对证券公司的风险及监管对策(上证所与国元证券股份

股指期货业务对证券公司的风险及监管对策上证所与国元证券股份有限公司课题组课题负责人：蔡咏、司徒大年课题组成员：戴军屠海上证联合研究计划第十七期课题报告II内容摘要国际上的金融衍生品市场风险监管体制作为金融市场监管体系的重要组成部分，是开展交易所衍生品交易的基础条件之一，其主要目标是保护投资者公共利益、促进市场统一和提高市场效率。目前，三级监管体制是世界衍生品市场监管的主流制度架构，即政府监管、行业协会内部管理和交易所自律。美国是这种监管体制的典型代表，英国基本上也承袭了这种监管体制，只是在制度结构设计方面的侧重点有所不同。对证券公司而言，股指期货的推出将会影响自营业务、经纪业务，在管理、技术、人才等各方面对券商提出更高的要求，建立健全内部控制制度就显得尤为重要。参考国外股指期货业务监管制度的特点，结合我国目前的实际情况，我们对未来证券公司参与股指期货业务的风险监管提出如下的具体建议：1)在监管体制上，借鉴国外三级监管体制，建立一个在证监会指导下，以交易所为一线监管、发挥行业自律监管、完善投资机构内控制度的四级监管体制。在未来，应该尽快成立期货交易委员会，实现政府部门的职能转变；明确政府监管和行业协会监管的法律地位，在保证政府监管独立性基础上适当将政府监管部门的一些权力下放到交易所和行业协会；交易所应该按照相关法律、法规，在证监会指导下建立并完善股指期货的风险监管体制，包括保证金制度、涨跌停板制度、会员制度等；行业协会则在证监会指导下设置与交易所规章制度相符的条例，对行业会员进行有效约束。证券公司应加强内部控制制度的建设，控制IB业务、自营业务的风险。2)在IB制度框架下，证券公司参与股指期货在营销环节风险提示、开户环节的资料审核、交易环节的系统安全、结算环节风险控制都可能存在风险点。证券公司应该针对IB业务的各个风险点，制订完善的内控制度，使股指期货IB业务开展的各个环节有章可循。3)科学的风险管理应借助规范的计量方法代替定性分析方法进行期货市场风险的预测与评估。定性分析方法由于缺乏统一的标准，包含较多的人为因素，对问题的看法与判断往往含有一定的主观成分，给风险管理带来不确定性与不合理性。风险控制应借助严格的计量手段对期货市场的风险程度进行考察，体现风险控制的客观性、权威性和公正性。建议证券公司在开展股指期货业务的时候，采用VaR作为风险控制的定量指标，对自营业务、资产管理业务进行一定的套期保值，并制定措施对现货和期货市场间操纵交易进行有效监管。上证联合研究计划第十七期课题报告IIIAbstractRiskregulatorymechanismoffinancialderivativemarket,asanimportantcomponentoffinancialmarketregulatorysystem,isapartofinfrastructurefordevelopingtransactionofexchangederivatives.Thepurposeistoprotectinvestor’sinterest,enhancemarketintegrationandimprovemarketefficiency.Atpresent,3-levelregulatorymechanismisthemainstreaminstitutionalframeworkforglobalderivativemarketregulation,thatis,governmentalregulation,internalmanagementofindustrialassociationsandexchangeself-discipline.U.S.isatypicalcharacterofsuchregulatorymechanism.SoisU.K.,whosemechanismhasitsowndistinctivenessintermofstructuredesignanyway.Astosecuritiescompany,launchofstockindexfuturesistohaveimportantimpactonitsself-supportandbrokerbusiness,andputhigherrequirementonsecuritiescompanyintermofmanagement,technologyandtalent.Hence,establishmentandimprovementofinternalcontrolmechanismbecomesmoreimportant.WithreferencetocharacteristicsofinternationalstockindexfuturebusinessregulatorymechanismandChina’sactualsituation,somesuggestionsaboutriskregulationonsecuritiescompanyintheirtakingstockindexbusinessareproposedasfollows:1)Withregardtoregulatorymechanism,afour-levelregulatorymechanismshouldbeestablished,thatis,supervisionbyChinaSecuritiesRegulatoryCommission,regulationfromExchange,industrialself-disciplineandinternalcontrolsystemofinvestmentinstitutions.Infuture,FutureExchangeCommissionshouldbesetupassoonaspossibleandthefunctionofgovernmentaldepartmentshouldbereformed.ThelegalpositionofgovernmentalregulationandindustrialassociationregulationshouldbesetupandsomeauthorityofgovernmentaldepartmentshouldbetransferreddowntoExchangeandindustrialassociationsonbaseofensuringtheindependenceofgovernmentalregulation.ExchangeshouldsetupandimproveriskregulationsystemaccordingtorelatedlawsandrulesbythesupervisionofChinaSecuritiesRegulatoryCommission,includingMarginAccountSystem,LimitDownandUpmechanismandMembership.IndustrialassociationshouldestablishrulesinaccordancewithExchange’sregulationsbythesupervisionofChinaSecuritiesCommissiontoeffectivelyrestrictindustrialmembers.Securitiescompanyshould上证联合研究计划第十七期课题报告IVimproveitsinternalcontrolsystemandcontrolriskofIBbusinessandself-supportbusiness.2)UndertheframeworkofIBsystem,theremayexistrisksintachesincludingmarketing,accountopening,transactionandsettlementwhensecuritiescompaniestakepartinstockindexfuture.SecuritiescompanyshouldestablishscientificinternalcontrolsystemaimedateachriskduringIBbusinesstocreatesoundbusinessenvironment.3)Scientificriskmanagementshouldmakepredictionandassessmentoffuturemarketriskbyreplacingthequalitativeanalysiswithstandardquantitativeanalysis.Becauseoflackofscientificstandardandcontainingmoreartificialfactors,qualitativeanalysisoftenconsistsofsubjectiveconclusioninanalyzingandjudgingproblems,whichbringsuncertaintyandunreasonabilityinriskmanagement.Riskmanagementshouldinvestigatethefuturemarketrisksbyresortingtoscientificquantitativeanalysistopresenttheobjectivity,authorityandjustnessofriskcontrol.ItisadvisedthatsecuritiescompanyshouldadoptVaRasquantitativeindexofriskcontrolindevelopingstockindexfuturebusiness.KeyWord:StockIndexFutureSecuritiesCompanyRiskRegulation上证联合研究计划第十七期课题报告V目录第一章导言----------------------------------------------------------------11.1研究背景--------------------------------------------------------------------11.2研究意义--------------------------------------------------------------------2第二章股指期货业务对证券公司的风险点-------------------------32.1证券公司的外部环境-----------------------------------------------------32.2股指期货的风险定义与风险类型--------------------------------------32.2.1期货市场风险分类---------------------------------------------------------------32.2.2期货市场的系统性风险---------------------------------------------------------62.2.3期货市场的非系统性风险------------------------------------------------------72.3证券公司开展股指期货业务的风险-----------------------------------92.3.1股指期货IB业务的风险-------------------------------------------------------92.3.2自营业务的风险---------------------------------------