【作者】 顾燕平；

【导师】 王怀明；

【作者基本信息】 南京农业大学 ， 金融学， 2006， 硕士

【摘要】 期货市场是市场经济的必然产物，国际期货市场决定了当今多数大宗商品的价格，所以中国需要一个高效、完善、具有国际竞争力的期货市场。建立这样的期货市场需要多方面的努力，其中一个就是控制风险。期货公司是期货市场上风险高发的主体，另外期货公司的特殊中介地位和艰难的生存现状以及特殊的风险特性都决定了其需要风险管理。 期货公司的风险贯穿其整个生命周期，且各种风险间存在着相互联系，所以应进行全面风险管理。当然全面风险管理，首先要尽可能地识别出公司尽可能多的风险，所以文章按照风险产生的时间段、产生风险的主体、主体引发风险的途径及产生的具体风险等为线索，对期货公司的风险进行了识别和归类，并用一张图进行了表示。严格的全面风险管理成本很高，所以应分步去实现。目前最主要的风险是其平稳发展期面临的风险。给公司带来风险的主体有外部主体也有内部主体，但目前的风险事件通常由期货公司内部控制不够完善、客户信用不佳和市场不利变动共同导致的，本着全面风险管理的思想，应综合考虑这三方面的因素。 所以本研究，首先，对期货经纪公司的相关概念进行了界定；其次，在理论上探讨了期货公司风险的特殊性，并界定本研究是站在期货公司立场上的研究，同时用多种风险识别法对期货公司的风险进行了识别，并尝试将这些风险在一张图中系统地表示出来；再次，对期货公司风险现状进行分析，得出期货公司日常经营中的主要风险为客户带来的风险，这种风险通常由期货公司管理不善、客户信用不高、市场激烈波动共同导致风险事件，所以应从这三个方面同时着手，文章指出目前内控存在的不足，提出建立适合的风险管理组织架构等措施；然后，对客户风险中的重要风险即客户开发风险和客户信用风险进行了研究，对客户风险的研究也结合了内部控制的内容；最后，文章尝试用VaR模型拟定出合适的维持保证金率，因为保证金率是期货公司管理风险的一个综合性工具，并用2001年——2005年的期铜数据进行了应用研究，结论表明VaR模型在确定维持保证金上是可行的。更多还原

【Abstract】 China needs a perfect, highly effective and international competitive futures market, because the futures market is the inevitable product of market economy and the international futures market has decided the prices of most large amounts commodity. Establishing such futures market needs various endeavors, one of which is controlling the risks. The futures company is a main body of the futures market. Moreover, the futures company’s special intermediary status and the difficult survival present situation as well as the special risk characteristic have all decided its need of risk management. The futures company’s risks pass through its entire life cycle, and the risks have mutual relations, therefore it should carry on the total risk management. The total risk management, at first, needs distinguish company’s as far as possible many risks, therefore the thesis according the clue of the time of the risk’s outbreak, the main body who has the concrete risk, the main body’s way and produces and so on, has carried on the recognition and the classification to the futures company’s risk, and has carried on the expression with a chart .The strict comprehensive risk management’s cost is very high, therefore it should divide step realizes. At present, the main risks are the risks in its steady period of expansion. Brings the risk to the company the main body may be exterior main body also may be the internal main body. The futures company’s risk events happened in these days were made by the futures company’s internal control insufficient consummation, the customer’s credit not good enough and the market disadvantageous change together. In line with the total risk management thought, it should synthesize consider these three aspects of the factor. Therefore this thesis, first, has analyzed the necessity of the futures company’s risk management, from the aspects of the futures company’s localization in futures market, survival situation at present, and so on , at the same time has carried on the limits to futures company’s concept . Next, it in theoretically has discussed the futures company’s risk particularity, and limits this thesis is standing in the futures company’s standpoint, at the same time has carried on the recognition with the many kinds of risks identification mode更多还原