Research On Market Risk Management Based On The Copula-VaR Model Of Securities Companies’ Proprietary Trading

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.