我国证券公司风险管理与价值创造研究

发布时间：2018-03-17 08:26

本文选题：证券公司　切入点：风险管理　出处：《湘潭大学》2013年硕士论文　论文类型：学位论文

【摘要】：近年来，金融全球一体化趋势不断加强，金融衍生工具应用快速膨胀，国际金融交易规模剧增，资产证券化迅速发展，国际金融环境发生了巨大变化，金融市场更为动荡，金融危机爆发的频率加速，各类金融机构面临的风险加大，风险管理任务更加艰巨。2007年-2008年由美国次贷危机引发的国际金融危机，2010年起爆发的欧洲债务危机，将如何加强金融风险管理的问题摆在了突出的焦点位置。在各种类型的金融市场中，证券市场最具高风险特点。证券公司通过承担风险并发挥自身的专业优势管理和分散风险，从而获得相应的报酬，因此证券公司在其日常经营过程中随时面对风险与收益的博弈。曼哈顿学院教授查里斯·R·吉斯特(Charles R Geisst，1995)在其著作《金融体系中的投资银行》(Investment Banking In Financial System)指出，证券公司在盛气凌人的同时也暴露出自己的许多短板，其所投身的证券市场充满着各种类型的风险，随着日益复杂金融工程技术的发展，证券公司在追求高额利润的同时，同样面临着安全性的巨大威胁。公司经营的目的是企业价值最大化，证券公司同样如此。由于公司行业的特殊性，风险管理对证券公司价值创造来说更为重要。本论文以我国证券风险管理与企业价值为研究对象，试图在理论研究的基础上通过实证分析的方法分析风险管理对企业价值的影响。以期为我国证券公司在提高风险管理水平上提供有用的建议。理论方面，首先从研究的背景和意义出发，介绍了国内外相关研究状况；其次，阐述证券风险管理内涵和相关理论；第三，描述并分析了我国商证券公司在风险管理方面的现状和不足；最后，分析了证券公司风险管理对企业价值影响的作用机制。实证方面，本文运用已在我国A股市场上市的19家国内证券公司2009-2012的数据进行测度，通过建立模型实证分析了我国证券公司风险管理对企业价值的影响，结果表明：风险管理确实对我国证券公司的价值具有重要的影响。其中，净利润增长率波动率与证券公司价值呈显著负相关关系，这说明，风险管理相对较差的证券公司净利润增长率波动大会对企业价值产生消极影响。文章的最后根据相关理论研究和实证分析，提出了增强我国证券公司风险管理的相关政策建议。
[Abstract]:In recent years, the trend of global financial integration has been strengthened, the application of financial derivatives has expanded rapidly, the scale of international financial transactions has increased dramatically, asset securitization has developed rapidly, the international financial environment has undergone tremendous changes, and the financial market has become more volatile. The frequency of the financial crisis has accelerated, the risks faced by various financial institutions have increased, and the task of risk management has become more arduous. The international financial crisis caused by the subprime mortgage crisis in the United States from 2007 to 2008, and the European debt crisis since 2010, The problem of how to strengthen the financial risk management is put in the prominent focus. Among all kinds of financial markets, the securities market has the most high risk characteristics. The securities companies manage and disperse the risks by taking risks and exerting their own professional advantages. In order to get a corresponding reward, As a result, securities firms face the game of risk and return at any time in their day-to-day operations. Charles R. Geisstt, a professor at Manhattan College, points out in his book Investment Banking in the Financial system in 1995. The securities companies also expose their own shortcomings while they are overbearing. The securities market in which they are engaged is full of various kinds of risks. With the development of increasingly complex financial engineering technology, the securities companies are pursuing high profits at the same time. The purpose of the company management is to maximize the value of the enterprise, and the same is true of the securities company. Because of the particularity of the company industry, risk management is more important to the value creation of the securities company. This thesis focuses on the securities risk management and enterprise value in China. This paper attempts to analyze the impact of risk management on enterprise value through empirical analysis on the basis of theoretical research, in order to provide useful suggestions for China's securities companies to improve the level of risk management. First of all, from the background and significance of the study, introduced the relevant research situation at home and abroad; secondly, elaborated the connotation and related theory of securities risk management; third, described and analyzed the current situation and deficiencies in risk management of Chinese commercial securities companies; Finally, the paper analyzes the mechanism of the impact of risk management on enterprise value. Empirical analysis is made by using the data of 19 domestic securities companies listed in China's A-share market in 2009-2012. This paper empirically analyzes the influence of risk management on enterprise value by establishing a model. The results show that risk management does have an important impact on the value of securities companies in China. There is a significant negative correlation between the volatility of net profit growth rate and the value of securities companies, which indicates that, The volatility of net profit growth rate of securities companies with relatively poor risk management has a negative impact on the enterprise value. Finally, according to the relevant theoretical research and empirical analysis, the paper puts forward the relevant policy recommendations to enhance the risk management of securities companies in China.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.39;F272.3

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