基于中国市场的融资融券保证金比例的设定研究

发布时间：2018-12-12 22:19

【摘要】：尽管融资融券在国外已有一定的发展历史,是比较常见的一种交易类型,但对中国来说,其还是一种新兴的交易模式。在正式开始运行之前,此项业务曾一度被禁止,但随着中国市场的完善,相关制度逐渐建立完全。受国外市场的影响,再加上中国资本市场的不断发展,我国的融资融券业务正式出现在中国证券市场。但是目前我国的融资融券业务还存在不少有待解决的问题,其中风险控制问题是最重要的问题之一。从试运行开始之时,管理层就提出制定保证金制度,保证金制度是规定投资者在每笔融资或者融券过程中,交纳一定比例保证金,利用保证金冲抵帐户可能发生亏损的制度。保证金的设定是在融资融券交易中阻挡风险的一道屏障,但是设定为多少是较为有难度的问题,无论设定的过高或是过低都会使得交易的顺利发展受到影响。目前我国采取的是固定的保证金比例制度,这个制度对于现行的市场情况可谓有利也有弊,所以如何设立保证金制度对投资者和证券公司来说都很重要。在VaR的方法的基础上,本文将针对中国市场建立一个最合理的保证金比例制度。本文选取证券市场已有数据进行处理,结合我国现行制度,通过模型分析,设定合理的弹性保证金制度,每日产生一个最低保证金比例。通过具体分析,这个比例能够及时反映市场标的证券价格变动所产生的风险,并有效加以防范,合理的保证金比例对客户以及证券公司都是隔离风险的有效保护措施。不仅满足了客户及证券公司的需求,还保证了风险控制下的证券市场的健康发展。通过此种方法,本文还对制定完成保证金比例之后的后续计划提出了建议,提出了建立动态风险预警系统。此种系统通过每日提取相应的信息数据,动态地计算出客户账户是否面临风险,并作出及时反应,为是否应该追加保证金或是否应该平仓作出判断,确保不会出现风险失控这一现象。由于研究手段的限制,本文的研究并不能做到十分完善,所以本文在最后基于此次的研究,对融资融券的后续研究给出了一些预测和建议。
[Abstract]:Although margin financing has a certain history of development in foreign countries, it is a relatively common type of trading, but for China, it is still a new trading mode. The business was banned before it officially started, but as the Chinese market improved, the system gradually became fully established. Due to the influence of foreign markets and the continuous development of China's capital market, China's margin and margin business has formally appeared in China's securities market. However, there are still many problems to be solved in margin trading, among which risk control is one of the most important problems. From the beginning of the trial operation, the management put forward the establishment of margin system, which stipulates that investors pay a certain proportion of the margin in each financing or margin lending process, and make use of the margin to offset the loss of the account. The setting of margin is a barrier against risk in margin trading, but it is difficult to set it up. Whether it is too high or too low, the smooth development of trading will be affected. At present, China adopts a fixed margin ratio system, which is beneficial to the current market situation, so how to set up the margin system is very important for investors and securities companies. On the basis of VaR's method, this paper will establish a reasonable margin ratio system for Chinese market. This paper selects the existing data of the securities market to deal with it, combines the current system of our country, through the model analysis, sets a reasonable flexible margin system, and produces a minimum margin ratio every day. Through the concrete analysis, this proportion can reflect the risk caused by the change of the market underlying securities price in time, and effectively guard against it. A reasonable margin ratio is an effective protection measure for the clients and the securities companies to isolate the risk. Not only to meet the needs of customers and securities companies, but also to ensure the healthy development of the securities market under risk control. Through this method, this paper also puts forward some suggestions to establish the follow-up plan after the margin ratio is completed, and puts forward the establishment of the dynamic risk early warning system. By extracting corresponding information data on a daily basis, the system dynamically calculates whether the customer account is at risk and responds in a timely manner to determine whether margin should be added or whether positions should be closed. Make sure the risk doesn't get out of hand. Because of the limitation of research means, the research in this paper can not be very perfect, so this paper gives some predictions and suggestions on the follow-up study of margin and margin.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】