The Guo Yuan Securities Margin Trading Risk Control Research

On March 31, 2010, Guotai junan, Citic securities and other six strong comprehensive strength of a group of securities company officially opened the margin trading, marked the our country securities market from the shift in the direction of bilateral unilateral trade way, since then pulled open the prelude of China’s securities market credit transactions. Margin trading as a new way of credit transactions, because of its lever effect is different from ordinary trade and allow short-selling, the characteristics of the securities company in the process of conducting margin trading risk has become more complex. Therefore, how to effectively prevent and control the securities lending and borrowing business itself and the business risks, has become the key factors influence the stable healthy development of the securities company. This article, the first comprehensive securities company in anhui province, the Yuan securities as the research object, through the empirical study found that the Yuan securities margin on unreasonable part of risk control, put forward the yuan securities should establish a system based on the VAR method of dynamic margin and applicable margin trading risk early warning system, and adjusted in time according to the securities market securities price fluctuation margin improvement Suggestions. Specific, first of all, the paper introduces the research background and significance, literature review of related in this paper, and introduced in this paper, the research ideas and research methods and innovation points and deficiencies. Secondly, mainly elaborates what is the characteristic of margin trading, business and the impact on the securities company. Again, introduced the development situation of yuan securities margin trading risk types and risk factors, and the yuan securities margin trading risk management system. Then, through empirical study on the rationality of the analysis system of the Yuan securities margin, mainly by the underlying securities company’s financing- Shanghai pudong development bank(600000), yields for the sample, through the ADF test and the ARCH test, and establish a GARCH model, calculation of Shanghai pudong development bank, the VAR value, put forward on the basis of the underlying securities daily VAR value, plus interest rate securities margin HeGuoYuan securities and other regulations, establishing elastic dynamic system of margin. This not only can effectively manage the risk of margin, and can improve the efficiency of capital in the securities lending and borrowing business. Finally, from the perspective of the Yuan securities to its how to control the risk of margin trading of its recommendations.