证券公司自营风险管理案例研究
发布时间：2018-08-17 14:51
【摘要】：本文基于我国证券公司自营业务投资的特点，结合目前风险度量方法中较为有效的VaR理论对证券公司自营业务所面临的整体证券市场风险进行描述，使用β系数度量了具体证券公司自营业务所面临的市场风险大小，并对如何提高我国证券自营业务的风险管理水平进行了研究。 本文在研究过程中，遵循着风险识别、风险度量、风险控制的思路展开。首先分析了证券公司自营业务的特点及其所面临的主要风险，，认为证券自营业务面临着系统性及非系统性等多种风险，并认为市场风险是目前证券自营业务面临的最主要风险。其次文章介绍了市场风险度量的常用方法，详细介绍了β和VaR两种方法，并使用VaR方法对中国证券市场指数进行了风险度量，使用β度量了中信证券自营组合所面临的市场风险及如何基于β使用股指期货进行套期保值控制市场风险。最后从最后从控制市场风险、经营决策风险、操作风险、其它措施等方面提出了风险控制的措施。
[Abstract]:Based on the characteristics of proprietary business investment of securities companies in China, this paper describes the overall securities market risks faced by securities companies by combining the VaR theory, which is more effective in the current risk measurement method. This paper uses 尾 coefficient to measure the market risk of the proprietary business of the specific securities companies, and studies how to improve the risk management level of the securities proprietary business in China. In the research process, this paper follows the idea of risk identification, risk measurement and risk control. Firstly, this paper analyzes the characteristics of securities companies' proprietary business and the main risks they face, and points out that the securities proprietary business faces systemic and non-systemic risks, and that the market risk is the most important risk faced by the securities proprietary business at present. Secondly, this paper introduces the common methods of market risk measurement, including 尾 and VaR, and uses VaR method to measure the risk of China's stock market index. This paper uses 尾 to measure the market risk faced by Citic Securities portfolio and how to hedge and control the market risk based on 尾. Finally, the measures of risk control are put forward from the aspects of controlling market risk, management decision risk, operation risk and other measures.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
本文编号：2187991
[Abstract]:Based on the characteristics of proprietary business investment of securities companies in China, this paper describes the overall securities market risks faced by securities companies by combining the VaR theory, which is more effective in the current risk measurement method. This paper uses 尾 coefficient to measure the market risk of the proprietary business of the specific securities companies, and studies how to improve the risk management level of the securities proprietary business in China. In the research process, this paper follows the idea of risk identification, risk measurement and risk control. Firstly, this paper analyzes the characteristics of securities companies' proprietary business and the main risks they face, and points out that the securities proprietary business faces systemic and non-systemic risks, and that the market risk is the most important risk faced by the securities proprietary business at present. Secondly, this paper introduces the common methods of market risk measurement, including 尾 and VaR, and uses VaR method to measure the risk of China's stock market index. This paper uses 尾 to measure the market risk faced by Citic Securities portfolio and how to hedge and control the market risk based on 尾. Finally, the measures of risk control are put forward from the aspects of controlling market risk, management decision risk, operation risk and other measures.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
【参考文献】
相关期刊论文 前1条
1 王昕;殷仲民;陈俊尧;;证券公司自营业务风险管理分析[J];经济问题;2006年12期
相关博士学位论文 前1条
1 肖新华;证券公司自营业务风险管理研究[D];中南大学;2010年
本文编号：2187991
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