证券公司风险监管制度有效性的实证研究  

An Empirical Study on Effectiveness of Risks Regulatory System for Securities Firms

作　　者：张怡[1] 

机构地区：[1]中国人民大学商学院会计系,北京100872

出　　处：《审计与经济研究》2008年第1期87-92,共6页Journal of Audit & Economics

摘　　要：按照国际清算银行(BIS)颁布的新资本充足率规范,以49个中国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,估算各证券公司自营投资的市场风险和应计提资本,并以之检验中国证券公司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,中国监管制度改革的方向应是采用内部模型法。因主要品种风险调整比例设置偏低,新制度平均低估证券公司自营风险29%,建议监管规则调整上海180指数股票、ST类股票、基金、企业债、可转债等品种的风险调整比例。This study is based on the 1996 BIS capital adequacy guidelines to employ the VaR based internal model method to calculate the VaR and the capital requirement using data on the actual fixed income security and equity security holdings of 85 security finns in China. We examine how these models fit security finns by comparing the new regulatory rules implemented by the China Securities Regulatory Commission（CSRC） in 2006 with the old ones in 2000. The empirical results show that the 2006 regulatory rules perform better than the old ones, but reflect the risk less accurately than the internal model. CSRC tends to adopt the internal model to calculate the capital requirements of security firms in the future. The risks discount ratio of main assets in the new regulatory system has been set lower, so the 85 securities finns＇ trading book risk has been underestimated by 29 per cent on average. The study suggests that China＇s securities regulatory authority should make some adjustment on the risks discount ratio of Shanghai 180 index stock, fund, firm bond and transferable bond.

关 键 词：证券公司 资本充足性 市场风险 标准法 内部模型法 VAR 

分 类 号：F830.39[经济管理—金融学]