【作者】 肖新华；

【导师】 刘冬荣；

【作者基本信息】 中南大学 ， 工商管理， 2010， 博士

【摘要】 一直以来,证券公司自营业务风险已成为国内外证券公司、理论界和证监会共同关注的对象。在我国,随着证券公司规模的不断扩大和世界金融危机的进一步加深,证券公司自营业务风险管理问题也日益突出。因此,研究证券公司自营业务风险管理对于证券公司风险的有效管理、我国风险管理研究的发展,乃至我国金融体系的建设都具有十分重要的意义。本文以证券公司自营业务风险管理为研究对象,在前人研究的基础上,针对我国证券公司自营业务的实际特点,利用文献分析法、专家访谈法、规范分析与实证分析、定性分析与定量分析相结合的方法,按照“风险的识别——风险的度量——风险的控制”这样一个合乎逻辑的过程展开,层层递进,较系统、全面地研究了我国证券公司自营业务风险的识别、度量、控制及其监管。首先,本文对证券自营业务风险管理的理论进行综述。从风险的一般认识以及风险管理的基本程序出发,进一步深化了对风险的认识；从证券投资风险的特性、证券投资风险的分类讨论了证券投资风险理论；阐述了在险价值理论,介绍了投资组合理论和控制论。这些理论为证券自营业务风险的识别、度量、构建、实施自营业务风险预警、进行自营业务风险监管提供了强有力的理论支撑。接着,探讨了证券公司自营业务风险管理存在的问题,同时从证券自营业务风险形成的内部根源、自营业务风险形成的外部根源及自营业务风险形成的特殊背景三个方面对证券公司自营业务风险的根源进行探讨。然后,应用FAHP方法,在考虑证券自营业务风险形成原因的基础上,对证券公司自营业务风险进行了识别,实证表明：各个风险因素对证券公司自营业务风险的权重大小依次是投资者信心风险、制度政策风险、操作风险、宏观经济环境风险等。因此,证券公司自营业务应将系统风险摆在第一位,注重自营业务者信心的培育；关注政府制度政策的变化；同时在证券公司自营业务时应注意操作风险,从而降低证券公司自营业务的风险。其次,本文对证券公司自营业务风险进行了度量。通过对我国证券市场股票收益率非正态分布的分析,选取东方证券公司自营股票投资为研究对象。实证研究表明：证券自营业务使用Copula理论中的Gaussian Copula函数及多元函数t-Copula来拟合投资组合中各股票的相依结构,结合Gaussian Copula函数及多元函数t-Copula与时间序列模型,借用蒙特卡罗模拟法,就可以很方便地计算证券自营投资组合的的VaR,通过对比,选择VaR最小的自营投资组合,就能有效的规避投资风险。再次,本文对证券公司自营业务风险控制进行了分析。证券公司自营业务风险控制是帮助并确保证券公司自营业务风险应对措施得以实施的程序。在借鉴国外券商自营业务风险控制的基础上,提出证券公司自营业务风险控制的总体框架,然后对证券自营的风险控制进行实证分析,最后就完善证券公司自营业务风险控制的保障措施提出了建议。最后,通过对证券公司自营业务风险监管制度和风险监管博弈的分析,提出应从建立证券自营业务风险控制的五级监管模式；完善证券公司内部监督机制；加大证券自营业务违法违规稽查力度；加强证券公司自营业务的审计四个方面来实施证券公司自营业务风险的监管。总之,本文在吸收和借鉴国内外证券公司先进风险管理方法理论的基础上,将证券公司自营业务的风险管理分为风险识别、风险度量、风险控制和风险监管进行探讨,并通过FAHP、Copula和VaR的量化分析结果,尝试建立我国证券公司自营业务的风险控制系统,这将对国内证券公司今后在自营业务的风险规避和防范方面提供一些理论和方法上的参考。更多还原

【Abstract】 All along, risk of the securities companies’proprietary trading has become the common object which the domestic and foreign securities companies, the theorists and the supervision organization pay attention to. In China, with the continuous expansion of the size of securities companies and the world financial crisis’s further deepening unceasingly, the problems of risk management of securities companies’proprietary trading have become increasingly prominent. Therefore, the study on risk management of the securities companies’proprietary trading has the very vital significance for the effective risk management of the securities companies, the development of research on risk management, and even financial system’s construction in our country.This article takes risk management of the securities companies’ proprietary trading as the study object. Based on the previous researches and the actual characteristics of the securities companies’proprietary trading in our country, the paper takes some methods such as the literature analytic method, the expert interview, the canonical parse and the empirical analysis, unifies method of the qualitative and quantitative analysis to make a more progressive, systematic and comprehensive study on risk identification, measurement, control and monitoring of the securities companies’proprietary trading in accordance with such a logical process of the "risk identification-risk measurement-risk control".Firstly, the article summarize the theories relating to risk management of securities companies’proprietary trading.There is Further deepen understanding to risk from the risk general understanding as well as main routine of risk management. The paper has discussed the risk theory of portfolio from portfolio risk’s characteristic and classification,elaborated theory of value at risk and introduced the portfolio and the cybernetics, which provided the powerful theory for the risk’s recognition, the measure, the construction, the implementing risk early warning and carring on risk supervision of securities companies’proprietary trading.Then, the article has discussed existed problem of risk management in the securities companies’proprietary trading. There is analysis on risk root of risk in securities companies’proprietary trading from three aspects such as the internal root, the exterior root and special background on risk forms.Then, on the foundation of the consideration about the risk forming reason of securities companies’proprietary trading, there is a risk identification to securities companies’proprietary trading by using FAHP method. The empirical analysis has indicated that the risk right to securities companies’proprietary trading on the various risk factors is the Investors confidence, policy risk, operational risk, the macroeconomic environment risks and so on in turn. Therefore, securities companies should be systematic risk in the first place, paying attention to the cultivation of self-confidence of business persons and the changes of system and policy of government. At the same time, securities companies should pay attention to operational risk for proprietary trading so as to reduce risk of securities companies’proprietary trading.Next, this article has carried on the risk measure to the securities companies’proprietary trading.Through analysis on non-normal distribution of stock returns ratio in our country’s stock market, the paper has choosed stock investment of the Eastern securities company’s proprietary trading as the study object. Empirical results show that using Copula theory’the Gaussian Copula functions and multiple function of t-Copula to fit the dependence structure of the portfolio of all stocks, combined with Gaussian Copula functions and multi-function t-Copula and time series model and borrowed Monte Carlo simulation method,it is easy to calculate VaR of the securities companies’proprietary trading. By contrast, we chooses the smallest VaR of portfolio’proprietary trading in order to avoid effectively investment risks.Once more, this article has analysis on risk control of the securities companies’proprietary trading. Risk control of the securities companies’ proprietary trading is procedure to help and guarantee implementation about risk counter measures of securities companies’proprietary trading. In the foundation of referring risk control of the overseas securities companies’proprietary trading, the paper has proposed risk control’s overall frame of the securities companies’proprietary trading. Then we carries on the empirical analysis to risk control of the securities companies’proprietary trading, Finally we put forward some proposals about consummating risk control safeguard mechanism of the securities companies’proprietary trading.Finally, through an analysis on risk monitoring system and game of the securities companies’proprietary trading, the paper proposes that we should implement the risk supervision of the securities companies’ proprietary trading.from four aspects such as establishing five level of supervision, perfecting securities companies’interior supervising mechanism, expansioning risk supervision jurisdiction of the securities companies’proprietary trading and strengthening the audit in the securities companies’proprietary trading.In conclusion, on base of referenced and learned from advanced risk management methods and theories of domestic and foreign securities companies, the paper has discussed by dividing the risk recognition, the risk measure, the risk control and the risk supervision. Through the quantification result of FAHP, Copula and the VaR, the paper is trying to establish self-control system of risk for the securities companies’ proprietary trading, which will provides some reference of theories and method for risk aversion and control of the securities companies’ proprietary trading from now.更多还原