证券公司融资融券业务的风险管理
发布时间：2018-12-20 12:28
【摘要】：2010年3月31日融资融券交易的推出，标志着我国的信用交易正式开始运行，结束了我国一直以来“单边市”的情况。由于融资融券特有的杠杆性、做空机制等特点，使得证券公司在开展此项业务时，在享受到业务创新所带来的收入外还将面临着更大的风险，如何有效地管理风险成为监管部门和证券公司在设计融资融券业务规则时面临的首要课题。因此，对融资融券风险管理进行研究具有重要的现实意义。 本文介绍了融资融券业务的相关基础知识，融资融券业务的推出对证券公司的影响，系统的梳理了证券公司所面临的风险以及主要风险防范措施，并着重阐述了我国目前的保证金体系。我们将投资组合的方法引入到现行的动态保证金制度中，根据每只股票的历史表现赋予每只股票一个风险系数值，根据账户中每只股票的总市值计算每只股票的权重，风险系数值的加权平均数为该投资者当天的维持担保比例，，当客户的保证金比例小于维持担保比例时，证券公司向客户发出追加保证金通知。这样，投资于风险较大的股票的投资者就要缴纳更多的保证金，而投资于风险较小的股票的投资者只需缴纳较少的保证金，从而达到了鼓励投资、控制风险的目的。我们采用万科A和长江电力两只股票的历史数据作为依据，进行了数据模拟，模拟结果证明，改进后的保证金制度能够更有效地减少证券公司所遭受的损失。
[Abstract]:The launch of margin trading on March 31, 2010 marks the official start of credit transactions in China and ends the "one-sided market" situation in China. Because of the special leverage and short selling mechanism of margin financing and short selling, the securities companies will face more risks in the process of carrying out this business, besides enjoying the revenue brought by the business innovation. How to effectively manage risk has become the most important issue that regulators and securities companies face when designing the rules of margin trading. Therefore, the financing margin risk management research has important practical significance. This paper introduces the basic knowledge of margin trading business, the impact of the introduction of margin trading business on securities companies, and systematically combs the risks faced by securities companies and the main risk prevention measures. And has elaborated our country present margin system emphatically. We introduce the portfolio method into the current dynamic margin system, assign a risk factor value to each stock based on the historical performance of each stock, and calculate the weight of each stock based on the total market value of each stock in the account. The weighted average of the risk coefficient value is the maintenance guarantee ratio of the investor on the same day. When the margin ratio of the client is less than that of the maintenance guarantee ratio, the securities company sends the customer an additional margin notice. In this way, investors who invest in riskier stocks have to pay more margin, while those who invest in less risky stocks have to pay less margin, thus encouraging investment and controlling risk. Based on the historical data of Vanke A and Changjiang Electric Power, we simulate the data. The simulation results show that the improved margin system can reduce the losses suffered by securities companies more effectively.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
本文编号：2387996
[Abstract]:The launch of margin trading on March 31, 2010 marks the official start of credit transactions in China and ends the "one-sided market" situation in China. Because of the special leverage and short selling mechanism of margin financing and short selling, the securities companies will face more risks in the process of carrying out this business, besides enjoying the revenue brought by the business innovation. How to effectively manage risk has become the most important issue that regulators and securities companies face when designing the rules of margin trading. Therefore, the financing margin risk management research has important practical significance. This paper introduces the basic knowledge of margin trading business, the impact of the introduction of margin trading business on securities companies, and systematically combs the risks faced by securities companies and the main risk prevention measures. And has elaborated our country present margin system emphatically. We introduce the portfolio method into the current dynamic margin system, assign a risk factor value to each stock based on the historical performance of each stock, and calculate the weight of each stock based on the total market value of each stock in the account. The weighted average of the risk coefficient value is the maintenance guarantee ratio of the investor on the same day. When the margin ratio of the client is less than that of the maintenance guarantee ratio, the securities company sends the customer an additional margin notice. In this way, investors who invest in riskier stocks have to pay more margin, while those who invest in less risky stocks have to pay less margin, thus encouraging investment and controlling risk. Based on the historical data of Vanke A and Changjiang Electric Power, we simulate the data. The simulation results show that the improved margin system can reduce the losses suffered by securities companies more effectively.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
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