基于VaR方法的融资融券保证金比例研究

发布时间：2018-01-30 05:31

本文关键词： 融资融券保证金比例 VaR方法动态保证金制度　出处：《辽宁大学》2013年硕士论文　论文类型：学位论文

【摘要】：融资融券交易，又称信用交易或者保证金交易，是指投资者在买卖证券时，向券商交付一定比例保证金以获得购买证券所需资金或出售证券的交易行为。在融资融券业务中券商必然面临下列几种风险：客户投资标的证券价格波动的风险，标的证券流动性风险以及由此引起的客户信用风险等。一个好的保证金制度既能最大限度的控制风险，又能使融资融券交易的杠杆机制有效的发挥。保证金可以是现金，也可以是可充抵保证金的证券。如果证券充抵保证金，那么就不免会产生担保品贬值风险、担保品流动性风险以及由此造成的客户信用风险等。如何科学地设置保证金比例与证券保证金折算率在融资融券业务风险管理中尤为重要。保证金比例设定过低或者可充抵保证金证券折算率过高都很难防范市场波动等因素给账户引起的风险，而相反保证金比例设定过高或者可充抵保证金证券折算率过低必然会影响业务开展的规模和效率。本文在对现有固定保证金制度加以介绍与评述后，选取中国证券市场为研究对象，对相关历史数据进行统计整理后，基于VaR的方法计算并评估融资融券标的证券和可充抵保证金证券的风险情况；然后，，以此方法来确定保证金的比例以及可充抵保证金证券的折算率；最后，进一步提出了建立有效的融资融券动态保证金制度的必要性与可行性。在动态保证金制度下，以VaR方法为理论基础，及时有效地评估标的证券以及担保品的风险状况；既最大限度预防风险的发生，又避免了效率的损失。本文通过对融资融券业务保证金制度中的保证金比例及担保品折算率的初步探讨，以期对管理层及券商在融资融券业务中的风险评估与管理提出一些参考与建议。
[Abstract]:Margin trading, also known as credit trading or margin trading, refers to investors buying and selling securities. The act of delivering a certain amount of margin to a securities firm to obtain the funds required to purchase securities or to sell securities. In the business of margin financing and margin trading, the securities firm must face the following kinds of risks:. The risk of the fluctuation of the price of the securities in which the client invests. The liquidity risk of underlying securities and the resulting customer credit risk. A good margin system can control the risk to the maximum extent. Margin can also be used as a leverage mechanism for margin trading. Margin can be cash or securities that can be charged for margin. If securities are charged against margin, the risk of collateral depreciation will inevitably arise. Collateral liquidity risk and the resulting customer credit risk. How to set up the margin ratio and the margin conversion rate scientifically is particularly important in the risk management of margin trading. It is difficult to guard against the market if the margin ratio is too low or the margin margin conversion rate is too high. The risk to the account caused by factors such as volatility. On the contrary, too high margin ratio or too low conversion rate of rechargeable margin securities will inevitably affect the scale and efficiency of business. After introducing and commenting on the existing fixed margin system, this paper selects the Chinese stock market as the research object, and carries on the statistical analysis to the related historical data. To calculate and evaluate the risk of margin underlying securities and rechargeable margin securities based on VaR method; Then, the ratio of margin and the conversion rate of rechargeable margin securities are determined by this method. Finally, the paper further puts forward the necessity and feasibility of establishing an effective margin system. Under the dynamic margin system, the VaR method is the theoretical basis. Timely and effective assessment of the risk status of the underlying securities and collateral; Not only to prevent the occurrence of risk, but also to avoid the loss of efficiency. This paper discusses the margin ratio and collateral conversion rate in margin system. With a view to management and securities in margin business risk assessment and management put forward some references and suggestions.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】