Research For The Profit Model And Risk Hedging Of Security Company Based On Underlying Securities

March30,2010, Shanghai Stock Exchange and Shenzhen Stock Exchange announced that the securities margin trading would be opend On March31,2010.From then on,the two Stock Exchange began to accept the pilot members’apply for securities margin trading.Underlying securities are growing along with the development of the securities margin trading. At the same time, investors’demand for underlying securities is more and more growth.The number of and the species of underlying securitieshas been the important embodimentof security company’s competitiveness in securities margin trading. In our country, the profit model of security companyis centralized credit mode based on the securities finance company. Because the securities financing of China is not perfect, security company’s self-support underlying securities has to the only way to make money.The main way of security company’s risk hedging is using the stock index futures,for the security companies of China, the method is the CSI300stock index futures.The issue has five chapters.The first chapter mainly introduces the research background,significance and purpose,the idea and framework of the issue, the profit model of security companies in China,theproblem of security company’s self-support underlying securities and the significance of figuring out the problem. The second chapter discusses the profit model of security companies regardless of domestic or abroad. In this part,we not only expound the profit model of foreign security companies,but also narrate the development process of the securities margin trading in China. At last,we compare the profit model of security companies in domestic and foreign.The third chapter mainly introduces the risk hedging model of Minimum Variance. The theoretical analysis and example verification of the model is perfect.First of all,I explain the definition of risk hedging.It means that we can use the CSI300stock index futures to hedge against any risks of the volatility of the underlying securities.By the analysis of the statistical magnitude and the extreme value theory,I prove that the volatility of CSI300and the CSI300stock index futures is semblable.Now,we can regard the underlying securities as cash commodity.Of course, the risk of the underlying securities can be hedged by the CSI300stock index futures. In this part,there are two models.Bytaking full advantage of the dataswhich are provided by Qilu Security and Wind Consulting platform,I prove that the result of my two models’risk hedging is sensational.The datasinclude the July2nd in2012to February26in2014as underlying securitiesdatas and230blue-chellop stock datas. The fourth chapter is the conclusion.The study found that the risk hedging model of Minimum Variance can effectively reduce risk,In a word,studying the risk hedging model not only can solve the problem of hedging risk,but also can provide theoretical guidance and practical approach for China’s stock market hedging business.Therefore, this articl has important theoretical significance and practical significance.