基于VaR的证券公司融资融券市场风险评估及防范

发布时间：2018-04-20 19:44

本文选题：证券公司 + 融资融券　；参考：《沈阳大学》2012年硕士论文

【摘要】：自2010年3月融资融券交易被批准以来，融资融券的业务利润迅速成为试点证券公司的五大业务利润来源之一。融资融券为证券公司提供了卖空交易平台，也放大了证券公司的市场风险。目前国外的证券公司已经使用VaR等金融管理工具评估及防范融券融券的市场风险，部分国内证券公司也采用类似方法来管理传统业务的市场风险。但证券公司对于融资融券市场风险的粗放管理，如沿用严格的保证金制度，已经不能适应证券市场快速发展的要求。由于我国融资融券交易开放较晚，关于证券公司融资融券市场风险评估及防范的研究文献仍然是单纯的定性分析。因而，从证券公司对融资融券市场风险评估和相关研究现状来看，使用VaR等成熟的金融管理工具，对证券公司融资融券市场风险的量化评估很有必要。另外，到目前为止，融资融券交易已经有两年半的历史了，反映证券公司融资融券市场风险的数据已经形成。因此，本文结合风险管理理论和VaR风险管理工具对融资融券市场风险进行评估，并从证券公司角度提供防范建议，，其主要内容分为以下五个部分：第一部分是绪论，主要包括研究背景、研究意义、文献综述、研究思路和主要创新点等几个方面。第二部分主要对证券公司融资融券市场风险评估的相关理论概述进行论述，主要包括融资融券市场风险的内涵与特点、证券公司融资融券市场风险的理论依据和证券公司融资融券市场风险的评估方法等三个方面。第三部分主要对证券公司的融资融券市场风险及其评估现状进行介绍，阐述存在的问题及其原因。第四部分主要以宏源证券、中信证券等五只股票和上证指数为例，从单个融资融券标的证券和资产组合等两个方面对证券公司融资融券市场风险进行评估，然后对评估结果进行应用。第五部分从融资融券市场风险预警机制、管控流程及评估手段等几个方面，为证券公司防范融资融券市场风险提出建议。
[Abstract]:Since the margin trading was approved in March 2010, the profit of margin trading has quickly become one of the five major profit sources of the pilot securities companies. Margin financing for securities companies to provide a short-selling platform, but also magnified the market risk of securities companies. At present, foreign securities companies have used financial management tools such as VaR to evaluate and guard against the market risks of short securities and short securities. Some domestic securities companies also adopt similar methods to manage the market risks of traditional business. However, the extensive management of margin market risk of securities companies, such as the use of strict margin system, has not been able to meet the requirements of rapid development of the securities market. Due to the late opening of margin trading in China, the research literature on the risk assessment and prevention of securities companies' margin trading is still a simple qualitative analysis. Therefore, it is necessary to use mature financial management tools, such as VaR, to evaluate the market risk of securities companies. In addition, so far, margin trading has a history of two and a half years, reflecting the securities companies margin market risk data has been formed. Therefore, this article combines the risk management theory and the VaR risk management tool to evaluate the market risk of margin and margin, and provides the precautionary advice from the perspective of the securities company, the main content of which is divided into the following five parts: The first part is the introduction, mainly includes the research background, the research significance, the literature review, the research thought and the main innovation and so on several aspects. The second part mainly discusses the related theory of securities company margin market risk assessment, mainly including the connotation and characteristics of margin market risk. The theoretical basis of securities company margin market risk and the evaluation method of securities company margin market risk. The third part mainly introduces the market risk and its evaluation status of securities companies, and expounds the existing problems and reasons. The fourth part mainly takes Hongyuan Securities, Citic Securities and other five stocks and Shanghai Stock Exchange Index as examples to evaluate the market risk of securities companies' margin margin from two aspects: single margin underlying securities and portfolio. Then the evaluation results are applied. The fifth part puts forward some suggestions for securities companies to guard against the market risk of margin and short selling from the aspects of early warning mechanism, control process and evaluation means.
【学位授予单位】：沈阳大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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