基于倒向随机微分方程的证券投资者保护基金研究

发布时间：2018-03-28 18:54

本文选题：证券投资者保护基金　切入点：倒向随机微分方程　出处：《天津大学》2014年硕士论文

【摘要】：我国证券市场很显然是一个刚刚兴起的市场，然而近几年来由于金融危机或者内部操作风险等原因，市场出现了大量证券公司倒闭进而投资者纷纷从证券市场撤资的现象作为议价能力较低的群体，中小证券投资者无疑是利益容易受到损害的群体基于此，2005年我国ǎ证券投资者保护基金管理办法ǐ，并在同年成立了证券投资者保护基金公司，标志着我国证券投资者保护基金制度步入起始阶段中国证券投资者保护基金的基本功能就是按照相关规则筹集资金管理基金和使用基金，使其顺利实现保护投资者的目标，其资金主要来源于作为会员的证券公司每年向证券投资者保护基金交付的会员费用；其主要支出为当证券公司被撤销关闭和破产时，按照国家有关政策对债权人予以的偿付，即对投资者的损失进行补偿本文立足于我国证券市场的现状以及证券投资者保护基金的相关理论，运用定量的方法，将保护基金资金来源（证券公司等缴纳的会费等）投资运作机制以及证券投资者账户结构统一到一个分析过程中，使得研究与先前相比具有相对精确性系统性和前瞻性文章主要通过倒向随机微分方程（BSDE）的方法建立系统模型将证券投资者保护基金的一整套研究过程巧妙的统一起来，达到已知期末状态数据而获得起初要收取会员费用的目的文章首先估计某一时刻券商的破产比例，进而获得在某一既定范围内的中小投资者的赔付比例及金额；其次，将期末赔付金额与与投资收益相结合，建立线性倒向随机微分方程，根据一类特殊线性倒向随机微分方程的显式解，获得期初资金需求值，并据此阐述保护基金公司的筹资投资决策文章对我国证券投资者保护基金在筹资赔偿等问题上采取的经验模式进行了探讨，并对完善我国证券投资者保护基金提出了一些有针对性的建议我国建立证券投资者保护基金具有非常深远的意义，一方面，以往我国政府一直以来承担起证券公司破产清算导致的后果，即对受损的证券投资者进行赔偿，保护基金的建立将改变这种现状；另一方面，我国证券投资者保护体系在投资运作机制监管职能等各方面还很不完善，保护基金的建立为此提供了一个新的方法，当然，，目前我国保护基金非常需要借鉴世界各国成功经验和做法
[Abstract]:China's securities market is obviously a newly emerging market. However, in recent years, due to the financial crisis or internal operational risks, A large number of securities companies closed down in the market, and investors withdrew from the securities market one after another as a group with low bargaining power. There is no doubt that small and medium-sized securities investors are vulnerable groups. Based on this, in 2005, China set up securities investor protection fund management measures, and set up the securities investor protection fund company in the same year. It marks the initial stage of China's securities investor protection fund system. The basic function of China Securities Investor Protection Fund is to raise funds, manage funds and use funds in accordance with relevant rules, so that they can smoothly achieve the goal of protecting investors. Its funds are mainly derived from the annual membership fees paid by a securities company as a member to the Fund for the Protection of Securities investors; its main expenses are the repayment of creditors in accordance with the relevant policies of the State when the securities company is revoked, closed or bankrupt, Compensation for investors' losses. Based on the current situation of China's securities market and the relevant theories of securities investors' protection funds, this paper uses quantitative methods. Unifying the operating mechanism for the protection of the fund's sources of funds (contributions paid by securities companies, etc.) and the structure of the securities investor's accounts in one analysis process, This makes the research more accurate, systematic and forward-looking than before, mainly through the method of backward stochastic differential equation (BSDE) to establish a systematic model to integrate the whole research process of the securities investor protection fund ingeniously. First, the paper estimates the bankruptcy rate of securities firms at a certain time, and then obtains the proportion and amount of compensation paid by small and medium-sized investors within a given range. Combining the final compensation amount with the investment income, the linear backward stochastic differential equation is established. According to the explicit solution of a special kind of linear backward stochastic differential equation, the initial capital demand value is obtained. Based on this, the paper discusses the empirical model of the fund protection fund in our country, such as fund raising compensation and so on, based on the analysis of the financing and investment decision of the protection fund company. Some suggestions are put forward to perfect the protection fund of China's securities investors. The establishment of securities investor protection fund in China has far-reaching significance. On the one hand, our government has been bearing the consequences of bankruptcy liquidation of securities companies in the past, that is, compensation to the injured securities investors. The establishment of the protection fund will change this situation; on the other hand, the protection system of the securities investors in our country is not perfect in all aspects, such as the regulatory function of the investment operation mechanism. The establishment of the protection fund provides a new method for this, of course, At present, it is very necessary for China's protection fund to learn from the successful experiences and practices of various countries in the world.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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