【摘要】：融資融券交易又稱證券保證金交易,是西方發(fā)達(dá)國(guó)家證券市場(chǎng)中一種常規(guī)化的交易制度,然而在我國(guó),諸如制度不完備,法制不健全,業(yè)務(wù)不規(guī)范等問(wèn)題屢見不鮮,其中風(fēng)險(xiǎn)因素尤為關(guān)鍵。融資融券風(fēng)險(xiǎn)的種類有很多,對(duì)于風(fēng)險(xiǎn)的防范問(wèn)題一直以來(lái)都是學(xué)者們研究融資融券交易的熱點(diǎn)話題。西方國(guó)家的學(xué)者們對(duì)此已有了較全面的認(rèn)識(shí),并且已經(jīng)成功的將理論與現(xiàn)實(shí)結(jié)合起來(lái),使其對(duì)證券市場(chǎng)發(fā)揮了重大作用。但對(duì)于我國(guó)而言,融資融券業(yè)務(wù)算是一種新型的衍生交易工具,如何對(duì)其風(fēng)險(xiǎn)進(jìn)行防范將是本文研究的重點(diǎn)問(wèn)題。本文將從保證金比率入手來(lái)研究融資融券風(fēng)險(xiǎn)防范的問(wèn)題,介紹了動(dòng)態(tài)保證金制度對(duì)證券公司防范風(fēng)險(xiǎn)的重要性。在實(shí)證部分選取了兩只具有針對(duì)性的標(biāo)的證券,從價(jià)格、波動(dòng)率、初始負(fù)債三個(gè)方面予以考慮,推導(dǎo)出基于GARCH模型的VaR方法的實(shí)時(shí)動(dòng)態(tài)保證金比率公式。通過(guò)本文研究發(fā)現(xiàn):動(dòng)態(tài)保證金制度能夠?qū)θ谫Y融券風(fēng)險(xiǎn)起到一定的防范作用。在VaR方法計(jì)算出來(lái)的動(dòng)態(tài)保證金比率的基礎(chǔ)上,建議實(shí)施逐日動(dòng)態(tài)盯市制度并建立相關(guān)的動(dòng)態(tài)風(fēng)險(xiǎn)預(yù)警體系。該體系通過(guò)每個(gè)交易日提取的關(guān)于投資者交易的數(shù)據(jù)信息,動(dòng)態(tài)的核算客戶信用賬戶是否面臨風(fēng)險(xiǎn)并加以分類,及時(shí)作出反應(yīng)。為了使我國(guó)保證金制度在融資融券風(fēng)險(xiǎn)防范上發(fā)揮更大的作用,最后,本文提出了一些相關(guān)方面的關(guān)于風(fēng)險(xiǎn)防范的配套措施,希望能推動(dòng)我國(guó)融資融券業(yè)務(wù)更快更好的發(fā)展。
[Abstract]:Margin trading, also known as margin trading, is a regular trading system in the securities markets of western developed countries. However, in our country, such problems as imperfect system, imperfect legal system, irregular business and so on are common. Risk factors are particularly critical. There are many types of margin risk, and the prevention of risk has always been a hot topic for scholars to study margin trading. The scholars in the western countries have a comprehensive understanding of this, and have successfully combined theory with reality, making it play an important role in the securities market. However, for our country, margin trading is a new derivative trading tool, how to prevent its risk will be the focus of this study. This paper will study the risk prevention of margin from margin ratio, and introduce the importance of dynamic margin system for securities companies to guard against risk. In the empirical part, two targeted securities are selected and considered from three aspects of price, volatility and initial debt, and the real-time dynamic margin ratio formula based on VaR method based on GARCH model is derived. It is found that the dynamic margin system can prevent the risk of margin lending. On the basis of the dynamic margin ratio calculated by VaR method, it is suggested to implement the daily dynamic market monitoring system and establish a dynamic risk warning system. The system dynamically calculates whether the customer's credit account is facing risks and classifies them, and responds in time by extracting the data information about investor's trading on each trading day. In order to make the margin system play a greater role in the risk prevention of margin, finally, this paper puts forward some related measures on risk prevention, hoping to promote the faster and better development of margin and margin business in China.
【學(xué)位授予單位】：南京師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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本文編號(hào)：2285038