基于VaR的券商市场风险管理研究

【作者】 顾海兵；

【导师】 包文彬；

【作者基本信息】 南京理工大学 ， 产业经济学， 2003， 硕士

【摘要】 金融风险管理问题从未像今天这样受到广泛的关注。全球金融市场发生了基础性和结构性的变化，风险管理成为券商的核心竞争力之一。在诸多类型的金融风险中，市场风险成为券商面临的最重要的金融风险。当前，风险价值法(VaR)是公认的管理市场风险的主流方法。VaR方法的最大优势在于以结构化的思想精确地思考风险。本文从券商的内部管理出发，以VaR方法为主线，结合中国证券市场的实际情况，对券商风险管理的过程(风险识别，风险测量和风险控制)进行了分析。最后，本文分析了当前条件下我国券商应用VaR方法遇到的实际困难和挑战。更多还原

【Abstract】 Financial risk management has never been paid so much attention before. With the development of economy-globalization and finance-integration, the global financial market has changed basically and structurally. And the risk management has become one of the core competencies for a security company. Among the various financial risks, the market risk is the most important one that the security companies are facing with. The method of Value-at-Risk (VaR) is known as the mainstream in this field nowadays. The biggest advantage of VaR is to consider the risk precisely in a structural way. From the inter management of a security company, this paper is going to analyze the process of the risk management (risk identification, risk measurement and risk controlment) based on the current situation of the Chinese stocks market and VaR. Further more, it puts up some difficulties and challenges that Chinese security companies may meet during the application of VaR.更多还原