Securities Company Stock Investment Risk Measurement, Prediction And Control

China security industry has got the quick development since the first securitycompany established in September of 1985.Up to June 30 in 2006, there are 138security companies in China. Because China security market was not maturity and themarket environment occurred the huge exchange, from August of 2002 to Decemberof 2005, 19 security companies collapsed or was droved take over because theyviolated the rules or the law. This article mainly carries on the analysis and researchesthe management failure reason of these security companies from the technique level,passing analysis and research about calculate, the estimate and control of the securityinvests risk, hope find out the valid method for security companies to control the riskof the stock investment.First carrying on the overview and anglicizing the definition of the risk and stock investment risk, point out the existent shortage of these definitions; basing on the deeply study the essence about the stock investment risk, put forward the new stock investment risk definition. Systemically summing up the measure theories of modern west about the stock investment risk, comment the scope of these theories, the contrast analyzes the good and bad of all risk measure target, pointing out the main problem of these risk measure theories, and summing up the research condition about the domestic measure theories of stock investment risk.Second the analyzing the main business of Security Company and research the main risk of these businesses will face on. Passing research, find out that the market risk is the most important risk that the security company will face on; the risk of stock investment is the biggest in the market risk. Basing on these researches, I carry on analysis the management failure of these security companies from theory and technique level.End, on the foundation of the empirical research about Chinese stock market, built up the measure model of calculate and predict and control the stock investment, and carried on the empirical examination these measure model. The Discover that the average value of the negative income of stock is the most important in measure model, the Sigma and coefficient of wave frequent effect the model smaller. The accurate rate of the risk estimate model is not too high. But the estimate error margin degree of the model is not especially serious. On the stock investment control, the expectation income and Sigma of the stock portfolio exist the very strong related relation with stock holding concentration degree, the portfolio holding concentration degree decrease with the expectation income and Sigma of the portfolio. Under the same income condition, the Sigma of good portfolio is lower than that of same scale portfolio, the risk of good portfolio is bigger than that of same scale portfolio, but the average value of the negative income and coefficient of wave frequent is lower. The same scale portfolio only get fixed income, good portfolio can get the different income level according to they need.