Research On Securities Firms Capital Regulation Based On CVaR

The special financial environment that Chinese securities firms depend on makes the rules of capital regulation unable effectively to monitor the self-management securities investment risk and causes the securities firms to lack the actively internal risk management. Therefore, it is necessary to seek one kind of capital regulation rule reasonably to measure the self-management securities investment risk of securities firms. It not only develops and deepens this theoretical research on the capital regulation of self-management securities investment, but also can guide and optimize self-management securities investment.This article utilizes the analytical technique, mathematical reasoning and the modern economatric methods. The thesis reviews the research from two aspects. One is the effect of securities firms capital regulation, and the other is the measurement of capital adequacy. Then through the international comparison and Chinese present situation of the capital regulation of securities firms, the capital regulation effect on securities firms' behaviour is analysed. Then the efficiency of the capital regulation based on CVaR is examined from mathematical reasoning and the empirical test.There are three main innovations. First, the capital adequacy rules' effect on the self-management securities investment of Chinese securites firms has been firstly studied by utilizing the partial adjustment model, but the empirical result demonstrates the effect is not remarkable. Second, it has been comparatively early proven that when securities firms' self-management securities investment only contains the risk securities and return follows student distribution, the capital regulation based on CVaR is superior to the VaR using the mathematical reasoning, but when securities firms' self-management securities investment also contains the riskfree securities, there are no difference between the capital regulation based on CVaR and that based on VaR. Third, by utilizing the GARCH-EVT-tCopula model, the capital regulaiton based on CVaR can make the securities regulator effectively monitor the self-management securities investment risk of securities firms, and it is improvement of the capital regulation based on VaR, and has proved the validity of mathematical reasoning of the capital regulaiton based on CVaR from the empirical angle.