Broker Insolvency Risk Quantification Methods Research

Since the end of 1990s,securities market all over the world has met the risk of bankruptcy. As a special finance intermediary organization, bankrupt brings not only the loss for shareholder, but also the upheaval of finance market and social instability. But the studies of the bankruptcy risk management are comparatively lagged; even there isn't specific definiens. Therefore, searching the bankruptcy risk management of the securities firms is of great sense and value.This paper mainly explains the bankruptcy risk of the securities firms in China, sets the risk warning index for securities firms in order to bring risk undertaking profit safely. Comparing to most results of average risk research to securities firms, the research of bankruptcy risk is almost blank in China. This thesis plans to use results of bankruptcy risk research to bank and insurance agent for reference, and introduces one popular risk evaluating method-VaR, to measure and evaluate the bankruptcy risk in domestic securities firms. Firstly, the achievement of risk management and bankruptcy risk in bank and insurance agent is introduced, and the research method and area is put forward. The development situation in Chinese securities market is discussed in the next place. Also, the average risk to securities firms is classified and valued after that, bankruptcy and bankruptcy risk in securities firms is defined. Bankruptcy risk is the convergence and reflection to average risk. Based on the classified method in the second chapter, this paper set index to different kinds of risk, and use finance model to collect all kinds of risk. Through the above steps, the bankruptcy risk in securities firms can be evaluated. To solve the existing problems, the author chooses VaR method to collect bankruptcy risk and build index of bankruptcy-risk-predicted to securities firms. At last, apply the index to the bankruptcy risk analysis, and have concrete evidence in XinHua securities firm, have a measurement for CITICS securities with finance warning index. The bankruptcy risk-warning index that has been put forward in this paper has its realities and effectiveness.