基于VaR的中国金融控股公司市场风险资本配置研究  

A Research into Market Venture Capital Allocation for Chinese Financial Holding Companies Based on Value at Risk

作　　者：姚宁[1,2] 郝鹏[3] 

机构地区：[1]长城证券博士后科研工作站,广东深圳518034 [2]清华大学经济管理学院,北京100084 [3]天津大学管理学院,天津300072

出　　处：《经济经纬》2010年第5期120-123,共4页Economic Survey

基　　金：中国博士后科学基金项目(项目编号20100470892)

摘　　要：在VaR市场风险测量的框架下,以我国股市中银行业、证券业和保险业三类股票的加权平均收益率为金融控股公司各子公司的代理变量,研究了我国金融控股公司的市场风险资本配置问题。结果表明,金融控股公司组建可以起到市场风险资本分散的效果,法定配置下金融控股公司的市场风险资本分散效果更好。为了充分发挥金融控股公司市场风险资本的分散效果,应加强对股市的监管力度,以降低银行业、证券业和保险业收益的相关性。Based on VaR as a risk measurement, the authors study market venture capital allocation for financial holding companies in our country by using the weighted average returns of banking, securities and insurance industries as the proxy variables of the subsidiaries of financial holding companies. The result shows that the establishment of financial holding companies can disperse market venture capital and the dispersing effect is better at legal allocation. In order to exert the dispersing effect of financial holding companies on market venture capital, the supervision of stock market should be strengthened to reduce the correlation among returns for banking and securities and insurance industries.

关 键 词：金融控股公司 风险资本配置 VAR 

分 类 号：F830.91[经济管理—金融学]