但是，融资融券业务毕竟是一种高风险的创新型证券业务。为了防控融资融
券业务风险，东方证券建立了相关的风险管理架构，制定了风险管理措施和应急
处理机制。但是，这一风险管理体系还或多或少存在着一些不足之处，需要进一
步完善
本文以 DF 证券公司融资业务的风险管理为研究对象，着重研究占据融资融
券业务绝大部分的融资业务的风险管理。首先对证券公司开展融资业务面临的风
险梳理为客户信用风险、标的证券风险和市场风险三方面，并介绍了目前针对这
三方面风险的风险管理理论和方法。其次，对 DF 证券公司融资融券业务的风险
管理制度、措施进行梳理和分析，指出其中存在的问题，并通过分析这些问题对
风险影响因素的驱动作用，找出这些问题对触发强制平仓风险的影响。接下来，
以 300ETF 为融资标的证券在实验账户中进行定量计算，分析不同市场状态下实
验账户触发强制平仓的可能性，对 DF 证券融资业务风险管理的问题进行验证
最后，根据前面定性分析和定量计算的结果，对 DF 证券公司融资业务的风险管
理中存在的问题，有针对性地提出改进对策
通过对 DF 证券公司融资业务风险管理问题的分析，本文得出了以下结论
第一，DF 证券公司应当改进客户评价体系，将客户评价分为盈利性和风险性两
个层面，以避免统一评价可能带来的利益冲突。第二，公司应当将融资保证金比
例与标的证券的特有风险挂钩，重视对标的证券风险的管理。第三，公司应当对
可充抵保证金证券的折算率进行差异化设置，以期更好地反映其波动特点和风险
特征。第四，DF 证券公司应当考虑建立一套监控市场变化的动态机制，实时追踪
市场波动，以便于在市场出现异常波动时能够及时采取应对措施来降低风险。希
望本文的工作能够进一步完善 DF 证券融资业务的风险管理体系
关键词：融资融券，证券公司，风险，风险管理Abstract
II
Research on Problems and Solutions of Risk Management in
Securities Margin Trading of DF Securities
Abstract
As the internet technology is used in the securities industry more widely, it is
popular and convient to open an account for securities trading through internet and
cellphones. Securities companies are facing huge challenges in the traditional stock
brokerage area. Itisa bigquestionfor securitiescompaniestofind new sources of profit
under an environment of fierce competition. Margin trading brought new sources of
income for securities companies as the earliest innovative business of securities trading
to be started. DF Securities Corporation has carried out margin trading business for
more than six years since its getting qualification for margin trading in June, 2010.
Margin trading has a higher trading rate than that of traditional stock brokerage.
Securities companies can also get interest income through lending money and securities
to customers. So that margin trading has brought more benefits to DF Securities
Corpotation.
However, margin trading is an innovative security business of high risks. In order
to control its risks, the company has established the risk management framework,
measures and emergency response mechanism. But there were some problems and
shortcomings in this risk management system more or less. So we need to do some jobs
to improve it and make it be more perfect.
This article researched on the risk management of margin trading of DF Securities
Corporation. First of all, the risks of margin trading can be summarized as customer
credit risk, the underlying securities risk and market risk. Then we introduced theories
and methods of risk management aimed at the three aspects of risks. Secondly, we
analyzed the risk management system and measures of margin trading in order to find
the problems. Through the analyzing the driving factors of risks, we tried to find out
the relations between these problems and the risk of mandatory liquidation.Thirdly, we
used 300 ETF as the underlying security in the experimental account. Through
quantitativecalculatingmethods,weanalyzedthepossibilitiesofmandatoryliquidation
in the experimental account under different market conditions.Finally, according to the
result of the qualitative analysis and quantitative calculation, we put forward measures
andsolutionsonriskmanagementof margintradingtosolvetheproblems foundbefore.Abstract
III
Through analyzing the problems of risk management on margin trading, this paper
drew the following conclusions. First, DF Securities Corporation should improve the
customer evaluation system, which should be divided into two parts of profitability and
risk, in order to avoid possible conflicts. Second, margin requirement of underlying
securities should be linked to its specific risks. The risk management of underlying
securities is of great importance. Third, the company should set different discount ratio
for different security, in order to better reflect its fluctuation and risk characteristics.
Fourth, DF securities companies should consider building a real-time system to monitor
the changes of market, so that they can take measures in time to reduce risks when there
are abnormal fluctuations in the market. We hope that the work of this paper can make
the risk management system of margin trading more perfect.
Name Zhang Yifan (MBA)
Supervised by Zhang Dan
Key words: Margin Trading, Securities Company, Risk, Risk Management目录
IV
目录
摘要...I
ABSTRACT..........II
第 1 章 绪论........1
1.1 研究背景 ......1
1.2 研究意义 ......1
1.3 研究内容 ......2
1.4 研究方法与框架结构 ........3
第 2 章 证券公司融资业务风险管理理论和方法..5
2.1 融资融券业务概述 ..........5
2.1.1 融资融券业务的概念和特点...........5
2.1.2 融资融券业务的功能.....6
2.1.3 融资融券业务市场模式...7
2.2 融资业务风险表现 .........11
2.2.1 客户信用风险..........12
2.2.2 标的证券风险..........12
2.2.3 市场风险..15
2.3 融资业务风险管理理论和方法 ...........16
2.3.1 客户信用风险评估......16
2.3.2 标的证券风险管理方法..17
2.3.3 市场风险管理的风险价值法..........19
第 3 章 DF 证券融资融券风险管理现状 ........22
3.1 DF 证券基本情况 ..........22
3.1.1 DF 证券发展历程.......22
3.1.2 DF 证券主要业务.......22
3.1.3 DF 证券行业竞争地位...24
3.2 DF 证券融资融券业务开展现状 ..........25
3.2.1 我国融资融券发展历程和现状 .......25
3.2.2 DF 证券融资融券业务现状...........28
3.2.3 DF 证券融资融券业务流程...........29
3.3 DF 证券融资融券风险管理的主要内容 ....30
3.3.1 融资融券业务管理架构..30
3.3.2 客户信用风险管理......33
3.3.3 标的证券风险管理......34
3.3.4 市场风险管理..........36
第 4 章 DF 证券融资业务风险管理的问题分析 ..37
4.1 构建 DF 证券融资业务的四项风险影响因素 37
4.1.1 融资仓位..38目录
V
4.1.2 融资买入杠杆倍数......39
4.1.3 维持担保比例..........42
4.1.4 市场波动因素..........45
4.2 DF 证券融资业务风险管理的问题及影响 ..46
4.2.1 融资业务风险管理存在的问题........46
4.2.2 风险管理问题与风险影响因素的关系..47
4.2.3 风险管理问题对触发强制平仓风险的影响..........48
第 5 章 融资业务风险管理问题对触发强制平仓风险影响研究 .50
5.1 融资买入 300ETF 触发强制平仓风险研究内容设计 ......50
5.
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