摘 要 本课题依据
证券法
制根本 证券公司管理办法证券公司内控指引等法律法则提出证券公司风险防范的目标和原则提出以人为本是证券公司的风险控
首先从组织架构的角度对证券公司风险控制的组织体系和职责分工进行重新设计把稽核监察部和风险委员会提升为董事会的直属部门独立并高于经理层 其次从证券公司的经营理念制度文化环境法人治理结构决策程序部门分工岗位轮换隔离墙制度授权管理信息交流渠道重大事项报告安全备份等方面对证券公司的风险控制提出基本要求
证券公司管理办法定量化可测度 本课题的重点和创新在证券公司的风险控制方案指标体系和预警参数设计上把
证券法
求明细化证券公司内控指引里的许多定性要可考评可操作选用40多个指标指标化其中自营业务人力资源财务风险中的许多指标为独创设计每个指标均按无风险较小风险和较大风险三种风险状态划分出具体预警区间并给出预警参数这些参数多为经验参数来自于实践采集于市场一线有一定的指导意义和参考价值财务管理风险风险控制方案按证券公司的业务分类设计证券公司的综合风险建模操作性较强
的建模和计算便于推广应用 本课题选用10个财务指标
从测评 VaR=VO[E
R实用重点对自营业务风险自营业务风险指标及预警的收益率偏差标准差评估方法贝塔系数参数值设定均为独创设计-Rl]和VaR= V
o化操作性极强尤其是VaR风险价值模型是这一目前金融前沿理论应用简单化本课题第一次把人力资源管理的风险指标量化提出风险控制的根本是防范关键岗位工作人员的道德风险风险评估的角度设定参数最后Y=L+D
X-Lx
/行为风险和操作风险建模计算量化分析财务风险是证券公司经营风险的集中反映在分类计算的基础上建立证券公司总风险评价模型Ux- Lx 易懂好学便于推广 方法实用计算简单本课题最大的创新把证券公司风险控制指标层层分解量化计算风险值打分客观测评用数据说话这些指标方法既可作为证券公司内部测评和控制风险的依据又可做为监管部门评定和比较证券公司风险大小的方法面向市场贴近实践服务券商操作性和实用性很强
ABSTRACT
This project borrows the concept of risk classification from the IOSCO and breaks them into 6 classes. Based on the Securities Law, the Stockjobbers Administration Measure and Guidance of the Control Inside Stockjobbers, we put forward that focusing on human beings is the essence of risk control of the Stockjobbers.
Firstly, from the point of view of the organization framework, the framework and division of the work and responsibility of risk control of the Stockjobbers are redesigned. The Auditing and Supervising Department and Risk Management Committee were raised to be directly under the Directorate, independent and higher in position than the managements.
Secondly, set up the basic requirement of the Stockjobbers with respect to the managerial conception, culture environment of the system, corporation managerial structure, decision-making process, department division, post shift, isolation wall system, authorization management, information communicating channel, report of important events, safety backup, etc.
The emphases and innovation of this project is the design of indicator system and warning parameter of risk control scheme of Stockjobbers, making the various attributes in the Securities Law, the Stockjobbers Administration Measure and Guidance of Risk Control of Stockjobbers more detailed, measurable, verifiable and practical. More than 40 indicators are used. Among them, many indicators in self-support transactions risks, human resources risks and financial risks are innovations of the researchers involved. Each indicator is break into three intervals, indicating non-risk, small risk and serious risk respectively. The limits of the intervals give out the warning signals. Most of the limits are from our experiences, from the practical work. They can to some extent be used as guidance and references. The risk control scheme is designed according to the classification of the businesses, taking the self-support transactions risks, financial management risks and the integrate risks of the Stockjobbers as the focuses to be modeled and evaluated.
Risk indicators of Self-support transactions, deviation of relative returns, standard deviation evaluating methods and set up of Beta coefficient are all original
design. They are all practical, especially the modeling and computation of VaR (Value at Risk) model, VaR = V
[E(R)-Rl], and VaR, making the application of the present advanced theory more simpler, more practical and easier to be carry out, making them more easily to be spread, solved the problem of difficulties of adapting.
This project is the first one in quantifying the human resources management risk indicators. The project suggest that avoiding the moral risks, behavioral risks and operating risks of the employee in the key posts are the foundations of risk control.
Financial risk is where the Stockjobbers' operation risks concentrated. This project takes 10 financial indicators to set up risk limits and risk models to be quantitatively analyzed.
Lastly, the researchers set up the integrate risk evaluation model of the Stockjobbers, based on the classified computation: Y=L+D(X-Lx)(Ux-Lx)
It is practical, easy to compute, easy to understand, easy to spread.
The most important innovation of this project is to arrange the risk control indicator of Stockjobbers in a very nice way, quantifying them, scoring them using risk limits. These whole set of methods either can be used to evaluate and control the risk of the Stockjobbers, or can be used by the supervising organization or department to measure and compare the risks between the Stockjobbers, making them to be market-oriented, practical, serving the stock brokers in a better way. They are more operable and applicable.
摘 要 本课题依据
证券法
制根本 证券公司管理办法证券公司内控指引等法律法则提出证券公司风险防范的目标和原则提出以人为本是证券公司的风险控
首先从组织架构的角度对证券公司风险控制的组织体系和职责分工进行重新设计把稽核监察部和风险委员会提升为董事会的直属部门独立并高于经理层 其次从证券公司的经营理念制度文化环境法人治理结构决策程序部门分工岗位轮换隔离墙制度授权管理信息交流渠道重大事项报告安全备份等方面对证券公司的风险控制提出基本要求
证券公司管理办法定量化可测度 本课题的重点和创新在证券公司的风险控制方案指标体系和预警参数设计上把
证券法
求明细化证券公司内控指引里的许多定性要可考评可操作选用40多个指标指标化其中自营业务人力资源财务风险中的许多指标为独创设计每个指标均按无风险较小风险和较大风险三种风险状态划分出具体预警区间并给出预警参数这些参数多为经验参数来自于实践采集于市场一线有一定的指导意义和参考价值财务管理风险风险控制方案按证券公司的业务分类设计证券公司的综合风险建模操作性较强
的建模和计算便于推广应用 本课题选用10个财务指标
从测评 VaR=VO[E
R实用重点对自营业务风险自营业务风险指标及预警的收益率偏差标准差评估方法贝塔系数参数值设定均为独创设计-Rl]和VaR= V
o化操作性极强尤其是VaR风险价值模型是这一目前金融前沿理论应用简单化本课题第一次把人力资源管理的风险指标量化提出风险控制的根本是防范关键岗位工作人员的道德风险风险评估的角度设定参数最后Y=L+D
X-Lx
/行为风险和操作风险建模计算量化分析财务风险是证券公司经营风险的集中反映在分类计算的基础上建立证券公司总风险评价模型Ux- Lx 易懂好学便于推广 方法实用计算简单本课题最大的创新把证券公司风险控制指标层层分解量化计算风险值打分客观测评用数据说话这些指标方法既可作为证券公司内部测评和控制风险的依据又可做为监管部门评定和比较证券公司风险大小的方法面向市场贴近实践服务券商操作性和实用性很强
ABSTRACT
This project borrows the concept of risk classification from the IOSCO and breaks them into 6 classes. Based on the Securities Law, the Stockjobbers Administration Measure and Guidance of the Control Inside Stockjobbers, we put forward that focusing on human beings is the essence of risk control of the Stockjobbers.
Firstly, from the point of view of the organization framework, the framework and division of the work and responsibility of risk control of the Stockjobbers are redesigned. The Auditing and Supervising Department and Risk Management Committee were raised to be directly under the Directorate, independent and higher in position than the managements.
Secondly, set up the basic requirement of the Stockjobbers with respect to the managerial conception, culture environment of the system, corporation managerial structure, decision-making process, department division, post shift, isolation wall system, authorization management, information communicating channel, report of important events, safety backup, etc.
The emphases and innovation of this project is the design of indicator system and warning parameter of risk control scheme of Stockjobbers, making the various attributes in the Securities Law, the Stockjobbers Administration Measure and Guidance of Risk Control of Stockjobbers more detailed, measurable, verifiable and practical. More than 40 indicators are used. Among them, many indicators in self-support transactions risks, human resources risks and financial risks are innovations of the researchers involved. Each indicator is break into three intervals, indicating non-risk, small risk and serious risk respectively. The limits of the intervals give out the warning signals. Most of the limits are from our experiences, from the practical work. They can to some extent be used as guidance and references. The risk control scheme is designed according to the classification of the businesses, taking the self-support transactions risks, financial management risks and the integrate risks of the Stockjobbers as the focuses to be modeled and evaluated.
Risk indicators of Self-support transactions, deviation of relative returns, standard deviation evaluating methods and set up of Beta coefficient are all original
design. They are all practical, especially the modeling and computation of VaR (Value at Risk) model, VaR = V
[E(R)-Rl], and VaR, making the application of the present advanced theory more simpler, more practical and easier to be carry out, making them more easily to be spread, solved the problem of difficulties of adapting.
This project is the first one in quantifying the human resources management risk indicators. The project suggest that avoiding the moral risks, behavioral risks and operating risks of the employee in the key posts are the foundations of risk control.
Financial risk is where the Stockjobbers' operation risks concentrated. This project takes 10 financial indicators to set up risk limits and risk models to be quantitatively analyzed.
Lastly, the researchers set up the integrate risk evaluation model of the Stockjobbers, based on the classified computation: Y=L+D(X-Lx)(Ux-Lx)
It is practical, easy to compute, easy to understand, easy to spread.
The most important innovation of this project is to arrange the risk control indicator of Stockjobbers in a very nice way, quantifying them, scoring them using risk limits. These whole set of methods either can be used to evaluate and control the risk of the Stockjobbers, or can be used by the supervising organization or department to measure and compare the risks between the Stockjobbers, making them to be market-oriented, practical, serving the stock brokers in a better way. They are more operable and applicable.