【作者】 齐靠民；

【导师】 卢昌崇；

【作者基本信息】 东北财经大学 ， 企业管理， 2009， 博士

【摘要】 证券公司是资本市场重要的中介机构之一,对资本市场的健康发展具有举足轻重的作用。可以说,证券公司承担风险的大小以及风险控制能力的高低直接关系到资本市场的安全与稳定。如何防止证券公司承担过大风险,并进而保证国家金融秩序稳定及经济发展和公众利益不受损害,这始终是世界各国证券监管机构面临的重大问题之一。也正是缘于此,证券公司在实践中多把关注的焦点放在风险控制方面,却忽视了证券公司经营的另一个重要方面——价值创造。我国证券公司的发展历程也充分体现这一点。在2004年之前,由于体制、机制设计上存在先天缺陷和不足,我国证券公司承担了过大的风险。这一问题在2004年前后集中暴露出来：一批证券公司亏损严重、资金链断裂,甚至纷纷破产倒闭,整个证券行业信用大幅下降,几近崩溃的边缘。随后,证监会及时展开了证券公司的综合治理工作,改革和完善了各项基础制度,普遍提高了证券公司风险控制、合规经营意识。不过,经过此次治理整顿,部分证券公司对风险的理解和控制却又矫枉过正,创新动力明显不足,高风险高收益的业务乏人问津,对于股东的价值创造能力显得严重不足。对企业来说,“创造价值”才是其真正意义之所在。可以说,企业之间的竞争从根本上看是企业价值创造能力之间的较量,企业的价值创造和企业价值的提升是企业长盛不衰并持续发展的根本。如果证券公司被风险过度的束缚,只局限在风险小的业务上,那么为股东创造的价值必然也会较小；如果证券公司过多地参与高风险业务,一味追求随之而来的高收益,从近些年的经营情况来看,为股东创造的价值也未必会大,并且显然不利于资本市场的安全和稳定。因此,本质上讲,证券公司应该通过“经营风险”,在实现风险和收益匹配的前提下,力图实现公司价值最大化的经营目标。有鉴于此,证券公司如何通过有效的风险控制,并将风险控制与价值创造相结合,以实现证券公司价值创造的最大化?对此问题的解答,不仅丰富了证券公司风险控制与价值创造的相关理论,也对证券公司的经营管理实践具有一定的现实意义。本文以关于风险控制和价值创造的相关文献为基础,结合我国证券公司的实际情况,基于EVA理论体系,对税后净营业利润、资本占用等计算项目进行调整,深入剖析EVA指标和RAROC指标在证券公司中的应用,以实现证券公司之间风险控制和价值创造之间关系的比较。而后,在基于对证券业进行全面分析的基础上,重点选取海通证券、大鹏证券和中金公司三个典型案例进行深入剖析,分别计算3家公司近3年的EVA值和RAROC值,在印证前文理论分析的同时,进一步提炼出风险控制与价值创造之间关系的一般性概念框架。本文共分为六个部分：第一部分是引言,主要介绍选题思路、研究目的、研究方法、主要创新点及篇章结构安排。第二部分是文献综述,主要梳理并评价风险控制和价值创造相关的理论文献,旨在找出本文研究的理论切入点,是下文各部分理论探讨和案例研究的逻辑起点。第三部分界定证券公司风险和价值的相关概念,并明确证券公司风险和价值之间关系,为下文奠定理论和概念基础。第四部分是本文的重点章节,主要基于EVA理论将证券公司风险控制和价值创造联系起来,探讨证券公司的风险控制与价值创造之间关系,也即,风险调整下的证券公司价值最大化。第五部分拟采用多案例研究方法,意在印证前文理论框架的同时,深入挖掘风险控制与价值创造的内在关系,并提炼出更加一般性的概念框架。第六部分是结语,总结本文的主要结论与启示,并指出本文的不足之处和后续的研究方向。更多还原

【Abstract】 Securities Company is one of the most important intermediaries in the capital market and plays a decisive role for the healthy development of the capital market. We can say that the size of securities firms to take risks and risk control capabilities directly related to the level of security and stability in the capital market. How to prevent securities companies from taking too much risk, and thus on the country’s financial order, economic development and causing damage to the public interest is always major problem which securities regulatory authorities around the world have to face. For this reason, in practice, many securities companies put too much focus on risk control to neglect another important aspect of the business--value creation.The development course of Chinese Securities Companies has fully reflected this point. Before 2004, as a result of birth defects and shortcomings of structure and mechanism design, our Securities Companies assumed too much risk. This issue cropped up around year 2004:A number of Securities Companies suffering heavy losses, capital strand breaks, or even bankrupt one after another, which lead to a substantial decline in the whole credit industry, near the brink of collapse. Subsequently, the Commission promptly launched a comprehensive management of securities companies, reformed and improved the various basic systems, generally increased consciousness of risk control and compliance management awareness in the Securities Companies. However, after the rectification, some securities firms overcorrected the understanding and control of risk; innovation and motivation was obviously inadequate; nobody wanted high-risk high-yield business, for shareholder value creation ability became seriously inadequate.For businesses, "creating value" is its true meaning lies. That is to say, from a fundamental point of view, competition among enterprises is the contest between value creation capabilities; enterprise value creation and enhancement of enterprise value is the enterprise long prosperity and sustainable development of the country. If the Securities Company is restricted by the risk too much and limited to less risk business, then the value created for shareholders will have less inevitable; if Securities Companies involved in high-risk business too much and followed by single-minded pursuit of high returns, then the value created for shareholders may not necessarily be large, obviously not conducive to capital markets, security and stability, either. Thus, in essence, Securities Companies should through the "business risk", in the premise of matching risks and benefits, achieve the maximum value of the company’s business objectives.Because of this reason, for securities companies, how to effectively control risk and combine risk control and value creation in order to achieve the maximization of value creation securities firms? Answers to this question, not only enriched the securities company’s risk control and value creation related theories, but also has a certain practical significance to the securities company’s operating management practices.Based on literature about risk control and value creation and combined with the specific situation of China’s securities companies, this paper introduced economic value added (EVA) indicators. It adjusted Net Operating Profit after Tax Indicator and Capital Change Indicator according to the type of business securities companies and deeply explored the application of the indicator in a securities company in order to achieve comparison of the relationship between risk control and value creation; Then based on comprehensive analysis of the securities industry, it elected three typical cases of Hai Tong Securities, Da Peng Securities and China International Capital Corporation to conduct in-depth study, calculated last 3 years’EVA and RAROC to confirm earlier theoretical framework; meanwhile, it refined a general conceptual framework of the relationship between risk control and value creation.This paper is divided into six parts:The first part is the introduction, which introduced train of thought, the purpose of this research, research methods and the main innovation points, and arranged the structure of this article.The second part is literature review, combing with the risk control and value creation related to the theory of literature and comment on them in order to find this entry point for the future research. It is the logical starting point of the below theory and case studies.The third part is the definition of risk and the value of Securities Company related concepts. It clears the relationship between risk and value of Securities Company and lays the theoretical and conceptual basis.Part Four is the focus of this article. Based on the EVA theory, it links the risk control and value creation of Securities Company, explores the relationship between risk control and value creation; namely, the risk-adjusted value maximization of securities companies.The fifth part plans to propose multi-case study method, which is intended to confirm earlier theoretical framework, deeply dig inherent relationship between risk control and value creation, and refine a more general conceptual framework.The last part is the conclusion. It summarized the main conclusions of this article with the revelation, and made the inadequacies of this article and follow-up research.更多还原