【作者】 石晶晶；

【导师】 姚小义；

【作者基本信息】 湖南大学 ， 金融学， 2006， 硕士

【摘要】 资产管理是国际证券商的主要业务和重要的利润来源,美林、高盛等国际知名大投资银行的资产管理给公司带来丰厚回报的同时也推动了国际金融市场的发展与繁荣。从20世纪90年代后期开始,通过业务的整合与创新,资产管理业务逐渐成为我国证券公司尤其是创新类券商的重要业务。但近几年国内大部分券商在该业务领域的违规和超规模经营给公司造成了巨额亏损和引起了局部的市场风险,严重制约了我国证券公司的生存与发展。如何为券商规范和创新后的资产管理业务提供风险控制方法,以获得更多投资者的认可,是国内证券业紧迫需要解决的问题。所以本文从我国券商资产管理业务现状出发,研究了券商资产管种类与风险管理的必要性,并就如何控制风险进行了深入探讨,提出的相关措施建议对于改变券商亏损状态、提高竞争和盈利能力,具有重要的现实意义。首先,本文对资产管理业务定义进行了理论阐述,并介绍了本文进行券商资产管理业务风险分析和控制时用到的风险管理的相关理论,VaR方法和资产负债管理法。其次,对我国券商资产管理业务现状及创新情况进行了研究,并通过分析得出了我国券商开展资产管理业务时存在的几大类风险:规模风险、结构风险、契约风险和管理风险等。然后从国际投行资产管理业务发展给我国券商带来的外部压力和我国券商资产管理业务发展的内在要求两方面分析了券商资产管理业务风险管理的必要性。再次,对券商资产管理业务风险控制进行深入探讨。对各类风险进行了分析,实证研究了如何控制规模风险,并引入相关风险控制指标进行券商资产负债结构的衡量,对如何控制契约风险和道德风险提出了相关方法建议。最后,指出了我国券商资产管理业务风险控制体系的不健全,并借鉴国外投资银行的资产管理业务风险控制体系,就如何加强券商资产管理业务风险体系的内部建设和外部监管提出了对策建议。更多还原

【Abstract】 Asset management is the main business and the important profit source of the international securities companies, the international well-known investment banks, such as Merrill Lynch, Goldman Sachs and so on, whose asset management has brought the rich repayment to the company and at the same time has impelled the development and the prosperity of the international money market. Since the later period of 1990s, the asset management service has gradually becoming the important service of our securities companies in particular those innovative companies by way of conformity and innovation of this business. However, because of the rule-breaking operations and the over-scale management in recent years, most of the Chinese securities companies had suffered a severe deficit, which had also caused the partial market risk, and this situation had greatly limited the viability and the development of our securities companies. How to manage the business to offer the risk control method for the asset management of our securities companies after the standardization and innovation, in order to be approved by more investors, it is a domestic urgent problem to be solved of securities business. Therefore this article starts from the present condition of the asset management of our securities dealers, then has studied the type of the risk of this business and the necessity of risk management, and also has carried on a thorough discussion on how to control the risk. The relevant study on how to change the loss situation, improve competitive and profit ability, has important practical significance.Firstly, this article sets the theory elaboration on the definition of the asset management, and introduces the relevant theories of risk management which used by analyzing and controlling the risk of the asset management of our securities companies, such as VaR method and asset-liabilities management method.Secondly, this article carries research on the present situation and innovation of our securities companies, and includes the risk which exists in the conduction of asset management such as: scale risk, structure risk, contract risk and management risk and so on. Then it analyzes the necessities of the risk of the asset management of our securities companies from two points, one of which is the external pressure of the assets management development of international securities companies bring to our securities dealers, and the other is the internal requirement of the development of the assets management business of our securities companies. Thirdly, it carries on a thorough discussion on how to control the risk of asset management. Then it analyses different kinds of risks, and does the research on how to control the scale risk by means of empirical method. Then this paper tries to introduce some relevant risk control index to measure the structure of the assets and liabilities of the securities companies, and puts forward some relevant proposals on how to control the contract risk and the moral risk.Finally, this thesis points out the imperfection of the risk control system of the asset management of our securities companies, and probes into some relevant study on how to strengthen the internal construction and exterior supervising of the risk control system by studying the experience of overseas investment bank .更多还原