The Research On Risk Management Of Securities Companies' Proprietary Trading

All along, risk of the securities companies'proprietary trading has become the common object which the domestic and foreign securities companies, the theorists and the supervision organization pay attention to. In China, with the continuous expansion of the size of securities companies and the world financial crisis's further deepening unceasingly, the problems of risk management of securities companies'proprietary trading have become increasingly prominent. Therefore, the study on risk management of the securities companies'proprietary trading has the very vital significance for the effective risk management of the securities companies, the development of research on risk management, and even financial system's construction in our country.This article takes risk management of the securities companies' proprietary trading as the study object. Based on the previous researches and the actual characteristics of the securities companies'proprietary trading in our country, the paper takes some methods such as the literature analytic method, the expert interview, the canonical parse and the empirical analysis, unifies method of the qualitative and quantitative analysis to make a more progressive, systematic and comprehensive study on risk identification, measurement, control and monitoring of the securities companies'proprietary trading in accordance with such a logical process of the "risk identification-risk measurement-risk control".Firstly, the article summarize the theories relating to risk management of securities companies'proprietary trading.There is Further deepen understanding to risk from the risk general understanding as well as main routine of risk management. The paper has discussed the risk theory of portfolio from portfolio risk's characteristic and classification,elaborated theory of value at risk and introduced the portfolio and the cybernetics, which provided the powerful theory for the risk's recognition, the measure, the construction, the implementing risk early warning and carring on risk supervision of securities companies'proprietary trading.Then, the article has discussed existed problem of risk management in the securities companies'proprietary trading. There is analysis on risk root of risk in securities companies'proprietary trading from three aspects such as the internal root, the exterior root and special background on risk forms.Then, on the foundation of the consideration about the risk forming reason of securities companies'proprietary trading, there is a risk identification to securities companies'proprietary trading by using FAHP method. The empirical analysis has indicated that the risk right to securities companies'proprietary trading on the various risk factors is the Investors confidence, policy risk, operational risk, the macroeconomic environment risks and so on in turn. Therefore, securities companies should be systematic risk in the first place, paying attention to the cultivation of self-confidence of business persons and the changes of system and policy of government. At the same time, securities companies should pay attention to operational risk for proprietary trading so as to reduce risk of securities companies'proprietary trading.Next, this article has carried on the risk measure to the securities companies'proprietary trading.Through analysis on non-normal distribution of stock returns ratio in our country's stock market, the paper has choosed stock investment of the Eastern securities company's proprietary trading as the study object. Empirical results show that using Copula theory'the Gaussian Copula functions and multiple function of t-Copula to fit the dependence structure of the portfolio of all stocks, combined with Gaussian Copula functions and multi-function t-Copula and time series model and borrowed Monte Carlo simulation method,it is easy to calculate VaR of the securities companies'proprietary trading. By contrast, we chooses the smallest VaR of portfolio'proprietary trading in order to avoid effectively investment risks.Once more, this article has analysis on risk control of the securities companies'proprietary trading. Risk control of the securities companies' proprietary trading is procedure to help and guarantee implementation about risk counter measures of securities companies'proprietary trading. In the foundation of referring risk control of the overseas securities companies'proprietary trading, the paper has proposed risk control's overall frame of the securities companies'proprietary trading. Then we carries on the empirical analysis to risk control of the securities companies'proprietary trading, Finally we put forward some proposals about consummating risk control safeguard mechanism of the securities companies'proprietary trading.Finally, through an analysis on risk monitoring system and game of the securities companies'proprietary trading, the paper proposes that we should implement the risk supervision of the securities companies' proprietary trading.from four aspects such as establishing five level of supervision, perfecting securities companies'interior supervising mechanism, expansioning risk supervision jurisdiction of the securities companies'proprietary trading and strengthening the audit in the securities companies'proprietary trading.In conclusion, on base of referenced and learned from advanced risk management methods and theories of domestic and foreign securities companies, the paper has discussed by dividing the risk recognition, the risk measure, the risk control and the risk supervision. Through the quantification result of FAHP, Copula and the VaR, the paper is trying to establish self-control system of risk for the securities companies' proprietary trading, which will provides some reference of theories and method for risk aversion and control of the securities companies' proprietary trading from now.