证券公司整体风险的度量方法与实证

Risk integration measurement and application in Chinese securities companies

针对风险集成度量中的数据困难,以及目前我国证券公司风险集成度量研究和实践的缺乏,提出了基于财务报表数据的风险集成度量方法,对我国14家上市证券公司面临的市场风险、信用风险、流动性风险、运营风险和整体风险进行度量,并分析了各风险对整体风险的影响.研究结果表明:市场风险、信用风险、流动性风险及运营风险与整体风险之间存在着较大的分散效益;此外,市场风险与运营相关的风险是我国证券公司面临的主要风险.

We propose a new risk integration method from the perspective of the financial data, i.e., the risk integration method based on financial statement. This paper applies this method in Chinese listed securities companies to measure the market risk, credit risk, operational risk, liquidity risk and the overall risk, and analyses the relationships among them. The research finds that, there are significant diversification benefits among these risks, which will help to reduce the demand for capital provision. Furthermore, market risk and operational risk are main risks in securities companies, which need paying more attention.