Research On Risk Control Of The Margin Transaction Of Securities Companies In China

Change rapidly in the securities industry, the introduction of margintrading and securities lending business, greatly accelerate the financialinnovation of China’s securities industry pace, expanding investmenttrading means, widening the securities company’s profit model andenhance its profitability. In the third batch of8pilot securities companiesapproved by the Chinese Securities Supervisory Association, marginfinancing business development in China’s securities industry to spurt ofspeed. As of January21,2013, the SSE and SZSE financing securitiesloan balance reached107.47billions Yuan, open a credit account exceedone million households, the financing securities loan market, increasingthe scale of.With the introduction of margin trading and securities lendingbusiness in China, various risks of margin financing business faced by thetransactions subject to the parties concerned. Securities companies canmarket risk, credit risk, investors’ business risk and management risk;effective risk control has become the key for its steady development ofmargin trading and securities lending business. Based on the analysis ofdevelopment of margin financing business risks of Chinese securitiescompanies, the securities company how to face the financing businessrisk prevention, the establishment of risk control system for the securities company, and provides theoretical support, provide a useful reference fordevelopment of refinancing business after.Firstly, on the basis of domestic and foreign research results, UsingARCH model based on VAR (Value at Risk) method to calculate themargin trading account assets risk value, in order to determine the elasticmargin, establish daily risk warning line based on. In this paper, throughthe relevant data to simulate the analysis of Sinopec this stock3, rate ofreturn, calculate its value at risk by using the VAR method, to determinethe trading margin ratio, this ratio can reflect the change of underlyingsecurities market value. The securities company to dynamically adjust themargin ratio, not only conducive to the healthy development of margintrading and securities lending business, but also on the margin tradingmarket risk control effectively. In addition, This paper also use bivariateautoregressive model (B-VAR) by analyzing the three stages of theShanghai and Shenzhen300index futures optimal hedging ratios formargin trading, hedging is a securities company by stock index futuresstrategies. The Shanghai and Shenzhen300hedging function, securitiescompanies can effectively reduce systemic risk in the margin businessface.