证券公司风险监管制度有效性的实证研究

按照国际清算银行(BIS)颁布的新资本充足率规范,以49个中国证券公司实际自营投资组合为样本、采用基于VaR的内部模型法,估算各证券公司自营投资的市场风险和应计提资本,并以之检验中国证券公司新老资本监管制度的有效性.实证结果显示:改革后的2006版资本监管制度比老制度有所改善,但对风险的反映不如内部模型法准确,中国监管制度改革的方向应是采用内部模型法.因主要品种风险调整比例设置偏低,新制度平均低估证券公司自营风险29%,建议监管规则调整上海180指数股票、ST类股票、基金、企业债、可转债等品种的风险调整比例.

An Empirical Study on Effectiveness of Risks Regulatory System for Securities Firms

This study is based on the 1996 BIS capital adequacy guidelines to employ the VaR based internal model method to calculate the VaR and the capital requirement using data on the actual fixed income security and equity security holdings of 85 security firms in China.We examine how these models fit security firms by comparing the new regulatory rules implemented by the China Securities Regulatory Commission(CSRC) in 2006 with the old ones in 2000.The empirical results show that the 2006 regulatory rules perfor...