基于Copula-VaR的证券公司自营业务市场风险管理研究
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摘要
目前,证券公司自营业务市场风险已成为国内外证券公司、理论界和证监会共同关注的对象。2007年次贷危机以来,我国证券市场的改革不断加深,证券公司的规模进一步扩大。证券公司的金融风险管理,尤其是自营业务市场风险防范和管理问题进一步突出。因此,全面探讨和研究我国证券公司自营业务市场风险,不仅能完善我国证券公司自营业务市场风险的有效管理,同时对于防范我国金融市场风险乃至建设我国整体金融风险防范体系,都具有十分重大的理论和实践意义。
本文针对证券公司自营业务市场风险管理,基于前人的理论和模型研究成果,围绕我国证券公司自营业务市场风险的独特特征,通过文献综述归纳和演绎、构建风险管理模型,设计风险管理实验。按照风险管理的基本过程,遵循“识别风险”—“度量风险”—“控制风险”的内在逻辑步骤展开论文,层层递进,系统地描述我国证券公司自营业务市场风险的识别、度量、防范及控制的全过程。基于此,本文主要分为六个部分。
第一部分,本文首先对证券公司自营业务的风险进行识别。文章首先积极寻找证券公司自营业务的风险点。之后,文章应用AHP方法对证券公司自营业务风险进行了识别。实证表明：证券公司自营业务的风险管理应将市场风险摆在第位。
第二部分,本文对证券公司自营业务市场风险管理的基本理论进行了综述。文章首先探讨了证券公司自营业务市场风险的内涵和特点；然后,文章归纳了自营业务市场风险管理的核心思想、基本策略以及风险管理的基本程序,进一步深化对证券公司自营业务市场风险管理的理论认识；最后,文章分析和总结了国外券商自营业务市场风险模式及其先进经验,以期为我国证券公司的自营业务市场风险管理提供一定的先进理念借鉴。
第三部分,本文深入探讨了证券公司自营业务市场风险形成的影响因素。文章从分析证券公司自营业务市场风险与其他主营业务相区别的独特特征和现状入手,从证券公司自营业务市场风险形成的内部根源、自营业务市场风险形成的外部根源及自营业务市场风险形成的特殊根源三个角度出发,对于证券公司自营业务市场风险的形成根源及其机理进行了全方位探讨和研究。
第四部分,本文对证券公司自营业务的市场风险进行了度量。文章将Copula函数引入VaR模型,构建Coplua-VaR模型来尝试度量证券公司自营业务市场风险。之后,文章以财富证券公司的自营业务投资组合为研究对象,基于Copula-VaR方法进行实证研究。研究结果表明,Copula-VaR结果比传统的VaR值更能精确地度量自营业务市场风险。
第五部分,本文对证券公司自营业务的市场风险进行控制。文章进一步结合Copula-VaR方法,构建证券公司自营投资组合市场风险优化模型,并且进行了一系列实证研究,结果表明自营投资组合市场风险优化控制模型具有一定的效果,能够在一定程度上部分防范和降低市场风险。
第六部分,文章结合我国证券公司自营业务的现实特点,按照全面风险管理理念,给出了我国证券公司自营业务市场风险的动态控制和防范体系的对策建议,建议从事前、事中、事后三个方面全方位动态地管理我国证券公司的自营业务市场风险。
All along, the market risk of the securities companies'proprietary trading has become the common object which the domestic and foreign securities companies, the theorists and supervision organization pay attention to in China. with the continuous expansion of the size of securities companies and the world financial crisis'further deepening unceasingly, the problems of market risk management of securities companies'proprietary trading have become increasingly prominent. Therefore, the study on market risk management of the securities companies'proprietary trading has the very vital significance for the effective market risk management of the securities companies, the development of research on market risk management, and even financial system's construction in our country.
This article takes market risk management of the securities companies'proprietary trading as the study object. Based on the Previous researches and the actual characteristics of the securities companies'proprietary trading in our country, the paper takes some methods such as the literature analytic method, the expert interview, the canonical parse and the empirical analysis, unifies method of the qualitative and quantitative analysis to make a more progressive, systematic and comprehensive study on market risk identification, measurement, control and monitoring of the securities companies'proprietary trading in accordance with such a logical process of the market risk identification-risk measurement-risk control. Hence, the paper mainly have six parts.
In the first part, the paper researches on market risk identification to market risk of securities companies'proprietary trading. Firstly the paper has actively looked for the market risk point of securities companies'proprietary trading and then it has chosen AHP method to identify market risk of securities companies'proprietary trading, The empirical analysis has indicated that securities companies should put market risk in the first place.
In the second part, the paper summarizes the theories relating to market risk management of securities companies'proprietary trading. Firstly, this paper makes the theoretical definition of the connotation of market risk of the securities companies. Then, the papar summarizes the characters of the investment market risk. Finally, we further deepening understand to market risk from the market risk general understanding as well as main routine of market risk management.
In the third part, the paper deeply elaborates the formation mechanism of market risk of securities companies' proprietary trading. First it analyzed the unique nature and current situation of market risk of securities companies' proprietary trading different from other core business. Then there is an analysis on market risk root of market risk of securities companies' proprietary trading from three aspects, the internal root, the exterior root and special background on market risk forms.
In the fourth part, this paper carries on the market risk measure to the market risk of securities companies' proprietary trading. The paper has brought Copula function into the VaR model to build the Coplua-VaR model, attempting to measure market risk of securities companies' proprietary trading. Then, it choses proprietary trading combination of the Wealth Securities as the study object to make empirical study based on Copula-VaR method. Empirical results show that the Copula-VaR results are more correctly than the tradional VaR results to measure market risk of proprietary trading combination.
In the fifth part, the paper has controlled the market risk of securities companies' proprietary trading. Firstly, the paper builds up a Copula-VaR portfolio model. Then, we do some Empirical researches by this method. The results show that the Copula-VaR portfolio model is useful to controll the market risk of proprietary trading portfolio.
In the sixth part, the paper firstly summarizes some beneficial facts of the proprietary trading in foreign investment banks, and conbines these beneficial facts with our investment banks' real situation. Then, using as a source of reference of comprehensive market risk management, the paper has designed the dynamic control system, which dynamically manages the market risk of securities companies' proprietary trading beforehand, in hand and afterwards.
本文针对证券公司自营业务市场风险管理,基于前人的理论和模型研究成果,围绕我国证券公司自营业务市场风险的独特特征,通过文献综述归纳和演绎、构建风险管理模型,设计风险管理实验。按照风险管理的基本过程,遵循“识别风险”—“度量风险”—“控制风险”的内在逻辑步骤展开论文,层层递进,系统地描述我国证券公司自营业务市场风险的识别、度量、防范及控制的全过程。基于此,本文主要分为六个部分。
第一部分,本文首先对证券公司自营业务的风险进行识别。文章首先积极寻找证券公司自营业务的风险点。之后,文章应用AHP方法对证券公司自营业务风险进行了识别。实证表明：证券公司自营业务的风险管理应将市场风险摆在第位。
第二部分,本文对证券公司自营业务市场风险管理的基本理论进行了综述。文章首先探讨了证券公司自营业务市场风险的内涵和特点；然后,文章归纳了自营业务市场风险管理的核心思想、基本策略以及风险管理的基本程序,进一步深化对证券公司自营业务市场风险管理的理论认识；最后,文章分析和总结了国外券商自营业务市场风险模式及其先进经验,以期为我国证券公司的自营业务市场风险管理提供一定的先进理念借鉴。
第三部分,本文深入探讨了证券公司自营业务市场风险形成的影响因素。文章从分析证券公司自营业务市场风险与其他主营业务相区别的独特特征和现状入手,从证券公司自营业务市场风险形成的内部根源、自营业务市场风险形成的外部根源及自营业务市场风险形成的特殊根源三个角度出发,对于证券公司自营业务市场风险的形成根源及其机理进行了全方位探讨和研究。
第四部分,本文对证券公司自营业务的市场风险进行了度量。文章将Copula函数引入VaR模型,构建Coplua-VaR模型来尝试度量证券公司自营业务市场风险。之后,文章以财富证券公司的自营业务投资组合为研究对象,基于Copula-VaR方法进行实证研究。研究结果表明,Copula-VaR结果比传统的VaR值更能精确地度量自营业务市场风险。
第五部分,本文对证券公司自营业务的市场风险进行控制。文章进一步结合Copula-VaR方法,构建证券公司自营投资组合市场风险优化模型,并且进行了一系列实证研究,结果表明自营投资组合市场风险优化控制模型具有一定的效果,能够在一定程度上部分防范和降低市场风险。
第六部分,文章结合我国证券公司自营业务的现实特点,按照全面风险管理理念,给出了我国证券公司自营业务市场风险的动态控制和防范体系的对策建议,建议从事前、事中、事后三个方面全方位动态地管理我国证券公司的自营业务市场风险。
All along, the market risk of the securities companies'proprietary trading has become the common object which the domestic and foreign securities companies, the theorists and supervision organization pay attention to in China. with the continuous expansion of the size of securities companies and the world financial crisis'further deepening unceasingly, the problems of market risk management of securities companies'proprietary trading have become increasingly prominent. Therefore, the study on market risk management of the securities companies'proprietary trading has the very vital significance for the effective market risk management of the securities companies, the development of research on market risk management, and even financial system's construction in our country.
This article takes market risk management of the securities companies'proprietary trading as the study object. Based on the Previous researches and the actual characteristics of the securities companies'proprietary trading in our country, the paper takes some methods such as the literature analytic method, the expert interview, the canonical parse and the empirical analysis, unifies method of the qualitative and quantitative analysis to make a more progressive, systematic and comprehensive study on market risk identification, measurement, control and monitoring of the securities companies'proprietary trading in accordance with such a logical process of the market risk identification-risk measurement-risk control. Hence, the paper mainly have six parts.
In the first part, the paper researches on market risk identification to market risk of securities companies'proprietary trading. Firstly the paper has actively looked for the market risk point of securities companies'proprietary trading and then it has chosen AHP method to identify market risk of securities companies'proprietary trading, The empirical analysis has indicated that securities companies should put market risk in the first place.
In the second part, the paper summarizes the theories relating to market risk management of securities companies'proprietary trading. Firstly, this paper makes the theoretical definition of the connotation of market risk of the securities companies. Then, the papar summarizes the characters of the investment market risk. Finally, we further deepening understand to market risk from the market risk general understanding as well as main routine of market risk management.
In the third part, the paper deeply elaborates the formation mechanism of market risk of securities companies' proprietary trading. First it analyzed the unique nature and current situation of market risk of securities companies' proprietary trading different from other core business. Then there is an analysis on market risk root of market risk of securities companies' proprietary trading from three aspects, the internal root, the exterior root and special background on market risk forms.
In the fourth part, this paper carries on the market risk measure to the market risk of securities companies' proprietary trading. The paper has brought Copula function into the VaR model to build the Coplua-VaR model, attempting to measure market risk of securities companies' proprietary trading. Then, it choses proprietary trading combination of the Wealth Securities as the study object to make empirical study based on Copula-VaR method. Empirical results show that the Copula-VaR results are more correctly than the tradional VaR results to measure market risk of proprietary trading combination.
In the fifth part, the paper has controlled the market risk of securities companies' proprietary trading. Firstly, the paper builds up a Copula-VaR portfolio model. Then, we do some Empirical researches by this method. The results show that the Copula-VaR portfolio model is useful to controll the market risk of proprietary trading portfolio.
In the sixth part, the paper firstly summarizes some beneficial facts of the proprietary trading in foreign investment banks, and conbines these beneficial facts with our investment banks' real situation. Then, using as a source of reference of comprehensive market risk management, the paper has designed the dynamic control system, which dynamically manages the market risk of securities companies' proprietary trading beforehand, in hand and afterwards.
引文
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