基于VaR方法的证券公司融资融券动态保证金设定问题研究

发布时间：2018-05-11 03:37

本文选题：融资融券 + 保证金比例　；参考：《广西大学》2017年硕士论文

【摘要】：融资融券交易是指投资者向具有融资融券资格的证券公司提供担保物,借入资金买入上市标的证券或借入上市标的证券并卖出的行为。融资融券交易的核心和关键是保证金制度,一个科学合理的保证金制度可以很好的适应经济发展的要求和证券市场的变化。目前我国融资融券交易普遍采用的是一种高比例的固定保证金制度,这种制度相比于世界上主要证券市场采用的动态保证金制度,具有明显的弊端,随着我国融资融券业务的快速发展,与之相适应的保证金制度必须尽快的完善起来。动态保证金制度通过建立风险控制模型,对模型中的风险因子进行充分考虑,然后经过模型推导得出合理的保证金收取比例,这种方式大大提高了投资者的资金使用效率。本文通过回顾总结国内外关于融资融券保证金制度文献资料,以我国融资融券交易固定保证金制度和国外的动态保证金制度进行对比分析,然后基于VaR方法建立目前国内学者研究较少的VaR-GARCH模型进行实证分析,通过中国平安股票自2011年5月12日至2015年6月30日共1000个连续交易日股票收盘价进行研究,实证结果表明,我国目前融资融券交易保证金收取比例过高,也由此说明引入动态交易保证金制度的可行性和必要性。本文主要分为四个部分,第一部分对融资融券交易及其保证金制度进行详细分析。从固定保证金制度和动态保证金制度对比的角度出发,着重比较我国现行固定保证金制度与国际上主流动态保证金制度的区别,指出我国现行固定保证金制度的弊端,并对引入动态保证金系统的成本和收益进行了详细分析。第二部分对VaR方法进行概述。首先介绍了 VaR方法的基本原理以及基本要素假设,并对VaR的三种计算方法进行了详细介绍,最后对VaR-GARCH模型进行了阐述。第三部分为本文的实证分析内容。利用基于VaR-GARCH模型,通过对中国平安这只股票在1000个连续交易日收盘价格进行分析,计算出VaR值,据此说明我国固定保证金制度下,保证金的收取比例偏高,建立与我国实际相结合以风险为基础的动态保证金制度是势在必行的。第四部分是对我国融资融券交易保证金制度未来发展的思考,并对其提出发展建议。
[Abstract]:Margin trading refers to the behavior of investors offering collateral to securities companies that have the qualification of margin lending and borrowing funds to buy or borrow securities that are listed on the market and sell them. Margin system is the core and key of margin trading. A scientific and reasonable margin system can meet the requirements of economic development and the changes of securities market. At present, a high proportion of fixed margin system is widely used in margin trading in China, which has obvious disadvantages compared with the dynamic margin system adopted in the major securities markets in the world. With the rapid development of margin trading in China, the margin system must be perfected as soon as possible. By establishing a risk control model, the dynamic margin system takes full account of the risk factors in the model, and then obtains a reasonable margin collection ratio through the model derivation, which greatly improves the efficiency of the investors' use of funds. By reviewing and summarizing the literature of margin system at home and abroad, this paper makes a comparative analysis between the fixed margin system of margin trading in China and the dynamic margin system in foreign countries. Then, based on the VaR method, the author establishes the VaR-GARCH model, which is seldom studied by domestic scholars, and studies the stock closing price of 1000 consecutive trading days from May 12, 2011 to June 30, 2015. The empirical results show that, At present, the margin collection ratio of margin trading is too high in China, which also shows the feasibility and necessity of introducing the dynamic trading margin system. This paper is divided into four parts. The first part analyzes margin trading and margin system in detail. From the point of view of comparing the fixed margin system with the dynamic margin system, the differences between the current fixed margin system in China and the mainstream dynamic margin system in the world are emphatically compared, and the drawbacks of the current fixed margin system in China are pointed out. The cost and income of introducing dynamic margin system are analyzed in detail. The second part summarizes the VaR method. At first, the basic principle and essential factor hypothesis of VaR method are introduced, and three calculation methods of VaR are introduced in detail. Finally, the VaR-GARCH model is described. The third part is the empirical analysis of this paper. Based on the VaR-GARCH model, the paper analyzes the closing price of China Ping an stock in 1000 consecutive trading days, and calculates the VaR value, which shows that under the fixed margin system in our country, the margin collection ratio is on the high side. It is imperative to establish a dynamic margin system based on risk. The fourth part is thinking about the future development of margin system of margin trading in China, and puts forward some suggestions for its development.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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