基于CVaR的证券公司资本监管研究

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1、厦门大学博士学位论文基于CVaR的证券公司资本监管研究姓名：朱怀镇申请学位级别：博士专业：金融学指导教师：郑鸣20080401AbstractsThespecialfinancialenvironmentthatChinesesecuritiesfirmsdependonmakestherulesofcapitalregulationunableeffectivelytomonitortheself—managementsecuritiesinvestmentriskandcausesthesecuritiesfirmsto1ackthe

2、activelyinternalriskmanagement．Therefore，itisnecessarytoseekonekindofcapitalregulationrulereasonablytomeasuretheself—managementsecuritiesinvestmentriskofsecuritiesfirms．Itnotonlydevelopsanddeepensthistheoreticalresearchonthecapitalregulationofself—managementsecuritiesinve

3、stment，butalsocanguideandoptimizeself—managementsecuritiesinvestment．Thisarticleutilizestheanalyticaltechnique，mathematicalreasoningandthemoderneconomatricmethods．Thethesisreviewstheresearchfromtwoaspects．Oneistheeffectofsecuritiesfirmscapitalregulation，andtheotheristheme

4、asurementofcapitaladequacy．ThenthroughtheinternationalcomparisonandChinesepresentsituationofthecapitalregulationofsecuritiesfirms，theeapital，regulationeffectonsecuritiesfirms’behaviourisanalysed．ThentheefficiencyofthecapitalregulationbasedonCVaRisexaminedfrommathematicalr

5、easoningandtheempiricaltest．Therearethreemaininnovations．First，thecapitaladequacyrules’effectontheself—managementsecuritiesinvestmentofChinesesecuritesfirmshasbeenfirstlystudiedbyutilizingthepartialadjustmentmodel，buttheempiricalresultdemonstratestheeffectisnotremarkable．

6、Second，ithasbeencomparatiVelyearlyproventhatwhensecuritiesfirms’self—managementsecuritiesinvestmentonlycontainstherisksecuritiesandreturnfollowsstudentdistribution，thecapitalregulationbasedonCVaRissuperiortotheVaRusingthemathematicalreasoning，butwhensecuritiesfirms’self—m

7、anagementsecuritiesinvestmentalsocontainstheriskfreesecurities，therearenodifferencebetweent}lecapitalregulationbasedonCVaRandthatbasedonVaR．Third，byutilizingtheGARCH—EVT—tCopulamodel，thecapitalregulaitonbasedonCVaRean辍aketheseeuritiesregulatoreffeetivelymonitortheself—man

8、agementsecuritiesriskofsecuritiesfir臻s，anditisi翔prove强entofthecapitalregu王at主onbasedonVaR，andhas