【作者】 史明坤；

【导师】 邱兆祥；

【作者基本信息】 暨南大学 ， 金融学， 2009， 博士

【摘要】 证券公司面临资本市场及外部条件与自身行为能力两方面风险的共同作用,所有风险都与各主体行为密切相关,既要分析外部环境和客观条件变化造成的不确定性带来的风险,又要分析主体行为的复杂性和多变性等产生的风险。现有理论方法侧重研究外部不确定变化事物的风险的产生和防范等风险控制管理技术,本博士学位论文则用博弈论、行为金融等新的理论观点和方法,针对所处的现实环境,着重分析论证中国证券公司的行为风险和提升风险监控水平的途径,主要探讨以下几点:(1)推广和深化对风险类型与成因的分析,明确界定行为风险的含义和特征,考察偏离理性和规范的行为导致的资本市场不确定性等影响因素和证券公司风险产生的行为原因;(2)利用分离均衡、信号显示、投资行为偏离等动态博弈和行为金融理论的有关概念和模型方法,重点探讨分类监管条件下证券公司行为风险的主要表现形式、成因和风险监控的博弈均衡策略选择;(3)对证券公司总体的风险监控水平与关键影响因素、行为变量的相互关系等进行案例研究、计算模拟和经济计量相结合的综合实证分析,进一步从提高行为能力角度提出有效监控和防范风险的切实可行的措施建议。所得的基本结论是:中国的证券公司必须增强内部风险监控意识,重视合规管理工作,全方位地加强自身行为能力建设,并与合理选择应用风险控制管理的技术方法相结合,这是符合当前分类监管要求和长远发展目标、提高风险监控水平必要的有效的可行途径。更多还原

【Abstract】 Securities companies are facing risks from both external environment,such as capital market,and self-behavior ability.All risks are highly related to subject behaviors.It is necessary to analyze both the risks from the uncertainties caused by the changes of external environment and objective conditions,and the risks from the complexity and polytropy of subject behaviors. Current theories focus on the risks from external uncertainties and their management techniques. The aim of this paper is to analyze the behavior risks for Chinese securities companies and ways to upgrade risk monitoring level in real work environment,based on new financial theories,such as game theory and behavioral finance.Main topics are as follows:Ⅰ.to promote an in-depth analysis of risk types and causes,to clearly define behavior risk and its characteristics,to analyze risk factors,such as uncertainties in the capital market,caused by irrational behaviors and the behaviors contributing to securities companies’ risks;Ⅱ.to discuss the forms and causes of securities companies’ behavior risk,and game equilibrium strategy selection in risk monitoring under the classified regulation regime,based on dynamic game theories,such as separation equilibrium,signaling and investment behavior deviation,and concepts and models in behavior finance;Ⅲ.to conduct a comprehensive empirical study on the correlations of risk monitoring level of securities companies and key influential factors and behavior variables,integrating case study, computer simulation and econometrics,and present practical propositions for effective risk monitoring and prevention from the perspective of upgrading behavior ability.The conclusion is:Chinese securities companies should uplift the awareness of internal risk monitoring,emphasize compliance management,and improve all-dimensionally self-behavior ability construction,combined with rationally selected risk monitoring techniques.This is a necessary,effective and feasible method to upgrade risk monitoring level,satisfying the classified regulation requirement and long-term development vision.更多还原