發(fā)布時間：2018-02-10 01:07

  本文關(guān)鍵詞： 融資融券 證券公司 風險 風險管理　出處：《東華大學》2017年碩士論文　論文類型：學位論文

【摘要】：隨著互聯(lián)網(wǎng)技術(shù)在證券行業(yè)應用越來越廣,網(wǎng)絡(luò)開戶、手機開戶等新型服務的不斷推出,證券公司傳統(tǒng)的經(jīng)紀業(yè)務面臨著巨大挑戰(zhàn)。如何在激烈的競爭環(huán)境下開拓新的利潤增長點,成為擺在證券公司面前亟待解決的難題。融資融券業(yè)務作為最早開始試點的證券公司創(chuàng)新型業(yè)務,給證券公司帶來了新的收入來源。DF證券公司于2010年6月獲得融資融券業(yè)務資格,迄今開展融資融券業(yè)務已經(jīng)有六年多的時間。公司融資融券業(yè)務交易傭金費率高于傳統(tǒng)經(jīng)紀業(yè)務的傭金費率,而且可以取得利息收入,從而大大增加了公司的收益。但是,融資融券業(yè)務畢竟是一種高風險的創(chuàng)新型證券業(yè)務。為了防控融資融券業(yè)務風險,東方證券建立了相關(guān)的風險管理架構(gòu),制定了風險管理措施和應急處理機制。但是,這一風險管理體系還或多或少存在著一些不足之處,需要進一步完善。本文以DF證券公司融資業(yè)務的風險管理為研究對象,著重研究占據(jù)融資融券業(yè)務絕大部分的融資業(yè)務的風險管理。首先對證券公司開展融資業(yè)務面臨的風險梳理為客戶信用風險、標的證券風險和市場風險三方面,并介紹了目前針對這三方面風險的風險管理理論和方法。其次,對DF證券公司融資融券業(yè)務的風險管理制度、措施進行梳理和分析,指出其中存在的問題,并通過分析這些問題對風險影響因素的驅(qū)動作用,找出這些問題對觸發(fā)強制平倉風險的影響。接下來,以300ETF為融資標的證券在實驗賬戶中進行定量計算,分析不同市場狀態(tài)下實驗賬戶觸發(fā)強制平倉的可能性,對DF證券融資業(yè)務風險管理的問題進行驗證。最后,根據(jù)前面定性分析和定量計算的結(jié)果,對DF證券公司融資業(yè)務的風險管理中存在的問題,有針對性地提出改進對策。通過對DF證券公司融資業(yè)務風險管理問題的分析,本文得出了以下結(jié)論。第一,DF證券公司應當改進客戶評價體系,將客戶評價分為盈利性和風險性兩個層面,以避免統(tǒng)一評價可能帶來的利益沖突。第二,公司應當將融資保證金比例與標的證券的特有風險掛鉤,重視對標的證券風險的管理。第三,公司應當對可充抵保證金證券的折算率進行差異化設(shè)置,以期更好地反映其波動特點和風險特征。第四,DF證券公司應當考慮建立一套監(jiān)控市場變化的動態(tài)機制,實時追蹤市場波動,以便于在市場出現(xiàn)異常波動時能夠及時采取應對措施來降低風險。希望本文的工作能夠進一步完善DF證券融資業(yè)務的風險管理體系。
[Abstract]:As Internet technology is more and more widely used in the securities industry, new types of services, such as network account opening, mobile phone account opening, etc, have been launched. The traditional brokerage business of securities companies is facing a great challenge. How to open up new profit growth points in the fierce competition environment, It has become a difficult problem to be solved urgently in front of securities companies. As the earliest innovative business of securities companies, margin financing and short selling business is the first to start a pilot project. A new source of revenue for securities firms. DF Securities was eligible for margin trading in June 2010. It has been more than six years since we started the margin and short selling business. The commission rate for trading in margin trading is higher than that for traditional brokerage business, and interest income can be earned, which greatly increases the company's income. In order to prevent and control the risk of margin trading, Orient Securities has established a related risk management framework, developed risk management measures and emergency management mechanism. However, in order to prevent and control the risk of margin trading, oriental securities has established a related risk management framework, developed risk management measures and emergency management mechanism. This risk management system has some shortcomings, which need to be further improved. This paper takes the risk management of the financing business of DF securities company as the research object. It focuses on the risk management of the financing business, which accounts for most of the margin financing business. Firstly, the risks faced by the securities companies in carrying out the financing business are combed into three aspects: customer credit risk, underlying securities risk and market risk. It also introduces the theory and method of risk management in these three aspects. Secondly, it analyzes the risk management system and measures of the margin and margin business of DF securities company, and points out the existing problems. By analyzing the driving effect of these problems on the risk factors, we find out the impact of these problems on triggering the forced liquidation risk. Then, we use 300 ETF as the financing target securities to carry out quantitative calculation in the experimental account. This paper analyzes the possibility of the experimental account triggering forced closure of positions under different market conditions, and verifies the risk management of DF securities financing business. Finally, according to the results of qualitative analysis and quantitative calculation, This paper puts forward some countermeasures to improve the risk management of the financing business of DF securities company through the analysis of the risk management problems in the financing business of DF securities company. This paper draws the following conclusions: first, DF Securities Company should improve the customer evaluation system and divide the customer evaluation into two levels: profitability and risk, in order to avoid the possible conflicts of interest brought by unified evaluation. The company should link the financing margin ratio with the specific risk of the underlying securities and attach importance to the risk management of the underlying securities. Third, the company should set up the conversion rate of the rechargeable margin securities differently. In order to better reflect its volatility and risk characteristics. 4th / DF Securities Company should consider establishing a dynamic mechanism to monitor market changes and track market fluctuations in real time. In order to reduce the risk, we hope that the work of this paper can further improve the risk management system of DF securities financing business.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.39;F272.3

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