基于CVaR法的A证券公司融资融券市场风险控制研究

发布时间：2018-08-23 15:02

【摘要】：2010年3月,A证券公司等六家拥有较强综合实力的券商首次正式开通了融券融资业务,掀开了我国正式运行双边信用交易的序幕。作为一种创新的信用交易方式,融券融资交易的特点是允许卖空交易以及具有杠杆效应。融券融资业务可以说是一把“双刃剑”,在为券商扩大收益的同时也加大了面临的市场风险。因此,如何有效进行融资融券市场风险的控制成为我国证券公司得以长期稳定发展的关键。本文以融券融资业务的首批试点券商 A证券公司为研究对象,结合相关市场风险管理知识,通过CVaR风险测度方法进行实证研究,深入剖析了融资融券市场风险的控制问题,并提出了相关政策建议。首先,全面阐述了本文的研究背景、研究方法、研究意义、研究思路及创新点等,并对相关文献进行了归纳和总结;其次,介绍了融券融资业务市场风险的相关理论,分别从融券融资业务的相关概念和发展现状、面临市场风险的内涵以及市场风险管理理论等展开了论述;再次,针对A证券公司,在介绍其融券融资业务发展概况的基础上,深入探究了该业务市场风险的成因、表现以及控制现状等;然后,采用实证手段,研究并验证了基于GARCH CVaR模型来进行融资融券市场风险控制的合理性,为下一章提出构建基于CVaR法的动态保证金制度和市场风险预警系统的事中控制措施奠定基础;最后,从事前、事中、事后三环节针对A证券公司控制融券融资市场风险问题提出政策建议。本文的主要结论如下:首先,通过对A证券公司融券融资业务发展现状、市场风险管理状况等研究,本文认为该公司的融券融资市场风险控制体系较为健全,管理程度较为严格,尤其在保证金制度方面采取固定保证金比例,这虽能有效控制此业务可能带来的市场风险,但却也极大影响了投资者的资金使用效率,不利于公司实现避险和获利双赢目的。其次,在案例分析中,本文基于VaR GARCH模型和CVaR GARCH模型分别对A证券公司标的证券中信证券进行风险度量,通过比较分析以及Kupieec和DLC事后检验可得,VaR模型和CVaR模型在度量单个金融资产市场风险上均具有效性,且采用CVaR方法较VaR方法更能覆盖标的证券可能面临的市场风险。因此,基于GARCH CVaR模型来控制融券融资业务的市场风险是行之有效的,这为下一章提出构建基于CVaR值的动态保证金制度和市场风险预警系统的事中控制措施打下基础。综上所述,本文认为A证券公司可尝试通过GARCH CVaR方法来控制其融券融资业务的市场风险。最后,本文提出A证券公司应从事前、事中、事后三个环节进行融券融资市场风险控制的政策建议。事前,完善A证券公司融券融资市场风险的内控体系;事中,A证券公司基于CVaR值建立融券融资市场风险动态保证金制度和市场风险预警系统;事后,A证券公司设立融券融资市场风险披露机制与市场风险处置机制。
[Abstract]:In March 2010, six securities firms, such as A Securities Company and other securities companies with strong comprehensive strength, officially opened the margin financing business for the first time, which opened the prelude to the formal operation of bilateral credit transactions in China. As an innovative way of credit trading, margin trading is characterized by allowing short selling and leverage. Margin financing can be said to be a "double-edged sword", which increases the market risk while expanding the income for securities companies. Therefore, how to effectively control the risk of margin market becomes the key to the long-term and stable development of securities companies in China. In this paper, the first batch of securities company of short margin financing business is taken as the research object, combining with the knowledge of market risk management, the paper makes an empirical study through the method of CVaR risk measurement, and deeply analyzes the problem of controlling the market risk of margin financing and margin trading. And put forward the relevant policy recommendations. First of all, this paper comprehensively describes the research background, research methods, research significance, research ideas and innovation points, and summarized the relevant literature. Secondly, introduced the relevant theory of market risk of margin financing business. Respectively from the securities financing business related concepts and development status, facing the connotation of market risk and market risk management theory, etc.; thirdly, for A securities company, on the basis of introducing the general situation of its margin financing business development, This paper probes into the causes, performance and control status of the market risk in this business. Then, the rationality of the risk control of margin market based on GARCH CVaR model is studied and verified by the empirical method. It lays a foundation for the next chapter to establish the dynamic margin system based on CVaR and the control measures of market risk early warning system. After the three links A Securities Company to control the risk of margin financing market policy recommendations. The main conclusions of this paper are as follows: firstly, through the research on the current situation of margin financing business and market risk management of A Securities Company, this paper thinks that the securities margin financing market risk control system of this company is relatively sound. More strict management, especially in the margin system to adopt a fixed margin ratio, although this business can effectively control the potential market risks, but also greatly affected the efficiency of the use of funds by investors. It is unfavorable for the company to achieve a double-win goal of avoiding risks and making profits. Secondly, in the case study, based on VaR GARCH model and CVaR GARCH model, we measure the risk of the underlying securities of A securities company. Through comparative analysis and post-test of Kupieec and DLC, it can be concluded that Kupieec model and CVaR model are effective in measuring the market risk of individual financial assets, and CVaR method can cover the market risk of underlying securities better than VaR method. Therefore, it is effective to control the market risk of margin financing based on GARCH / CVaR model, which lays a foundation for constructing dynamic margin system based on CVaR value and market risk early warning system in the next chapter. To sum up, A Securities Company can try to control the market risk of its margin financing business by GARCH CVaR method. Finally, this paper puts forward the policy suggestions on the risk control of margin financing market in three aspects: before, during, and after the A securities company should engage in. In advance, we should perfect the internal control system of margin financing market risk of A securities company, and establish the dynamic margin system and market risk warning system based on CVaR value. Afterwards, A Securities Company set up the mechanism of market risk disclosure and market risk disposal.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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