基于CVaR的证券公司资本监管研究
摘要
我国证券公司所依存的特殊的金融环境,使得既有的资本监管规定既无法有效监控证券公司自营证券投资风险,又造成了证券公司缺乏积极的内部风险管理。因此,有必要寻求一种更为合理地测度证券公司自营证券投资风险的资本监管规定,这不仅具有拓展和深化对证券公司自营证券投资的资本监管研究的理论价值,而且具有引导和优化证券公司自营证券投资的现实意义。
本文运用分析性研究、数理推导和实证检验相结合的研究方法,从证券公司资本监管效应和资本充足率测算方法两个方面进行了理论综述,然后在简要介绍金融监管的一般理论基础上分析了我国证券公司资本监管的动因,接着通过证券公司资本监管的国际比较和我国的现状,实证了资本监管规定对我国证券公司自营证券投资行为的影响,进而从理论推导和实证检验两个方面证明了基于CVaR的资本监管对于我国证券公司自营证券投资风险控制的有效性。
本研究的主要创新如下:第一,首次尝试运用局部调整模型研究了资本充足规定对我国证券公司自营证券投资行为的影响,发现我国证券公司的资本监管效应不显著;第二,首次尝试运用数理推导证明了在证券公司自营证券投资只含风险性交易头寸和收益率服从t分布的情况下,基于CVaR的资本监管要优于基于VaR的资本监管,而在证券投资含有无风险交易头寸的情况下,基于CVaR和基于VaR的资本监管无差异的结论;第三、运用GARCH-EVT-tCopula模型证实了基于CVaR的资本监管能够有效实现证券监管当局对证券公司自营证券投资风险的监控,是基于VaR的资本监管的改进,也从实证角度证实了基于CVaR的资本监管的理论推断。
The special financial environment that Chinese securities firms depend on makes the rules of capital regulation unable effectively to monitor the self-management securities investment risk and causes the securities firms to lack the actively internal risk management. Therefore, it is necessary to seek one kind of capital regulation rule reasonably to measure the self-management securities investment risk of securities firms. It not only develops and deepens this theoretical research on the capital regulation of self-management securities investment, but also can guide and optimize self-management securities investment.
This article utilizes the analytical technique, mathematical reasoning and the modern economatric methods. The thesis reviews the research from two aspects. One is the effect of securities firms capital regulation, and the other is the measurement of capital adequacy. Then through the international comparison and Chinese present situation of the capital regulation of securities firms, the capital regulation effect on securities firms' behaviour is analysed. Then the efficiency of the capital regulation based on CVaR is examined from mathematical reasoning and the empirical test.
There are three main innovations. First, the capital adequacy rules' effect on the self-management securities investment of Chinese securites firms has been firstly studied by utilizing the partial adjustment model, but the empirical result demonstrates the effect is not remarkable. Second, it has been comparatively early proven that when securities firms' self-management securities investment only contains the risk securities and return follows student distribution, the capital regulation based on CVaR is superior to the VaR using the mathematical reasoning, but when securities firms' self-management securities investment also contains the riskfree securities, there are no difference between the capital regulation based on CVaR and that based on VaR. Third, by utilizing the GARCH-EVT-tCopula model, the capital regulaiton based on CVaR can make the securities regulator effectively monitor the self-management securities investment risk of securities firms, and it is improvement of the capital regulation based on VaR, and has proved the validity of mathematical reasoning of the capital regulaiton based on CVaR from the empirical angle.
本文运用分析性研究、数理推导和实证检验相结合的研究方法,从证券公司资本监管效应和资本充足率测算方法两个方面进行了理论综述,然后在简要介绍金融监管的一般理论基础上分析了我国证券公司资本监管的动因,接着通过证券公司资本监管的国际比较和我国的现状,实证了资本监管规定对我国证券公司自营证券投资行为的影响,进而从理论推导和实证检验两个方面证明了基于CVaR的资本监管对于我国证券公司自营证券投资风险控制的有效性。
本研究的主要创新如下:第一,首次尝试运用局部调整模型研究了资本充足规定对我国证券公司自营证券投资行为的影响,发现我国证券公司的资本监管效应不显著;第二,首次尝试运用数理推导证明了在证券公司自营证券投资只含风险性交易头寸和收益率服从t分布的情况下,基于CVaR的资本监管要优于基于VaR的资本监管,而在证券投资含有无风险交易头寸的情况下,基于CVaR和基于VaR的资本监管无差异的结论;第三、运用GARCH-EVT-tCopula模型证实了基于CVaR的资本监管能够有效实现证券监管当局对证券公司自营证券投资风险的监控,是基于VaR的资本监管的改进,也从实证角度证实了基于CVaR的资本监管的理论推断。
The special financial environment that Chinese securities firms depend on makes the rules of capital regulation unable effectively to monitor the self-management securities investment risk and causes the securities firms to lack the actively internal risk management. Therefore, it is necessary to seek one kind of capital regulation rule reasonably to measure the self-management securities investment risk of securities firms. It not only develops and deepens this theoretical research on the capital regulation of self-management securities investment, but also can guide and optimize self-management securities investment.
This article utilizes the analytical technique, mathematical reasoning and the modern economatric methods. The thesis reviews the research from two aspects. One is the effect of securities firms capital regulation, and the other is the measurement of capital adequacy. Then through the international comparison and Chinese present situation of the capital regulation of securities firms, the capital regulation effect on securities firms' behaviour is analysed. Then the efficiency of the capital regulation based on CVaR is examined from mathematical reasoning and the empirical test.
There are three main innovations. First, the capital adequacy rules' effect on the self-management securities investment of Chinese securites firms has been firstly studied by utilizing the partial adjustment model, but the empirical result demonstrates the effect is not remarkable. Second, it has been comparatively early proven that when securities firms' self-management securities investment only contains the risk securities and return follows student distribution, the capital regulation based on CVaR is superior to the VaR using the mathematical reasoning, but when securities firms' self-management securities investment also contains the riskfree securities, there are no difference between the capital regulation based on CVaR and that based on VaR. Third, by utilizing the GARCH-EVT-tCopula model, the capital regulaiton based on CVaR can make the securities regulator effectively monitor the self-management securities investment risk of securities firms, and it is improvement of the capital regulation based on VaR, and has proved the validity of mathematical reasoning of the capital regulaiton based on CVaR from the empirical angle.
引文
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