国内券商自营业务模式的创新研究

发布时间：2018-01-31 15:55

本文关键词： 大自营金融创新国际投行套利策略 OTC 大交易部　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：由于行业发展的自然规律，自2006年以来，我国券商行业的经济业务的黄金时代已然结束，在通道业务利润率下滑，佣金战愈发激烈的环境下，笔者通过量化分析，检验出目前国内投行的投资效率相当低下，如何通过创新业务改进盈利模式显得愈发重要。根据目前金融创新的政策背景，笔者提出了大自营、大投行、大资管模式作为未来券商发展趋势，并就其中大自营问题展开论述。笔者通过国际投行近几十年的发展历程，总结其中的成功经验和教训，并以高盛、摩根斯丹利、野村证券等大牌投行盈利模式与组织架构展开具体分析，提供国内券商借鉴。国内券商的现状为传统业务逐渐停滞发展甚至萎缩，而创新业务则在2012年郭树清主席提出大力推进金融创新后，取得了蓬勃的发展。笔者在海通证券有多年的工作经历，在本文中以海通证券为实例，逐一讨论传统业务和创新业务的现状与趋势，结合海通的组织架构，以分析国内典型大型券商的业务模式优劣势。第四部分是本论文的核心所在，基于对国际投行的经验与国内券商现状的对比，笔者首先概括了目前政策监管的发展方向，在创新在前，监管跟上的大背景下，就自营业务的具体套利模型做了逐一讨论，以国内交易所的实际历史数据为基础，，对各种理论的套利模型进行实证检测，为自营业务设计创新产品和套利策略，其中主要包括无风险套利的ETF一二级市场套利、适合风险厌恶型投资者的沪深300股指期货期现套利、通过相同标的ETF之间的价差波动实现套利的ETF配对交易、行业择时与轮动及行业动量策略套利和结构化产品套利。 OTC作为券商融资平台、签订互换协议（对赌）以及推出各种金融创新产品的零售平台，对于大自营模式有举足轻重的意义，笔者在此也用了一定的篇幅进行阐述。最后，在组织架构方面，笔者提出应由以产品和业务为中心逐步转变为以大自营为中心，最终形成零售客户、机构客户、企业客户和财富管理四大事业部，并组成“大交易部”部门。
[Abstract]:Because of the natural law of industry development, since 2006, the golden age of economic business of China's securities industry has been over, in the environment of declining profit margin of channel business and increasingly fierce commission war. Through quantitative analysis, the author tests that the investment efficiency of domestic investment banks is rather low, how to improve the profit model through innovative business becomes more and more important. According to the current policy background of financial innovation. The author puts forward the model of big self-support, big investment bank and large capital management as the developing trend of securities companies in the future, and discusses the problem of large self-management. Through the development of international investment banks in recent decades, the author summarizes the successful experiences and lessons, and carries out a specific analysis of the profit model and organizational structure of the major investment banks such as Goldman Sachs, Morgan Stanley, Nomura Securities and so on. To provide reference for domestic securities companies. The current situation of domestic securities firms is that the traditional business gradually stagnates and even shrinks, while the innovation business is put forward by President Guo Shuqing in 2012 to promote financial innovation. The author has many years of work experience in Haitong Securities. Taking Haitong Securities as an example, this paper discusses the current situation and trend of traditional business and innovative business one by one, and combines the organizational structure of Haitong. In order to analyze the advantages and disadvantages of the business model of typical domestic large securities companies. The 4th part is the core of this paper. Based on the comparison between the experience of international investment banks and the current situation of domestic securities firms, the author first summarizes the development direction of the current policy supervision, ahead of innovation. Under the background of supervision, the paper discusses the specific arbitrage model of proprietary business one by one. Based on the actual historical data of domestic exchanges, the arbitrage models of various theories are tested empirically. Design innovative products and arbitrage strategies for proprietary business, including risk-free arbitrage of the ETF secondary market arbitrage, suitable for risk-averse investors of the CSI 300 stock index futures arbitrage. The arbitrage ETF pairing transaction is realized by the fluctuation of the price difference between the same target ETF, the industry timing and rotation and the industry momentum strategy arbitrage and the structured product arbitrage. As a securities financing platform, OTC signed swap agreements (bet) and launched a variety of financial innovation products retail platform, which is of great significance for the large proprietary model. Finally, in the organizational structure, the author proposed that the product and business as the center should be gradually changed to a large self-centered, and finally formed retail customers, institutional customers. Enterprise customer and wealth management four divisions, and formed a "big trading" department.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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