我国券商资产管理业务的风险问题研究
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摘要
资产管理是国际证券商的主要业务和重要的利润来源,美林、高盛等国际知名大投资银行的资产管理给公司带来丰厚回报的同时也推动了国际金融市场的发展与繁荣。从20世纪90年代后期开始,通过业务的整合与创新,资产管理业务逐渐成为我国证券公司尤其是创新类券商的重要业务。但近几年国内大部分券商在该业务领域的违规和超规模经营给公司造成了巨额亏损和引起了局部的市场风险,严重制约了我国证券公司的生存与发展。如何为券商规范和创新后的资产管理业务提供风险控制方法,以获得更多投资者的认可,是国内证券业紧迫需要解决的问题。所以本文从我国券商资产管理业务现状出发,研究了券商资产管种类与风险管理的必要性,并就如何控制风险进行了深入探讨,提出的相关措施建议对于改变券商亏损状态、提高竞争和盈利能力,具有重要的现实意义。
首先,本文对资产管理业务定义进行了理论阐述,并介绍了本文进行券商资产管理业务风险分析和控制时用到的风险管理的相关理论,VaR方法和资产负债管理法。
其次,对我国券商资产管理业务现状及创新情况进行了研究,并通过分析得出了我国券商开展资产管理业务时存在的几大类风险:规模风险、结构风险、契约风险和管理风险等。然后从国际投行资产管理业务发展给我国券商带来的外部压力和我国券商资产管理业务发展的内在要求两方面分析了券商资产管理业务风险管理的必要性。
再次,对券商资产管理业务风险控制进行深入探讨。对各类风险进行了分析,实证研究了如何控制规模风险,并引入相关风险控制指标进行券商资产负债结构的衡量,对如何控制契约风险和道德风险提出了相关方法建议。
最后,指出了我国券商资产管理业务风险控制体系的不健全,并借鉴国外投资银行的资产管理业务风险控制体系,就如何加强券商资产管理业务风险体系的内部建设和外部监管提出了对策建议。
Asset management is the main business and the important profit source of the international securities companies, the international well-known investment banks, such as Merrill Lynch, Goldman Sachs and so on, whose asset management has brought the rich repayment to the company and at the same time has impelled the development and the prosperity of the international money market. Since the later period of 1990s, the asset management service has gradually becoming the important service of our securities companies in particular those innovative companies by way of conformity and innovation of this business. However, because of the rule-breaking operations and the over-scale management in recent years, most of the Chinese securities companies had suffered a severe deficit, which had also caused the partial market risk, and this situation had greatly limited the viability and the development of our securities companies. How to manage the business to offer the risk control method for the asset management of our securities companies after the standardization and innovation, in order to be approved by more investors, it is a domestic urgent problem to be solved of securities business. Therefore this article starts from the present condition of the asset management of our securities dealers, then has studied the type of the risk of this business and the necessity of risk management, and also has carried on a thorough discussion on how to control the risk. The relevant study on how to change the loss situation, improve competitive and profit ability, has important practical significance.
Firstly, this article sets the theory elaboration on the definition of the asset management, and introduces the relevant theories of risk management which used by analyzing and controlling the risk of the asset management of our securities companies, such as VaR method and asset-liabilities management method.
Secondly, this article carries research on the present situation and innovation of our securities companies, and includes the risk which exists in the conduction of asset management such as: scale risk, structure risk, contract risk and management risk and so on. Then it analyzes the necessities of the risk of the asset management of our securities companies from two points, one of which is the external pressure of the assets management development of international securities companies bring to our securities dealers, and the other is the internal requirement of the development of the assets management business of our securities companies.
Thirdly, it carries on a thorough discussion on how to control the risk of asset management. Then it analyses different kinds of risks, and does the research on how to control the scale risk by means of empirical method. Then this paper tries to introduce some relevant risk control index to measure the structure of the assets and liabilities of the securities companies, and puts forward some relevant proposals on how to control the contract risk and the moral risk.
Finally, this thesis points out the imperfection of the risk control system of the asset management of our securities companies, and probes into some relevant study on how to strengthen the internal construction and exterior supervising of the risk control system by studying the experience of overseas investment bank .
首先,本文对资产管理业务定义进行了理论阐述,并介绍了本文进行券商资产管理业务风险分析和控制时用到的风险管理的相关理论,VaR方法和资产负债管理法。
其次,对我国券商资产管理业务现状及创新情况进行了研究,并通过分析得出了我国券商开展资产管理业务时存在的几大类风险:规模风险、结构风险、契约风险和管理风险等。然后从国际投行资产管理业务发展给我国券商带来的外部压力和我国券商资产管理业务发展的内在要求两方面分析了券商资产管理业务风险管理的必要性。
再次,对券商资产管理业务风险控制进行深入探讨。对各类风险进行了分析,实证研究了如何控制规模风险,并引入相关风险控制指标进行券商资产负债结构的衡量,对如何控制契约风险和道德风险提出了相关方法建议。
最后,指出了我国券商资产管理业务风险控制体系的不健全,并借鉴国外投资银行的资产管理业务风险控制体系,就如何加强券商资产管理业务风险体系的内部建设和外部监管提出了对策建议。
Asset management is the main business and the important profit source of the international securities companies, the international well-known investment banks, such as Merrill Lynch, Goldman Sachs and so on, whose asset management has brought the rich repayment to the company and at the same time has impelled the development and the prosperity of the international money market. Since the later period of 1990s, the asset management service has gradually becoming the important service of our securities companies in particular those innovative companies by way of conformity and innovation of this business. However, because of the rule-breaking operations and the over-scale management in recent years, most of the Chinese securities companies had suffered a severe deficit, which had also caused the partial market risk, and this situation had greatly limited the viability and the development of our securities companies. How to manage the business to offer the risk control method for the asset management of our securities companies after the standardization and innovation, in order to be approved by more investors, it is a domestic urgent problem to be solved of securities business. Therefore this article starts from the present condition of the asset management of our securities dealers, then has studied the type of the risk of this business and the necessity of risk management, and also has carried on a thorough discussion on how to control the risk. The relevant study on how to change the loss situation, improve competitive and profit ability, has important practical significance.
Firstly, this article sets the theory elaboration on the definition of the asset management, and introduces the relevant theories of risk management which used by analyzing and controlling the risk of the asset management of our securities companies, such as VaR method and asset-liabilities management method.
Secondly, this article carries research on the present situation and innovation of our securities companies, and includes the risk which exists in the conduction of asset management such as: scale risk, structure risk, contract risk and management risk and so on. Then it analyzes the necessities of the risk of the asset management of our securities companies from two points, one of which is the external pressure of the assets management development of international securities companies bring to our securities dealers, and the other is the internal requirement of the development of the assets management business of our securities companies.
Thirdly, it carries on a thorough discussion on how to control the risk of asset management. Then it analyses different kinds of risks, and does the research on how to control the scale risk by means of empirical method. Then this paper tries to introduce some relevant risk control index to measure the structure of the assets and liabilities of the securities companies, and puts forward some relevant proposals on how to control the contract risk and the moral risk.
Finally, this thesis points out the imperfection of the risk control system of the asset management of our securities companies, and probes into some relevant study on how to strengthen the internal construction and exterior supervising of the risk control system by studying the experience of overseas investment bank .
引文
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[7] 陈守东,俞世典.基于 GARCH 模型的 VaR 方法对中国股市的分析[J].吉林大学社会科学学报,2002(7):11-17
[8] 郭晓亭.基于 GARCH 模型的中国证券投资基金市场风险实证研究[J].国际金融研究,2005(10):55-59
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[16] 罗秋菊,周培胜.美国券商资产管理业务研究及对我国的启示[J].江西财经大学学报,2002(2):11-14
[17] 王晓国.券商资产管理业务品种创新的若干问题探析[J].证券市场导报,2005(6):44-47
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[30] 刘增学,张欣.证券公司的资产管理业务[J].浙江金融,2004(1):34-38
[31] 吴琴伟.中外资产管理业务的比较与启示[J].证券市场导报,2004(8):56-61
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[33] 高正平著.证券公司风险规避与管理[M].中国金融出版社.2001
[34] 菲利普·乔瑞. VaR: 金融风险管理新标准. 中译本. 中信出版社, 2005
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[36] 马瑾,朱纪平.我国证券公司资产管理业务现状分析[J].商业研究,2003(14):96-98
[37] 李建功.委托理财:券商之殇[J].东方经济,2004:72-74
[38] 许明波.证券公司财务风险管理研究[J].证券市场导报,2005(1):48-52
[39] 陈为.华安证券:一出坠落和救助的悲喜剧[J].证券市场,2005(8):21-22
[40] 陈婷.券商集合产品比较[J].理财周刊,2005(4):48-50
[41] 上海铭润财务顾问有限公司[J].券商资产管理业务面临挑战,2004(10):74-75
[42] 罗秋菊,周培胜.美国券商资产管理业务研究及对我国的启示[J].江西财经大学学报,2002.2
[43] Smithson C.Minton L.Value at Risk[J].Risk.Jan.1996(1):25-27
[44] 范英.股市风险值估计的 EWMA 方法及其应用[J].预测,2001(3):34-37
[45] 丁玲.券商委托理财业务:谁来承担风险[J].政策与管理,2004(2):19-21
[46] 任壮,李艳.人民币三大理财产品的优势比较[J].上海金融,2005(5):62-63
[47] 马顺福.我国开放式基金募集规模的影响因素分析[J].财贸研究,2003(1):42-46
[48] 贾林果.借鉴新巴塞尔协议提高我国银行业风险管理水平[J].科学决策月 刊,2006(4):44-45
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[56] 刘健.券商资产管理业务的主要问题与监管对策[J].经济导刊,2002(9):3-5
[2] 郜元兴、朱喜安等.证券市场风险度量方法的分析与评价[J].郑州航空工业管理学院学报,2005(3):105-108
[3] 刘兴权, 王振山, 史永东.金融风险管理中的 VaR 模型及其应用[J].东北财经大学学报,1999(6):49-51
[4] 张国良.VaR 及其基本原理.沈阳航空工业学院学报[J],2001(9):82-84
[5] 刘玲,赵娇. 风险测度和管理的 VaR 方法及其优缺点[J]. 北方经贸,2003(10):15-17
[6] 张丹,庄新路.VaR 原理及其在风险管理中的应用[J].东北大学学报,2004(5):178-180
[7] 陈守东,俞世典.基于 GARCH 模型的 VaR 方法对中国股市的分析[J].吉林大学社会科学学报,2002(7):11-17
[8] 郭晓亭.基于 GARCH 模型的中国证券投资基金市场风险实证研究[J].国际金融研究,2005(10):55-59
[9] 许章迅.都是“理财”惹的祸[J].数字财富,2003(5):32-33
[10] 卢盛军.化解委托理财风险对策[J].企业技术进步,2004(3):38
[11] 杨彩林.我国券商整体亏损:原因及应对措施[J].财经理论与实践,2005(7):65-67
[12] 汪思鸣.证券公司资产管理业务中的风险及化解对策[J].商业研究,2004.18
[13] 姚小义、滕宏伟、陈超.证券公司资产管理业务的规模风险控制[J].数量经济技术经济研究,2002(5):65-67
[14] 姜雪晴.中外券商风险管理比较[J].经济导刊,2002(6):38-41
[15] 何诚颖、陶鹉春、都成秀.海外券商资产管理模式比较及我国创新流程[J].证券市场导报,2003(9):39-44
[16] 罗秋菊,周培胜.美国券商资产管理业务研究及对我国的启示[J].江西财经大学学报,2002(2):11-14
[17] 王晓国.券商资产管理业务品种创新的若干问题探析[J].证券市场导报,2005(6):44-47
[18] Morgan JP. Risk metrics technical document forth edition. New York: Morgan Guaranty Trust.1996
[19] David Li. Value at Risk based on the volatility、skewness and kurtosis[J]. URL:www.gloriamundi.org.1999
[20] Longin FM. From Value at Risk to stress testing :the extreme value approach[J]. Journal of Banking and Finance. 2000(24):1097-1030
[21] 菲利普·乔瑞. VaR: 金融风险管理新标准[M]. 中译本. 中信出版社, 2005
[22] Christoffersen P f, Errunza V R. Towards a global financial architecture:capital mobility and risk management. Emerging Market Review, 2000, (1): 2-19
[23] Stulz R. Why risk Management is not a Rocket science. financial Times, Mastering Risk Series, 2000
[24] Morgan Guaranty Trust. RiskMetrics Technical Document .third edition. New York: Morgan Guaranty Trust.1995
[25] Merrill Lynch. Merrill Lynch Annual Report. 2005
[26] VPD Report. The full series of best of solutions for asset managers. 2005.3.
[27] Ederington, H.L. The hedging performance of the new futures markets.The Journal of Finance34,57-60
[28] Figlewski, Stephen & Gwendolyn P. Webb, 1993, “Options, short sales and market completeness,” Journal of Finance, Vol.48, 761-777.
[29] J P Morgan. RiskMetrics Technical Document. Fourth edition. New-York, download from http://www.riskmetrics.com, 1996
[30] 刘增学,张欣.证券公司的资产管理业务[J].浙江金融,2004(1):34-38
[31] 吴琴伟.中外资产管理业务的比较与启示[J].证券市场导报,2004(8):56-61
[32] 寇日明等译,风险管理实务[M].中国金融出版社,2000
[33] 高正平著.证券公司风险规避与管理[M].中国金融出版社.2001
[34] 菲利普·乔瑞. VaR: 金融风险管理新标准. 中译本. 中信出版社, 2005
[35] 《资产负债管理一价值创造与风险控制指南》[M],吉恩·德米内、约瑟夫、比萨达著,钱爱民、王忠译,中国金融出版社.2001
[36] 马瑾,朱纪平.我国证券公司资产管理业务现状分析[J].商业研究,2003(14):96-98
[37] 李建功.委托理财:券商之殇[J].东方经济,2004:72-74
[38] 许明波.证券公司财务风险管理研究[J].证券市场导报,2005(1):48-52
[39] 陈为.华安证券:一出坠落和救助的悲喜剧[J].证券市场,2005(8):21-22
[40] 陈婷.券商集合产品比较[J].理财周刊,2005(4):48-50
[41] 上海铭润财务顾问有限公司[J].券商资产管理业务面临挑战,2004(10):74-75
[42] 罗秋菊,周培胜.美国券商资产管理业务研究及对我国的启示[J].江西财经大学学报,2002.2
[43] Smithson C.Minton L.Value at Risk[J].Risk.Jan.1996(1):25-27
[44] 范英.股市风险值估计的 EWMA 方法及其应用[J].预测,2001(3):34-37
[45] 丁玲.券商委托理财业务:谁来承担风险[J].政策与管理,2004(2):19-21
[46] 任壮,李艳.人民币三大理财产品的优势比较[J].上海金融,2005(5):62-63
[47] 马顺福.我国开放式基金募集规模的影响因素分析[J].财贸研究,2003(1):42-46
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