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(TheRiskManagementofSecuritiesSecond-Market-TradingBusiness)...............................................................4...............................................4...........................................................5...........................................7.......................................................7...................................9...............................................................9.............................................10.....................................10.........................16.................................................16.........................................17.............................28.......31.........31.................................35.....................................36.....................................37...................................................................................41.............................................................................421291191116860567719991999532.1812%“”“”“”2001851200224122(ExpectedUtility)-2040VonNeumann,JMorgenstern,O--PortfolioTheoryCapitalMarketTheoryMarketEfficiencyDerivativeSecuritiesValuationKnight19211921PP202261.2.320801200020013Risk,UncertaintyandProfit.199910199462ANPV--3PhilippeJorionVaR21PhilippeJorion“VaR”VaRVaRPhilippeJorionVaRhistorical-simulationstresstestingstructuredMonteCarlo342000“”“”VaR312VaR31212VaRVaR2001“”“”PhilipJorie199820002000,“”“”12345“”“”a)2000“”1999“”b)1212000200021000()3101101450%34“”5c)81510006%20510%10%“”199454210010%5%5%12%-2%4P2834567819902DrexelBurnhamLambertd)e)12,“”“”3`19952“3.27”1020011228503126.356“”,42338“”“”200112148014463483833581999“”68.4%39.4%B19957.1199511.8f)g)i.ii.“”h)-.-VonNeumann-Morganstern123Volatility4DownsideRiskLPMSLowerPartialMomentsVaRStressTesting“”VaRVaRi)i.1111991-1998IBM3-1IBM38%69.22%18.75%199162.89%IBMii.ni2pCov(ri,rp)Cov(ri,rp)/2prirpiwiiiriPrMrirMii0i0i1ii1i3.1.5iii.Volatility1rrrp(i=123n)Err(r)r(r)rrf(r)r2miiW––––ij3.1.153.1.153=0ij3.1.15W1WW=1/mm+0m=2=-1w/w=/tt110%214.14%23iv.LPMsDownsideRiskLPMs--LowerPartialMomentsLPMsLPMsnprnn=0U’0Un=1LPMLPMSkewnessPreferenceLPM3.1.22LPM2{ri|ri}LPM212LPMnnn=2=ErLPM2n=0LPM03LPM2LPM2v.VaRVaRValueatRiskJ.P.2080VaRDEaRDailyEarningsatRiskVaR“”“”95%VaRBankersTrust1994199499%1994243500VaR19946.1547VaR-Variance-CovarianceapproachhistoricalsimulationMonteCarloSimulation-VaRV0rV=V01+rr2ttt2tVr*Vv*=V1+r*VV*r*VaRf(v)f(v)3.2.4V*=F-1(1-)r*3.2.23.2.1VaR1VrV*VV*VV*1-f(v)F(V)V2VrrVVaRrttVVaRntntnnt3-21990-1994t3-2Tn6.84.43-2tn4.0-8.0Vr,tVaR3.2.6f(r)nttnCVaRVtVaRVaRVaRVRVaRVaRhistorical-simulationMonteCarlomarketfactorsnVaRvi.VaRVaR198919921994VaRstresstestingscenarioanalysis110“”BANKERTRUST619871990199498209023j)SALOMONBROTHERSINC4-119961231CAMELCapitalAssetManagementEquityLiquidity,“5C”CapitalCollateral()ConditionCharacterCapacityl)11VaRVaRVaRVaRVaRVaR198919921994VaRSailfishSystemeLtd4VaRVaRVaRT2VaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRVaRW=[VaRP1VaRP2VaRPKCIJKKVaRP1VaRP2VaRPKT]1/23.2.9VaRWVaRVaRPiVaRCIJKK2“”19521034m)1VaR199543%VaR1995SECVaRVaR—BankTruster“”RAROC=Profit/VaRVaRRAROCVaR“”“”“”“”“”12ABCDEFGHI3//”12VaR1995226233BaringsN.Leeson13a.LeesonLeeson35000Nikkei225199531900019951,19500Leesonpremium199511717600Leeson7716010JGB22717000Leesonb.VaRLeesonLeeson0VaRLeeson110JGB295%VaRVaRVaR1%10JGB1.185.831-0.114-0.11410.000139–0.000078-0.0000780.003397-160007700-83002VaRVaRVaRI10JGBNikkeiVaR=()()l()l-2.8245138.827.41211055.1256193.9506.16835.16lVaRVaR(()l/())(lVaR)(llVaR)()()-0.0000110-0.00920147.150.00010700.08935688.01835.16LeesonVaR1.6550600=8.35VaR95%Leeson13Leeson19951236.4%5.83%VaRLeesonDeltaDeltaDeltaDeltaDeltaDelta-GammaLeesonVaRLeesonGammaDelta01.26%95%VaRVaR=1.26%LeesonDelta-Gamma170001.51.4c.DeltaLeeson,VaRVaRWalterWristonVaRCAMEL5C-“”“”“”“”“”“”tAbstractChinesesecuritiesmarketisanewdevelopingmarket,sotherearemanyproblemsinit,howtopreventandmanagetheriskofsecuritiessecond-market-tradingbusinessisanoutstandingoneoftheseproblems.Atpresent,thesituationofChinesesecuritiessecond-market-tradingbusinessbelongsmainlytotraditional“small-scalepeasantfarming”,moreover,somesecuritiesoperatethepriceofstockillegallyoperatesecond-market-tradingbusinessbywayofinsidestoryrigingthemarketlookstockholderaccountfalsebuy-sale.whenobtaininghighprofit,theriskhasalsoappearedstepbystep,andbecamelarger.BaringsandSanriSecuritieswentbankrupt,ChineseWanguoSecuritiesbeingtaken-overJun’anSecuritisebeingterritoried,ShanxiaSecuritiesandZhejiangSecuritiesbeingfined,etc.Thesecasesillustratethatstrengtheningthereseachtotheriskofsecuritiessecond-market-tradingbusinessandpreventingriskmustbedonenow.Aproblemmustbesolvedurgently,thatishowtomakepremiumatthesametimestrengthentheriskmanagementofsecuritiessecond-market-tradingbusiness.Inthispaper,theresearchabouttheriskmanagementofsecuritiessecond-market-tradingbusinessisbasedonthetheoriesofriskmanagement.Theriskmanagementofsecuritiessecond-market-tradingbusinesswillusethesefundamentalmethods,suchasrisk-definingdistinguishingcalculatingandmanagingstrateg