基于Copula-VaR模型的G证券公司FICC业务风险度量优化研究

发布时间：2018-04-16 00:24

本文选题：证券公司 + FICC业务　；参考：《华东师范大学》2017年硕士论文

【摘要】：FICC即固定收益证券、货币及大宗商品,是投资银行针对机构客户提供的一项品种多样、服务专业的综合金融服务,该业务整体风险大、风险结构复杂,国内外对此均缺乏系统性研究,国内证券公司的相关风险管理体系建设也在摸索之中。在分析FICC业务风险种类及其特性的基础上,总结得出确定有效的综合性风险度量方法是做好FICC业务风险管理、促进业务协调发展的关键。通过总结国内外理论及实践中综合风险管理的各项方法,比较简单加总、加权加总以及Copula-VaR法在FICC业务综合风险度量上的优劣,针对G证券公司在该业务风险管理上存在的实践前提不足和综合风险度量精确度不足等问题,从理论层面选取Copula-VaR法进行优化。本文通过模拟该券商持仓组合数据进行了实证分析,对比得出Copula-VaR方法在应用前提、次可加性描述及厚尾风险描述等方面均优于其他方法,切实解决了 G证券公司综合风险度量上的问题,避免了风险的高估,在同等风险限额的前提下,可减少风险资本的无效占用,有助于促进业务发展。基于理论研究及实证分析的过程和结论,对G证券公司FICC业务部门应用Copula-VaR法提高综合风险度量精确度提出相关配套措施,以期对证券公司优化FICC业务风险管理体系、促进业务健康发展提供一定的借鉴意义。
[Abstract]:FICC, or fixed income securities, currency and commodities, is an integrated financial service provided by investment banks to institutional clients in a variety of ways and specialized in services. The overall risk of the business is high and the risk structure is complex.There is a lack of systematic research at home and abroad, and the construction of the related risk management system of domestic securities companies is also in the process of exploration.On the basis of analyzing the types and characteristics of FICC business risks, it is concluded that the key to do well in FICC business risk management and promote the coordinated development of business is to determine an effective comprehensive risk measurement method.By summing up the methods of comprehensive risk management in theory and practice at home and abroad, this paper compares the advantages and disadvantages of the methods of adding, weighting and Copula-VaR in the comprehensive risk measurement of FICC business.In order to solve the problems such as insufficient practical premise and insufficient accuracy of comprehensive risk measurement in the risk management of G securities company, the Copula-VaR method is selected to optimize from the theoretical level.In this paper, the empirical analysis is made by simulating the portfolio data of the securities firm, and the conclusion is drawn that the Copula-VaR method is superior to other methods in terms of application premise, secondary additivity description and risk description with thick tail.It can effectively solve the problem of comprehensive risk measurement of G securities company, avoid the risk overestimation, reduce the invalid occupation of venture capital under the premise of the same risk limit, and help to promote the development of business.Based on the process and conclusion of theoretical research and empirical analysis, this paper puts forward some relevant measures to improve the accuracy of comprehensive risk measurement by applying Copula-VaR method to the FICC business department of G Securities Company, in order to optimize the risk management system of FICC business for the securities company.To promote the healthy development of business to provide certain reference significance.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F832.51

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