了金融理论仅考虑组合资产的瓶颈,为评估与管理证券公司的整体风险提供了新的思路,具有较高的理论与实践意义。 (四)本文所用的研究数据全面,是以往证券公司相关研究不具备的。由于缺乏成熟系统的数据库资源,本文经过多方努力收集了我国证券行业所有106家证券公司的财务相关数据作为本文实证研究的数据来源,为研究的顺利开展提供了强大的数据支持。
[Abstract]:After more than 20 years of development , China ' s securities firm has become an important part of China ' s securities market , and has become the core force of modern finance . The risk and management of securities companies have been the main problems in the development of securities companies . At the beginning of this century , many reasons such as poor risk management have led to the continuous loss of securities industry , which has led to the collapse of dozens of securities companies or the crisis of the securities industry acquired , which is the lesson that we must remind you to remember . Securities business is the fundamental characteristic of the operation of the securities firm , and it is the core characteristic of the securities company that is different from other types of financial institutions , such as commercial banks and insurance companies . The development of the relevant business of the securities company is the precondition for the development of the securities firm , and it is the basic condition for the securities firm to strengthen its own strength and make great efforts . In 2012 and 2013 , our country ' s securities industry held the Securities Industry Innovation Conference for two consecutive years , then more than ten supporting securities companies to carry out the policy acceleration of financial innovation , become the watershed of the new period of China ' s securities industry to accelerate reform and innovation . Specifically , the study mainly includes the following : ( 1 ) Based on the risk theory of securities companies based on business structure , in chapter 1 , the research history and present situation of securities firm ' s business structure theory and risk theory are reviewed in chapter 1 . Then , the paper discusses the reasons of the formation of securities firm ' s business structure , discusses the measure method and index of the securities firm ' s business structure , and puts forward the measure method and index of the securities firm ' s business structure . ( 2 ) The research on the relationship between the business structure and the risk of the securities company . After the analysis of the history , the present situation and the future development environment of the securities firm ' s business structure in chapter 4 , this paper attempts to construct the relationship model of the securities firm ' s business structure and risk in the fifth chapter . This paper attempts to analyze the risk of securities companies from the perspective of business risk . We propose to study the risk of securities firms from the perspective of business risk integration . In Chapter 7 , we choose the risk value ( VaR ) measure the securities firm ' s business risk and the overall risk . In Chapter 7 , we choose the risk value ( VaR ) measure the securities firm ' s business risk and the general risk . Based on the above theoretical research and empirical analysis of the securities firm ' s business structure and its risks , the following basic conclusions are obtained : Securities companies have different characteristics ( such as asset size , etc . ) . The larger the proportion of the traditional business ( brokerage business and underwriting business ) , the lower the risk , the lower the risk of securities companies . In general , the securities companies with large assets have a big advantage in the development of clients ' assets , and the lower the risk . At the same time , the securities regulatory layer should improve their own assets and so on continuously , and reduce financial risks . At the same time , the securities regulatory layer should also introduce policies to encourage the securities companies to do more in a variety of ways to reduce the risk of securities industry . ( 2 ) The paper applies Copula theory to the integration analysis of the business risk of the securities firm . The correlation theory and the empirical analysis confirm that the overall risk obtained after using the Copula technology to connect the business risk of the securities firm is closer to the real securities firm ' s risk . ( 3 ) It is believed that the theory of modern asset allocation can be improved and applied to the optimization analysis of the business structure of the securities company . The necessary improvement of the original asset allocation theory includes the choice of the risk value ( VaR ) with better theory and application value to measure the business risk of the securities firm and the overall risk of the enterprise , and the use of the Copula function to connect the business risk of the securities firm . The innovation of this article is mainly reflected in : ( 1 ) Based on the existing theory and the empirical research , this paper attempts to construct the risk theory of our country ' s securities firm based on the business structure , and discusses the feasibility and necessity of the research on the risk feasibility and the necessity of the securities firm from the perspective of the business structure , and provides a new perspective for the risk research of the securities firm . ( 2 ) This paper puts forward the application of Copula technology in the integration of various business risks in securities companies , effectively solves the problem of the integration of the non - linear business risk of securities companies , explains the risk diversification effect of multi - business development of securities companies . The research of this paper introduces the application scope of Copula technology , and also validates the effectiveness of Copula technology in the integration of securities firm ' s business risk . ( 3 ) The paper improves the theory of modern portfolio investment and applies it to the research of the disposition of the securities company ' s business assets . First , it puts forward the optimal allocation model of the securities firm ' s business assets under the trade - off benefits and risks , which can be used to guide the development of securities companies . The theory and method breaks through the bottleneck of the portfolio assets , provides a new idea for the evaluation and management of the whole risk of the securities firm , and has higher theoretical and practical significance . ( 4 ) The research data used in this paper is comprehensive , which is not available in the relevant research of securities companies in the past . Due to the lack of database resources of mature system , this paper has collected the financial related data of all 106 securities companies in our country ' s securities industry as the data source of the empirical research in our country , and provided powerful data support for the successful implementation of the research .

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.39

【参考文献】