CAJ | 학술논문

证券公司自营业务作为高风险业务种类，其风险管理水平直接影响公司抗风险能力，也会对以净资本为核心的证券公司风险控制指标体系产生较大影响。采用优化的VaR模型对我国证券公司自营业务风险进行量化分析表明，我国证券公司自营业务整体上风险控制较好，基本上能够取得独立于市场且高于市场的收益。应实行基于VaR模型的动态风险管理，强化证券公司风险控制系统预警和分析功能。
증권공사자영업무작위고풍험업무충류，기풍험관리수평직접영향공사항풍험능력，야회대이정자본위핵심적증권공사풍험공제지표체계산생교대영향。채용우화적VaR모형대아국증권공사자영업무풍험진행양화분석표명，아국증권공사자영업무정체상풍험공제교호，기본상능구취득독립우시장차고우시장적수익。응실행기우VaR모형적동태풍험관리，강화증권공사풍험공제계통예경화분석공능。
The risk management level of the self-management business of securities companies as high risk business directly influences anti-risk ability of the companies and can impose bigger impact on risk control index system of the securities companies taking net capital as the core. This paper uses optimized VaR Model to make quantitative analysis of self-management business risk of China＇ s securities companies and the results indicate that the risk control of self-management business of China＇ s securities companies is good and that the companies can obtain the profit independent of market and higher than the market. China should carry out dynamic risk management based on VaR Model and enhance the early warning and analysis function of company risk control system.