以净资本为核心的风险控制指标体系研究

发布时间：2018-01-11 11:25

本文关键词：以净资本为核心的风险控制指标体系研究　出处：《上海交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：次贷危机使风险管理再次成为金融机构与监管机构的关注重点。危机发生时，证券市场大幅下跌，大型金融机构倒闭或被收购，美国等金融强国也必须出台救助政策以挽救整个金融市场。巴塞尔协议III的出台正是在此种背景下，加强对净资本的监管并设计新的风险控制指标是协议的核心内容。在中国，净资本监管自从1996年引入国内后，经过10余载的发展，净资本的概念开始深入到我国券商经营决策、业务运作和财务管理的方方面面，围绕净资本这个核心指标，设计一个有效的风险防控的监控指标体系也逐渐成为了中国证券公司风险管理和内控制度的重要组成部分之一。相信在全球经济疲软，金融动荡的当下，研究以净资本，及其相关的风险控制指标具有很强的现实意义。本文着重研究资本充足与风险指标在国内外金融监管中的应用，中国净资本监管的历史、现状与发展方向，并以此为基础，结合中国证券公司的实例，以实用、有效为目的为证券公司设计一套风险指标体系（以自营业务为主体），，这套风险指标体系涵盖证券公司的风险治理结构、指标计算体系及配套内控机制、证券公司核心业务（自营业务）的特色指标等内容。对于证券公司来说，这样的指标设计具有很强的参考价值，操作性强，具有实践指导意义。本文共有5个章节，分别是导论、巴塞尔协议和资本充足性监管、我国的净资本管理体系、以净资本为核心的指标体系设计、结论。
[Abstract]:The subprime crisis makes risk management become the focus of attention of financial institutions and regulatory agencies again. When a crisis occurs, the stock market fell sharply, the collapse of major financial institutions or to be acquired, the United States and other financial power must also be the introduction of aid policy to save the entire financial market. The Basel protocol of III is introduced in this context, to strengthen the net the capital supervision and design new risk control index is the core content of the agreement. In Chinese, net capital regulation since 1996 after the introduction of the country, after more than 10 years of development, the concept of net capital began to go to China's securities business management, business operation and financial management of all aspects, around the core index of net capital, monitoring index system is an effective risk control design has gradually become an important part of the Chinese securities company risk management and internal control system. I believe in the global At the moment of weakness and financial turmoil, it is of great practical significance to study the net capital and its related risk control indicators.
This paper focuses on the application of capital adequacy and risk indicators at home and abroad in financial supervision, China net capital supervision history, current situation and development direction, and on this basis, combined with examples, China securities companies with practical, effective design for the purpose of a securities company risk index system (based on proprietary business as the main body) this set of risk index system, covering the risk governance structure of securities company, index calculation system and related internal control mechanism, the securities company's core business (proprietary) content of the characteristic indexes. For the securities of the company, has a strong reference value of this kind of index design, strong operability, this paper is of practical guiding significance. There are 5 chapters, which are introduction, the Basel accord and the capital adequacy regulation, net capital management system of our country, the design of index system, with net capital as the core of the conclusion.

【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

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