我国证券公司风险管理研究

【作者】 吴敏；

【导师】 凌春华；

【作者基本信息】 浙江大学 ， 管理科学与工程， 2003， 硕士

【摘要】 现代经济生活中，风险是人们不得不努力逾越和克服的障碍。在高风险的证券业中，作为证券投资、证券市场中介人和服务者的证券公司面临着诸多风险的重大挑战和潜在威胁，因而防范和化解金融风险已成为证券公司的一项重要议程。本文以证券公司为背景，具体分析了证券公司面临的各种风险类型及风险成因，特别就证券公司治理结构的完善与防范经营风险之间的关系进行了剖析，探讨了证券公司四大主要经营业务在风险管理中的地位，并结合国内证券业的几个典型案例及国外风险管理的先进经验，对国内证券公司风险管理体系的构建和运用提出对策，也对风险管理提出了积极的宏观建议。本文还特别强调了采用风险管理的量化技术对防范风险的特殊意义。 全文逻辑结构含两大部分。第一部分通过对证券公司风险及风险成因的分析，借鉴国外先进管理模式提出了构建符合中国国情的证券公司风险控制体系，对目前我国证券公司主要业务的风险点及风险管理进行阐述，并佐以案例；第二部分针对市场风险日益成为证券公司主要风险的现状，引入了国际上最广泛使用的市场风险控制方法——风险价值法(VAR)，从实用角度重点研究了方差协方差法在我国证券市场的应用，通过实证分析得出了在我国使用VAR控制市场风险是切实可行的结论。更多还原

【Abstract】 In modern economy society, the risk is a barrier that people have to work hard to avoid and overcome. In the securities industry with high risk, a corporation playing the role of an investor and middleman, and service provider as well, is confronting with much serious challenges and potential hazards. Therefore, to protect and dissolve from financial risk is an important agenda for the securities corporation. This thesis takes the securities corporation as an example, analyses all kinds of risks and their contributing factors in great detail, especially dissects the relations between the perfect administration structure of securities corporation and the precaution of managing risk, approaches the roles of the 4 main management businesses in risk administration work, and provides countermeasures for developing and utilizing the risk administration systems by combining a few of typical securities cases and the foreign advanced experiences in the field of risk administration , at the same time some positive macro-suggestions for the risk administration are provided too. In this paper the utilization of quantified risk measurement technology to risk precaution is especially emphasized .The logical structure of this thesis consists of two parts. In the first part , we analyze the risk and reasons that a securities corporation in China is facing at present, then develops a securities corporation risk control system based on the realities in China by the ways of advanced qualitative management pattern from oversea . In the second part , we consider the existing situations that market risks became a major problem to a securities corporation , we have a method to measure developed market risk by adopting an advanced quantitative model VAR which is popular internationally ,and we focus on studing Risk Metrics ( Var-Covar) application in securities market of China practically . We conclude that VAR model is useful and effective at controlling market risks in China by our analysis and test.更多还原