Returns Analysis And Risk Assessment Of The Securities Companies' Creating Warrants

Warrant is a financial derivative with a long history and active trading market in the whole financial market. In the overseas capital market development, warrant is the first choice to introduce financial derivative products as a unique product design. Ten years ago, the warrants had appeared in our country, but the varities of warrant were very few ,coupled with weak regulation, which leads to the price of warrant with a steep falling to rising and the transactions' stopping.In 2005 August, China's securities market is reformed to solve the division between current stocks and uncurrent stocks. To solve it completly, warrant was launched as a way to compensate the loss of uncurrent stockholders, and it apppeared once more in China. Baogang warrant became the first warrant in our stock markets., whose structure is different widly with the standard warrant prevailing in overseas security market. One of the main shortcomings is that the number of Baogang warrant fixed, which leads to prices rising when the market demand increases. In the international stock markets, lacking in system of creating results steep falling and rising. November 21, 2005, Shanghai Stock Exchange announced the securiteis company creating Wugang warrant. Asking the qualified professional organizations to creat warrant could ajust the supply of warrant and maintain the market order of warrant. Qualified professional organizations may reissue warrant to adjust the supply, selling them in resonal prices.The main purpose of this paper is offering a scaling tool for securities companies which could scale the returns and risks in creating and logouting the warrant. Firstly, It analyses the returns of securities companies ' increasing calling warrants and builds their formula and charts. By many cases, It offers the returns of every securities company. Secondly, it analyses the returns of securities companies ' increasing puting warrants and builds their formula and charts. By comparing the chart, it is found that the two chart's shape are similar and if the stock's price is higher than the prescribed price, the return rate is fixed.Furthermore, for the risk of creaing and logouting warrants, it analyses the sensitive analysis of factors and then chooses 10 factors to establish the models of assessing the risks by principal component analysis.Finally,by the ratio of returns and risk, it shows many cases to check up the validity and practicability of the model buided.