基于动态保证金比率的融资融券风险防范研究

发布时间：2018-10-21 12:03

【摘要】：融资融券交易又称证券保证金交易,是西方发达国家证券市场中一种常规化的交易制度,然而在我国,诸如制度不完备,法制不健全,业务不规范等问题屡见不鲜,其中风险因素尤为关键。融资融券风险的种类有很多,对于风险的防范问题一直以来都是学者们研究融资融券交易的热点话题。西方国家的学者们对此已有了较全面的认识,并且已经成功的将理论与现实结合起来,使其对证券市场发挥了重大作用。但对于我国而言,融资融券业务算是一种新型的衍生交易工具,如何对其风险进行防范将是本文研究的重点问题。本文将从保证金比率入手来研究融资融券风险防范的问题,介绍了动态保证金制度对证券公司防范风险的重要性。在实证部分选取了两只具有针对性的标的证券,从价格、波动率、初始负债三个方面予以考虑,推导出基于GARCH模型的VaR方法的实时动态保证金比率公式。通过本文研究发现:动态保证金制度能够对融资融券风险起到一定的防范作用。在VaR方法计算出来的动态保证金比率的基础上,建议实施逐日动态盯市制度并建立相关的动态风险预警体系。该体系通过每个交易日提取的关于投资者交易的数据信息,动态的核算客户信用账户是否面临风险并加以分类,及时作出反应。为了使我国保证金制度在融资融券风险防范上发挥更大的作用,最后,本文提出了一些相关方面的关于风险防范的配套措施,希望能推动我国融资融券业务更快更好的发展。
[Abstract]:Margin trading, also known as margin trading, is a regular trading system in the securities markets of western developed countries. However, in our country, such problems as imperfect system, imperfect legal system, irregular business and so on are common. Risk factors are particularly critical. There are many types of margin risk, and the prevention of risk has always been a hot topic for scholars to study margin trading. The scholars in the western countries have a comprehensive understanding of this, and have successfully combined theory with reality, making it play an important role in the securities market. However, for our country, margin trading is a new derivative trading tool, how to prevent its risk will be the focus of this study. This paper will study the risk prevention of margin from margin ratio, and introduce the importance of dynamic margin system for securities companies to guard against risk. In the empirical part, two targeted securities are selected and considered from three aspects of price, volatility and initial debt, and the real-time dynamic margin ratio formula based on VaR method based on GARCH model is derived. It is found that the dynamic margin system can prevent the risk of margin lending. On the basis of the dynamic margin ratio calculated by VaR method, it is suggested to implement the daily dynamic market monitoring system and establish a dynamic risk warning system. The system dynamically calculates whether the customer's credit account is facing risks and classifies them, and responds in time by extracting the data information about investor's trading on each trading day. In order to make the margin system play a greater role in the risk prevention of margin, finally, this paper puts forward some related measures on risk prevention, hoping to promote the faster and better development of margin and margin business in China.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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