Research On Risk Control Of Margin Financing And Securities Lending Market Of A Securities Company Based On CVaR Method

In March,2010,six strong comprehensive strength of securities companies including the A securities company officially opened the margin trading for the first time,which opened the prelude to the formal operation of bilateral credit transaction.The margin trading is,as it were,a double-edged sword.It expands the income for the broker,and at the same time increased its market risk.Therefore,how to effectively control the market risk of margin trading has become the key to the long-term stable development of China's securities companies.The research object of this thesis was the first pilot the stock brokerage-A securities company.Combined with the relevant knowledge of market risk management,and through the empirical study of CVa R risk measure method,this thesis deeply analyzed the control problem of the margin trading's market risk and put forward relevant policy recommendations.First of all,the paper comprehensively expounded its research background,research methods,research significance,research innovation and research ideas.And it combed and summarized the relevant literatures;Secondly,this paper introduced the correlation theory of the market risk of margin trading.These contents which were discussed separately included margin trading's related notion,development status,connotation of market risk it faced and market risk management theory;A second time,on the basis of introduction of the margin trading's development status,it deeply studied the causes,performance and control status of the market risk it faced towards A securities company;Then,through empirical methods,this paper studied and verified the rationality of market risk control of margin trading based on GARCH-CVaR model.It laid the foundation for the next chapter about construction of dynamic margin system based on CVaR method and early warning system for market risk;At last,Policy recommendations were put forward aiming at the means of the margin trading's market risk controls of the before,during and after the event three stages.The main conclusions of this paper were as follows:First of all,this paper argued that the market risk control system of A securities company's margin trading was relatively sound.And it could effectively control the market risk which this business might bring.Then,this article carried on the risk measurement of A securities company's underlying securities-CITIC Securities,based on VaR-GARCH model and CVaR-GARCH mode in the case study individually.Through comparative analysis and Kupieec and DLC back testing,the results obtained in this paper was that the CVaR method was more likely to cover the market risk of the underlying securities than the VaR method.Consequently,it was a powerful method to control the market risk of A securities company's margin trading based on CVaR-GARCH mode.It laid the foundation for the next chapter about construction of dynamic margin system based on CVaR method and early warning system for market risk.In summary,this paper argued that A securities company could try to control market risk of the margin trading through GARCH-CVaR method.Last,it put forward policy recommendations aiming at the means of the market risk controls of the before,during and after the event three stages.Before the event,A securities company shoud improve its internal control system of market risk of margin trading;During the event,A securities company should set up the dynamic margin system and market risk early warning system of margin trading based on CVaR value;After the event,A securities company should set up the market risk disclosure mechanism and market risk disposal mechanism of margin trading.