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论文编号：	8613
作者编号：	2220132326
上传时间：	2016/11/29 10:19:01
中文题目：	以GH股票为标的的质押式回购业务风险控制研究
英文题目：	The Risk Control Research of Stock Collateral Repos Based On The Case of GH Shares As Underlying Stock
指导老师：	黄福广
中文关键字：	股票质押式回购交易；风险控制；GH股票
英文关键字：	Stock Collateral Repo, risk control, GH stock shares
中文摘要：	股票质押式回购业务自2013年上半年正式推出以来，规模增长较为迅速，业务整体得到了快速的发展，目前已成为我国证券行业一大新的收入增长点；其以利差为收入来源的业务模式，改善了证券公司以传统经纪业务佣金收入为主、经营业绩受行情波动影响较大的收入结构，成为了证券公司多元化业务转型的重要方向。本质上讲，股票质押式回购业务类似于信贷业务，风险性较高，一旦业务开展不当，将会给证券公司带来巨额本金损失的潜在风险，因此，有效的风险控制是证券公司开展此业务时必须要解决的根本性问题。本文旨在为证券公司股票质押式回购业务风控体系的构建提出合理化建议，并明确实际操作层面上风险控制的一系列具体措施，从而实现有效控制股票质押式回购业务风险、促进证券公司全面业务健康发展的根本目的。 本文从股票质押式回购业务的基本概念和业务流程入手，结合笔者实际工作过程中经手的以上市公司股票GH为标的的股票质押式回购业务项目案例，从风险来源、风险表现和风险转化的角度，对股票质押式回购业务的信用风险和市场风险进行了详细分析；通过GH股票项目案例的实际应用，分别阐述了证券公司防范信用风险和市场风险相应的事前事后风控措施，并从基本原则和机构设置两个角度，论证了证券公司为保障股票质押式回购业务整体风险控制体系的有效运转、防范股票质押式回购业务风险所应制定的内部管理制度。
英文摘要：	Firstly, starting from the background of the appearance of Stock Collateral Repos and its strategic significance for the reforming of China security company’s development, and combined with those rules together issued by China Securities Depository and Clearing Corporation Limited (CSDC), Shanghai Security Exchange and Shenzhen Security Exchange, it introduces the basic concepts and procedure of Stock Collateral Repos. Secondly, based on the real case from author’s working experience which is a Stock Collateral Repos project of GH shares as underlying stock, it indicates that credit risk and market risk are the two major kinds of risks for security companies’ Stock Collateral Repos business at a micro level. The credit risk refers to the risk of default on the debts born out of the Stock Collateral Repos transactions, and it may arise from a borrower’s failing to make required payments. The credit risk is that of the security companies and may include the potential loss of complete or partial principal and interest, disruption to cash flows, and the increase of collection costs. Market risk encompasses the risk of financial loss resulting from movements in market prices, especially when the underlying stock’s market value experiences a significant decline in the duration of Stock Collateral Repos transactions. On the aspects of risk source, risk appearance and their mutual conversion, it analyzes the characteristics of credit risk and market risk, and gets the point of view that the underlying stock management is the key point of the risk control issues for security company’s Stock Collateral Repos business. Thirdly, taking the initial transaction of Stock Collateral Repos’ four procedures as the cut-off point, according to the different characteristics of credit risk and market risk, it explains the pre-initial transactions risk control measures for both the credit risk and market risk, which is also applied on and demonstrated through the Stock Collateral Repos project case of GH shares as the underlying stock. Client admittance and client’s credit management are the two pre-initial transactions risk control measures for credit risk, while the underlying stock management is the measure for market risk in security company’s Stock Collateral Repos business. Thereafter, it summarizes the post-initial transaction risk control measures against both the credit risk and market risk, which are generally applied by security companies during their Stock Collateral Repos business. Post-loan supervision and the fulfillment guarantee management are the two post-initial transaction risk control measures separately for credit risk and market risk in security company’s Stock Collateral Repos business. Furthermore, on the aspects of basic rules and organizational structures, it provides the internal management system that could ensures the efficient work of security company’s risk control mechanism and the effective preventions for the major risks in security company’s Stock Collateral Repos business. Two basic rules are centralized management by headquarters and cooperation among different departments. The management structures of Stock Collateral Repos business should include board of directors, decision-making sectors, executing sectors, research department and branches of security companies. Finally, it concludes the theoretical framework of security companies’ the risk control issues for the Stock Collateral Repos’ business.
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