DF证券融资业务风险管理问题及对策研究

发布时间：2018-02-10 01:07

本文关键词： 融资融券证券公司风险风险管理　出处：《东华大学》2017年硕士论文　论文类型：学位论文

【摘要】：随着互联网技术在证券行业应用越来越广,网络开户、手机开户等新型服务的不断推出,证券公司传统的经纪业务面临着巨大挑战。如何在激烈的竞争环境下开拓新的利润增长点,成为摆在证券公司面前亟待解决的难题。融资融券业务作为最早开始试点的证券公司创新型业务,给证券公司带来了新的收入来源。DF证券公司于2010年6月获得融资融券业务资格,迄今开展融资融券业务已经有六年多的时间。公司融资融券业务交易佣金费率高于传统经纪业务的佣金费率,而且可以取得利息收入,从而大大增加了公司的收益。但是,融资融券业务毕竟是一种高风险的创新型证券业务。为了防控融资融券业务风险,东方证券建立了相关的风险管理架构,制定了风险管理措施和应急处理机制。但是,这一风险管理体系还或多或少存在着一些不足之处,需要进一步完善。本文以DF证券公司融资业务的风险管理为研究对象,着重研究占据融资融券业务绝大部分的融资业务的风险管理。首先对证券公司开展融资业务面临的风险梳理为客户信用风险、标的证券风险和市场风险三方面,并介绍了目前针对这三方面风险的风险管理理论和方法。其次,对DF证券公司融资融券业务的风险管理制度、措施进行梳理和分析,指出其中存在的问题,并通过分析这些问题对风险影响因素的驱动作用,找出这些问题对触发强制平仓风险的影响。接下来,以300ETF为融资标的证券在实验账户中进行定量计算,分析不同市场状态下实验账户触发强制平仓的可能性,对DF证券融资业务风险管理的问题进行验证。最后,根据前面定性分析和定量计算的结果,对DF证券公司融资业务的风险管理中存在的问题,有针对性地提出改进对策。通过对DF证券公司融资业务风险管理问题的分析,本文得出了以下结论。第一,DF证券公司应当改进客户评价体系,将客户评价分为盈利性和风险性两个层面,以避免统一评价可能带来的利益冲突。第二,公司应当将融资保证金比例与标的证券的特有风险挂钩,重视对标的证券风险的管理。第三,公司应当对可充抵保证金证券的折算率进行差异化设置,以期更好地反映其波动特点和风险特征。第四,DF证券公司应当考虑建立一套监控市场变化的动态机制,实时追踪市场波动,以便于在市场出现异常波动时能够及时采取应对措施来降低风险。希望本文的工作能够进一步完善DF证券融资业务的风险管理体系。
[Abstract]:As Internet technology is more and more widely used in the securities industry, new types of services, such as network account opening, mobile phone account opening, etc, have been launched. The traditional brokerage business of securities companies is facing a great challenge. How to open up new profit growth points in the fierce competition environment, It has become a difficult problem to be solved urgently in front of securities companies. As the earliest innovative business of securities companies, margin financing and short selling business is the first to start a pilot project. A new source of revenue for securities firms. DF Securities was eligible for margin trading in June 2010. It has been more than six years since we started the margin and short selling business. The commission rate for trading in margin trading is higher than that for traditional brokerage business, and interest income can be earned, which greatly increases the company's income. In order to prevent and control the risk of margin trading, Orient Securities has established a related risk management framework, developed risk management measures and emergency management mechanism. However, in order to prevent and control the risk of margin trading, oriental securities has established a related risk management framework, developed risk management measures and emergency management mechanism. This risk management system has some shortcomings, which need to be further improved. This paper takes the risk management of the financing business of DF securities company as the research object. It focuses on the risk management of the financing business, which accounts for most of the margin financing business. Firstly, the risks faced by the securities companies in carrying out the financing business are combed into three aspects: customer credit risk, underlying securities risk and market risk. It also introduces the theory and method of risk management in these three aspects. Secondly, it analyzes the risk management system and measures of the margin and margin business of DF securities company, and points out the existing problems. By analyzing the driving effect of these problems on the risk factors, we find out the impact of these problems on triggering the forced liquidation risk. Then, we use 300 ETF as the financing target securities to carry out quantitative calculation in the experimental account. This paper analyzes the possibility of the experimental account triggering forced closure of positions under different market conditions, and verifies the risk management of DF securities financing business. Finally, according to the results of qualitative analysis and quantitative calculation, This paper puts forward some countermeasures to improve the risk management of the financing business of DF securities company through the analysis of the risk management problems in the financing business of DF securities company. This paper draws the following conclusions: first, DF Securities Company should improve the customer evaluation system and divide the customer evaluation into two levels: profitability and risk, in order to avoid the possible conflicts of interest brought by unified evaluation. The company should link the financing margin ratio with the specific risk of the underlying securities and attach importance to the risk management of the underlying securities. Third, the company should set up the conversion rate of the rechargeable margin securities differently. In order to better reflect its volatility and risk characteristics. 4th / DF Securities Company should consider establishing a dynamic mechanism to monitor market changes and track market fluctuations in real time. In order to reduce the risk, we hope that the work of this paper can further improve the risk management system of DF securities financing business.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.39;F272.3

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