第十七期：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)

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。

AbstractRisk regulatory mechanism of financial derivative market, as an important component of financial market regulatory system, is a part of infrastructure for developing transaction of exchange derivatives. The purpose is to protect investor’s interest, enhance market integration and improve market efficiency. At present, 3-level regulatory mechanism is the mainstream institutional framework for global derivative market regulation, that is, governmental regulation, internal management of industrial associations and exchange self-discipline. U.S. is a typical character of such regulatory mechanism. So is U.K., whose mechanism has its own distinctiveness in term of structure design anyway.As to securities company, launch of stock index futures is to have important impact on its self-support and broker business, and put higher requirement on securities company in term of management, technology and talent. Hence, establishment and improvement of internal control mechanism becomes more important. With reference to characteristics of international stock index future business regulatory mechanism and China’s actual situation, some suggestions about risk regulation on securities company in their taking stock index business are proposed as follows:1)With regard to regulatory mechanism, a four-level regulatory mechanism should be established, that is, supervision by China Securities Regulatory Commission, regulation from Exchange, industrial self-discipline and internal control system of investment institutions. In future, Future Exchange Commission should be set up as soon as possible and the function of governmental department should be reformed. The legal position of governmental regulation and industrial association regulation should be set up and some authority of governmental department should be transferred down to Exchange and industrial associations on base of ensuring the independence of governmental regulation. Exchange should set up and improve risk regulation system according to related laws and rules by the supervision of China Securities Regulatory Commission, including Margin Account System, Limit Down and Up mechanism and Membership. Industrial association should establish rules in accordance with Exchange’s regulations by the supervision of China Securities Commission to effectively restrict industrial members. Securities company shouldimprove its internal control system and control risk of IB business and self-support business.2)Under the framework of IB system, there may exist risks in taches including marketing, account opening, transaction and settlement when securities companies take part in stock index future. Securities company should establish scientific internal control system aimed at each risk during IB business to create sound business environment.3)Scientific risk management should make prediction and assessment of future market risk by replacing the qualitative analysis with standard quantitative analysis. Because of lack of scientific standard and containing more artificial factors, qualitative analysis often consists of subjective conclusion in analyzing and judging problems, which brings uncertainty and unreasonability in risk management. Risk management should investigate the future market risks by resorting to scientific quantitative analysis to present the objectivity, authority and justness of risk control. It is advised that securities company should adopt VaR as quantitative index of risk control in developing stock index future business.Key Word: Stock Index Future Securities Company Risk Regulation目录第一章导言----------------------------------------------------------------1 1.1研究背景--------------------------------------------------------------------1 1.2研究意义--------------------------------------------------------------------2第二章股指期货业务对证券公司的风险点-------------------------3 2.1证券公司的外部环境-----------------------------------------------------3 2.2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------------------------------------------------------7 2.3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----------------------------------------------------------------10 第三章监管理论及监管制度------------------------------------------11 3.1监管理论概述-------------------------------------------------------------11 3.2佩尔茨曼监管函数模型-------------------------------------------------11 3.3监管的博弈论基础------------------------------------------------------13 3.4监管制度概述------------------------------------------------------------14 3.5监管目标、类型及对象------------------------------------------------153.5.1监管目标-------------------------------------------------------------------------153.5.2监管类型-------------------------------------------------------------------------153.5.3监管对象-------------------------------------------------------------------------18 第四章股指期货风险监管的国际比较------------------------------204.1政府监管制度------------------------------------------------------------204.1.1监管制度的国际比较----------------------------------------------------------204.1.2国外监管制度对我国的启发及借鉴----------------------------------------21 4.2行业自律体系------------------------------------------------------------214.2.1行业自律体系的国际比较----------------------------------------------------224.2.2国外行业自律体系对我国的启发及借鉴----------------------------------24 4.3交易主体监管------------------------------------------------------------254.3.1世界其他国家在交易所层次的监管制度考察----------------------------254.3.2国外交易所和经纪公司的监管对我国的借鉴和启发-------------------26 第五章证券公司开展股指期货业务的监管对策-----------------285.1股指期货业务风险控制方法------------------------------------------285.1.1 IB业务的风险控制与监管---------------------------------------------------285.1.2 VaR在自营业务风险管理中的应用----------------------------------------305.1.3套期保值业务的风险监控----------------------------------------------------35 5.2四级监管体系控制券商股指期货业务风险------------------------445.2.1以美国为代表的期货市场监管模式----------------------------------------445.2.2建立四级监管体系-------------------------------------------------------------47 5.4 现货市场与期货市场跨市监管--------------------------------------505.4.1期货合约对跨市监管的规定-------------------------------------------------515.4.2日常跨市监管-------------------------------------------------------------------52 5.5证券公司已充分融入期货业务监管体系---------------------------54第六章结论---------------------------------------------------------------55第一章导言1.1研究背景股指期货作为80 年代国际金融市场上最为重要的金融创新，目前已经是世界上交易量和流动性最好的金融衍生产品之一，被公认为是股市上最为有效的风险管理工具之一。