基于复杂系统脆性理论的券商风险建模及应用研究

发布时间：2018-01-06 07:00

本文关键词：基于复杂系统脆性理论的券商风险建模及应用研究　出处：《中国海洋大学》2014年硕士论文　论文类型：学位论文

【摘要】：巴林银行曾是历史显赫的英国老牌贵族银行,1995年山于其驻新加坡期货公司总经理李森的经营失误,在损失13亿美元之后,巴林银行宣布倒闭。在国内,光大证券曾是综合实力首屈一指的券商。2013年因为乌龙指事件遭遇1.94亿元的重大损失,遭受证监会处罚并移交司法机关。由此可见,一旦券商复杂系统的任何一个子系统出现崩溃,有可能波及整个券商复杂系统。因此券商风险管理和控制对券商乃至我国金融体系建设都有十分重要的意义。本文利用定性和定量分析相结合的方法。在理论研究方面,利用复杂性科学理论剖析证券行业运营机制、研究影响证券行业风险脆性的脆性因子。在这些因子的基础上,进而利用我国109家券商的实例进行实证研究。首先利用基础的主成分分析方法,使用IBM SPSS21进行程序运算,初步提取影响券商风险的主要脆性事件,并利用指标排序,找出我国此109家券商在各个方面的优点和不足。在此基础上利用结构方程建模理论和方法,使用Lisre18.7专业软件对可能的脆性因子和脆性事件及其相互作用机理进行定量分析,得出脆性因子和脆性事件的数据关系结构。通过以上研究,获得了一下研究成果及结论：我国2011年109位券商数据的结构和三个潜变量分别为券商的运营能力、筹资能力和资本实力。这三个潜变量的关系为券商运营能力缺乏导致券商筹资能力缺乏,和券商运营能力缺乏导致券商资本实力差。因此,券商的破产风险集中券商运营能力上,而运营能力的缺乏会引起筹资能力和资本实力的连锁反应,最终导致整体崩溃。由券商复杂系统脆性综合结构模型,可以看出与影响券商风险管控的根本脆性事件的相关子系统有人力资源子系统、风险管理子系统、自营业务子系统和研发子系统。我国券商在对应主脆性事件运营能力缺乏的方面应该从对应的子系统入手,采取措施提高抗脆性风险的能力,如扩展自营业务种类、杜绝依赖资本实力肆意操纵市场、杜绝违规操作、建立良好的监察机制、了解和引导投资者的认知、多样化经营业务、研发多种金融和金融衍生产品、丰富交易模式单一和提高研发认识。
[Abstract]:Bahrain Bank was a historic British old aristocrat bank. In 1995, Li Sen, general manager of its Singapore futures company, made a mistake, after losing $1.3 billion. Bahrain Bank announced the closure. In the country, Everbright Securities was the most comprehensive strength of the brokerage. 2013 because of the Oolong finger incident suffered a significant loss of 194 million yuan. To be punished by the CSRC and transferred to the judiciary. This shows that once the securities complex system of any subsystem collapse. Therefore, risk management and control of securities firms are of great significance to the construction of securities firms and even our financial system. This paper makes use of the method of combining qualitative and quantitative analysis. On the other hand. This paper analyzes the operation mechanism of securities industry by using the theory of complexity science, and studies the brittleness factors that affect the risk brittleness of securities industry. Then we use the examples of 109 securities companies in China to carry out empirical research. Firstly, we use the basic principal component analysis method, using IBM SPSS21 to program. The main brittleness events that affect the risk of securities firms are preliminarily extracted, and the advantages and disadvantages of these 109 securities firms in China are found out by using the ranking of indicators. On this basis, the theory and method of structural equation modeling are used. The data relationship structure between brittleness factor and brittleness event is obtained by quantitative analysis of the possible brittleness factor and brittleness event and its interaction mechanism by using Lisre18.7 software. Obtained the following research results and conclusions: in 2011, the data structure of 109 securities firms and three latent variables are respectively the operational capacity of securities companies. The relationship between these three latent variables is that the lack of operation ability leads to the lack of financing ability, and the lack of operation ability leads to the poor capital strength of securities firms. The bankruptcy risk of the securities companies concentrates on the operation ability of the securities companies, and the lack of the operation ability will cause the chain reaction of the financing ability and the capital strength, and eventually lead to the collapse of the whole. It can be seen that there are human resource subsystem and risk management subsystem which affect the risk management of securities firms. China's securities companies should take measures to improve their ability to resist brittleness risks from the corresponding subsystems in terms of the lack of operational capability corresponding to the main brittle events. Such as expanding the types of proprietary business, stop relying on capital strength wanton manipulation of the market, stop illegal operations, establish a good monitoring mechanism, understand and guide the understanding of investors, diversified business. Research and development of a variety of financial and financial derivatives, rich trading model single and improve R & D awareness.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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