证券公司投资组合市场风险与适足资本实证研究  

Empirical Study of Portfolio Management and Capital Adequacy of Securities Companies

作　　者：张怡[1] 李文伟[2] 

机构地区：[1]中国人民大学商学院,北京100872 [2]华中科技大学经济学院,湖北武汉430074

出　　处：《证券市场导报》2007年第11期66-71,共6页Securities Market Herald

摘　　要：本文按照巴塞尔新资本适足率规范,以中国85家证券公司实际自营投资组合为样本,采用基于VaR的内部模型法估算各公司自营投资的市场风险和应计提资本,并以之检验中国新老资本监管制度的有效性。实证结果显示,改革后的2006版资本监管制度比老制度有所改善,但对风险的反映不如内部模型法准确,监管制度改革的方向是内部模型法。因主要品种风险折扣比率设置偏低,新制度平均低估证券公司自营风险29%。建议监管规则依据VaR结果调整部分品种的风险折扣比率。Based on Basil New Capital Protocol and sampled on proprietary trading portfolio of 85 Chinese securities companies, the author uses VAR inner models to assess their respective market risks and the accrual of capital, and test the effectiveness of China regulatory system of old and new capital. The studies reveal improvement in 06＇ capital regulatory system, although its response to risks is not as accurate as the inner models method, which should be the direction for regulatory reform. Due to its low risk discount rate on major instruments, an average of 29% discount on the proprietary trading risk is recorded. An adjustment based on VAR result is therefore proposed on certain instruments.

关 键 词：证券公司 资本充足性 券商监管 风险管理 

分 类 号：F830.591[经济管理—金融学]