The Case Studies On Risk Management Of Proprietary Trading In Securities Companies

This article analyzes how to improve the risk management level ofproprietary trading in Chinese securities companies. The research is based onthe business characteristics of proprietary trading in securities companies,this thesis uses the VaR method to describe the overall market risk faced bysecurities companies, and uses β to measure the market risk faced byproprietary trading business.In the research process, this article followed the idea of the riskidentification, risk measurement and risk control. Firstly, this article analyzesthe characteristics of the securities proprietary business and the main risksfaced by them, there are both systematic and non-systemic risks, while themarket risk is the most important risk currently. Secondly, the articledescribes the commonly used method to measure market risk, and describes βand VaR methods in detail, uses the VaR methodology to measure risk of theChinese stock market index, uses β to measure the market risk faced by theproprietary business of CITIC Securities, and gives the method of how to use stock index futures with β to hedge risk of market risk. Finally, this article listsome risk control measures for market risk, decision risk, operational risk.