我国证券业系统性风险研究

发布时间：2018-06-22 16:34

本文选题：证券公司 + 系统性风险　；参考：《山西财经大学》2014年硕士论文

【摘要】：2008年美国次贷危机和2010年欧洲债务危机爆发后，系统性风险成为人们关注的热点内容。系统性风险如何形成，存在于哪些行业，如何加以防范都是摆在学术界和实务界面前的一道难题。绝大多数经济学家将研究重点放在银行业上，因为商业银行系统性风险有着极强的传染性，一旦爆发将造成巨大的损失。但是我们应该同时看到证券行业一直以来都是高危行业，尽管此次金融危机没有对我国证券业构成影响，，然而随着我国证券公司开放程度逐渐增加，业务范围不断扩大，衍生金融产品头寸越来越多，证券公司的脆弱性将显现出来，因此有必要对我国证券业的系统性风险进行研究。本文通过对证券业和银行业的资产负债结构和经营方式等方面进行比较分析发现：与银行业系统性风险相比，证券业系统性风险在传染规律与传染程度两方面都有各自的特征。在传染规律方面，系统性风险在证券行业内广泛传播的主要原因是证券公司经营模式以及监管标准等的同质化；在传染程度方面，证券业系统性风险传染程度较小。此外，本文还分析了证券业系统性风险日益凸显的原因：包括证券公司日益国际化、金融集团规模逐步扩大和金融衍生产品持有头寸的不断增加。为了具体量化我国证券业系统性风险的大小，本文采用基于GARCH模型的CoVaR方法对我国13家上市证券公司对整个证券业系统性风险的贡献度进行了实证分析。实证结果显示，兴业证券、华泰证券、光大证券、中信证券和广发证券这五家证券公司比其余8家公司的相对系统性风险溢出值要大很多，主要原因是这5家证券公司在证券行业中处于系统性重要地位，而且与其他金融机构有较多的业务或者资金方面的关联。在理论研究和实证分析的基础上，本文最后对我国证券业系统性风险监管提出了政策建议。我国证券业监管当局应该立足于本国实际情况，充分借鉴国外成熟证券公司风险监管的成功经验，从内部和外部两方面对证券公司的风险实施监管。首先，从内部风险监管角度说，督促证券公司建立完善的内部风险预警机制与科学系统的内部风险监管体系；其次，参照对银行业实施的监管措施，将巴塞尔协议中的监管方法创新性地应用于证券公司，对证券公司提出外部风险监控要求，建立以净资本为核心的资本监管体系；最后，在适当时间以适当标准对证券公司计提逆周期资本缓冲，从而避免证券公司倒闭对其他金融机构甚至实体经济产生风险传染效应，将损失降到最低水平。
[Abstract]:After the subprime mortgage crisis in 2008 and the European debt crisis in 2010, systemic risk has become a hot topic. How to form systemic risk, which industry exists and how to prevent it is a difficult problem in academic and practical circles. Most economists focus on banking because systemic risk in commercial banks is highly contagious and will cause huge losses if it breaks out. However, at the same time, we should also see that the securities industry has always been a high-risk industry. Although the financial crisis has not affected the securities industry in China, however, with the gradual increase in the degree of openness of securities companies in China, the scope of business has been continuously expanded. As the position of derivative financial products becomes more and more, the vulnerability of securities companies will appear, so it is necessary to study the systemic risk of securities industry in China. Through the comparative analysis of the structure of assets and liabilities and the mode of operation of the securities industry and the banking industry, this paper finds that compared with the banking systemic risk, the securities industry systemic risk has its own characteristics in both the law of contagion and the degree of contagion. In the aspect of contagion law, the main reason for the widespread spread of systemic risk in the securities industry is the homogeneity of the management mode and the regulatory standard of the securities company, while in the aspect of the degree of contagion, the degree of systemic risk contagion in the securities industry is relatively small. In addition, this paper also analyzes the reasons for the increasingly prominent systemic risks in the securities industry, including the increasing internationalization of securities firms, the gradual expansion of financial groups and the continuous increase of financial derivatives holdings. In order to quantify the systemic risk of securities industry in China, this paper uses CoVaR method based on GARCH model to analyze the contribution of 13 listed securities companies to the systemic risk of securities industry. The empirical results show that the relative systemic risk spillover values of SocGen Securities, Huatai Securities, Everbright Securities, CITIC Securities and Guangfa Securities are much larger than the relative systemic risk spillover values of the other eight companies. The main reason is that these five securities firms are systemically important in the securities industry and have more business or financial connections with other financial institutions. On the basis of theoretical research and empirical analysis, this paper finally puts forward some policy recommendations on the regulation of securities systemic risk in China. China's securities regulatory authorities should base themselves on the actual situation of our country, fully learn from the successful experience of risk supervision of foreign mature securities companies, and supervise the risk of securities companies from both internal and external aspects. First of all, from the perspective of internal risk supervision, we urge securities companies to establish a sound internal risk warning mechanism and a scientific system of internal risk supervision. Secondly, referring to the regulatory measures implemented to the banking industry, Applying the supervision method of Basel Accord to securities companies innovatively, putting forward the external risk monitoring requirement to securities companies, and establishing the capital supervision system with net capital as the core; finally, In order to avoid the risk contagion effect on other financial institutions or even the real economy, the securities companies should be counted for countercyclical capital buffers according to the appropriate standards at the appropriate time, and the losses will be reduced to the lowest level.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.39

【参考文献】