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论文编号：	10549
作者编号：	2220160668
上传时间：	2018/12/6 21:31:56
中文题目：	券商流动性风险管理研究——以A证券公司为例
英文题目：	Research on Liquidity Risk Management of Brokerage——Taking A securities company as an example
指导老师：	齐岳
中文关键字：	证券业;券商;流动性风险;风险管理
英文关键字：	Securities industry;Brokerage;Liquidity risk;Risk management
中文摘要：	我国证券市场发展至今，已然取得了不小的成就。但相较于西方成熟资本主义国家，我国仅30多年的市场经济仍旧相对稚嫩，金融领域行业规范和制度尚不健全，因而券商的风险意识和行为规范尚不充足，各种风险因素依然是我国证券市场有序、健康发展的潜在威胁。2017年，中央政治局会议在部署经济工作时强调“确保守住不发生系统性金融风险的底线”。这对包括证券公司在内的金融市场主体提出了更高的风险管理要求。2018年，上半年股票市场再一次发生动荡，证券市场需要更为完善的管理体系、更为全面的保障措施，以助益市场防控风险、投资者降低损失。 在此背景下，本文选取A证券公司作为研究案例，意在探索券商作为证券市场重要主体可采取的风险管理措施。该公司原本是一家地方性的券商，但其通过成功的经营拓展了其业务种类与范围，向全国和各行业高速发展。随着公司规模和业务的急剧扩张，经营者对风险的意识逐渐强化，加之2014年左右证监会等金融管理机构强化风险管理的政策出台，A券商也因时制宜地设立了专门的风险管理与控制部门。因此，具备一定的理论分析价值以及现实参考意义。 首先，本文阐述了此次研究的背景以及现实意义。接下来，就证券市场的发展历程、证券市场存在的风险类型以及证券市场风险的解决措施进行了理论回顾与文献综述，为后文进行更为深入的研究打下理论基础。在此基础之上，本文采取因子分析模型的基本分析思路，并且采用风险覆盖率、资本杠杆率、流动性覆盖率、净稳定资金率四个重要的流动性风险指标，构建模型对31家上市证券公司进行打分评价，观察A券商在整体排名中的位置并选取市场表现稳定的B券商进行各项指标的对比分析。在此基础之上，就流动性风险管理提出相应可行性建议。最后，总结全文，反思不足。 本文的主要贡献在于：（1）创新性地运用因子分析模型构建证券公司的风险管理评价体系，为从资本运用角度评估证券公司流动性风险提供新的思路；（2）通过A券商和B券商的对比分析，以期发现证券公司防控流动性风险以及保障资本使用效率之间的相互关系，并据此提出可行性建议；（3）立足于政策新规，适时地为证券公司完善流动性风险管理做出参考。
英文摘要：	We have made great achievements in China's securities market. However, compared with the mature capitalist countries in the West, the market economy in China for only 30 years is still relatively young, and the industry norms and systems in the financial field are not yet sound, so the risk awareness and behavior norms of brokerage companies are not yet sufficient. Various risk factors are still potential threats to the orderly and healthy development of China's securities market. In 2017, the Central Committee emphasized at the Politburo meeting when deploying economic work that "ensure that there is no systematic financial risk." This has put forward higher risk management requirements for Jinrongshichang, including securities companies. In 2018, the stock market experienced another turmoil in the first half of the year. The stock market needs a better management system and more comprehensive safeguards to help the market prevent and control risks and investors reduce losses. In this context, this paper chooses A securities company as a case study, in order to explore the securities brokerage as an important subject of the security market can take risk management measures. The company was originally a local brokerage, but it has expanded its business range and scope through successful operations and has developed rapidly across the country and various industries. With the rapid expansion of the company's scale and business, the operator's awareness of risk has gradually strengthened. In addition, the policy of strengthening risk control of financial management agencies such as the Securities and Futures Commission around 2014 has been promulgated. A brokerage firm has also set up a special risk management and control department. Therefore, it has a certain theoretical analysis value and realistic reference significance. Firstly, this paper expounds the background and practical significance of this study. Next, the paper reviews the development course of securities market, the risk types existing in securities market and the measures to solve the risk in securities market. This paper uses factor analysis model, selects four liquidity risk indexes, namely, risk coverage, capital leverage, liquidity coverage, and net stable capital ratio of securities companies, and constructs a model to score and evaluate 31 listed securities companies. Observe the position of A brokerage in the overall ranking and select B brokerage with stable market performance to conduct a comparative analysis of various indicators. On the basis of this, the paper puts forward some feasible suggestions on liquidity risk management. Finally, summary of the full text, insufficient reflection. The main contributions of this paper are:(1) Innovative use of factor analysis model to construct the risk management evaluation system of securities companies to provide new ideas for assessing the liquidity risk of securities companies from the perspective of capital utilization; (2) Through the comparative analysis of A brokerage and B brokerage, in order to find out the relationship between securities companies 'prevention and control of liquidity risk and the protection of capital use efficiency, and put forward feasibility suggestions accordingly;(3) Based on the new policy rules, it provides new ideas for the securities companies to improve the management of liquidity risk in a timely manner.
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