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报告编号:10 
作者编号:17 
上传时间:2017/5/9 20:50:48 
中文题目:证券公司投资业务创新研究  
英文题目:Research on the innovation of investment business in securities companies  
合作老师:齐岳 
中文关键字:投资业务 创新路径 投资产品 投资方式 风险控制 
英文关键字:investment business; innovation path; investment product; investment pattern; risk control 
中文摘要:在证券行业步入创新时期与证券公司盈利模式转型的背景下,对证券公司投 资业务的现状、问题以及未来的创新路径与风险控制进行综合分析,无疑具有重 要的理论与实践意义。在理论上,由于我国证券行业起步晚,创新时间较短,相 关分析较少且零乱,并未形成系统性研究。虽然国外证券公司积累了丰富的投资 业务理论与实践经验,但目前国内对国外券商投资业务的发展模式与经验的介绍 与研究还较为匮乏,大多局限于国外证券公司总体发展的分析,并未深入探讨具 体的投资业务。因此,本文在理论上将借鉴国外成功经验,结合我国的实际,研 究适合本土券商投资业务创新发展的路径与模式。在实践上,证券公司投资业务 的创新与发展还处在探索阶段,未来的创新路径与模式还有待厘清,风险控制意 识还有待加强,如果不能在细致深入研究基础上确定证券公司投资创新策略与思 路,一方面会付出沉重的探索成本,另一方面也将错失证券行业创新与变革带来 的良机。 第一章为绪论:阐述选题背景、研究目的与意义,界定研究对象,指出研究 框架、思路与方法,分析本文的创新点及进一步研究的问题。 第二章基于现状与环境分析,综合探讨我国证券公司投资业务发展存在的问 题,首先回顾投资业务的发展历程,并着力探讨投资业务发展面临的内外部环境, 深入分析制约投资业务发展的各种因素。 第三章为发达国家经验借鉴,从发展历程、业务模式、创新路径等角度讨论 发达国家投资业务发展的成功经验与教训,把握未来国内投资业务创新与发展的 方向。经验包括:顺势而为,适时变革组织架构,才能把握业务发展契机;投资 方式多元化促进投资模式的转换;有效利用衍生品工具推动投资业务发展。教训 则主要是高风险偏好的管理蕴藏潜在的危机以及风险管理能力是生存之本。 第四章为新兴市场经验与教训的思考。本部分主要是分析新兴市场投资业务 发展中存在的问题以及从中得到的经验与教训,比对类似发展阶段投资业务创新 与发展不同路径的优劣,从而能够为我国证券公司投资业务创新的研究提供横向 内容摘要 II 的视角。主要的启示是:把握产品设计的创新方向,追求绝对收益;充分利用衍 生品业务发展带来的机遇;投资业务创新中注重成本把控。 第五章为我国证券投资业务创新路径分析,从组织创新、投资方式创新、投 资产品创新等视角全面论述,并结合证券公司类型的差异,探讨与之相应的创新 路径选择。其中,我们重点阐述量化策略中较为常见的多因子模型与价差套利模 型的构建与修正思路,并结合未来衍生品的发展趋势提出有关期权产品的投资策 略。 第六章为我国证券投资业务创新的风险控制分析,首先研究投资业务创新中 的风险因素,指出目前风险控制存在的缺失或不足,最后提出推动投资业务健康 发展的风险控制举措。 第七章为相关建议,从组织架构、投资方式、投资产品和风险控制等提出了 证券公司投资业务创新发展的相关建议:积极探索组织架构创新,对此,大型券 商逐步推进事业部制改革,中小型券商则应逐步成立资产配置委员会、资本投资 委员会和资产管理委员会;加大投资方式的创新力度,一方面实现投资方式多元 化,重点发展量化投资,即量化交易、量化对冲和量化套利,另一方面通过多元 化融资提升杠杆;把握投资产品的创新机遇,对此,自营部门利用衍生品进行套 保、套利和跨市场价差,资管部门则利用衍生品进行风险管理和现货替代;最后 是强化投资创新业务的风险控制,既要明确资本型业务的发展方向,又要注重风 险控制与创新业务的融合与平衡。 
英文摘要:Now the innovation of the securities industry grows rapidly, and the profit patterns of the securities companies are in transformation period. Therefore, the research on the innovation of investment business has important theoretical and practical significance. In theory, because China's securities industry started late and the innovation period is short, the related research is lack and not systematic. Although foreign securities companies have accumulated rich theory and practice experience, the introduction and research about development path and experience of foreign investment business are relatively scarce, and most of them are the analysis of foreign securities companies, and not specific to the investment business aspects. Therefore, based on the foreign successful experience in theory, combining the actual conditions of our country, the paper analyzes the path and pattern of the development of local securities investment business. In practice, the innovation of investment business of securities companies is still in the stage of exploration, innovation path and pattern in the future remain to be clarified, and risk control consciousness should be strengthened. If innovation strategy of domestic securities company cannot be on in-depth research, the companies will pay a heavy cost of exploration, and will miss the opportunity to bring the securities industry innovation and change. The first chapter is the introduction: including the background, the purpose and significance of research, defining the object of study, the research framework, ideas and methods, innovation of the paper and further research. Based on the current situation and environment analysis, the second chapter is comprehensive discussion on the existing investment business development of China's securities companies. First we review the development process of investment business, and focus on the investment business development and external environment, in-depth analysis of various restrictive factors. The third chapter discusses the reference to the successful experience of investment business in developed countries and lessons from the development process, business pattern and innovation perspective. In this chapter, we can grasp the future direction of innovation of domestic investment and development. Experience includes: to timely change organizational structure in order to grasp the development opportunities; to promote investment diversification to transform investment pattern; to effectively use the derivatives to promote investment business development. Abstract IV Lessons are mainly that high risk preference is the potential crisis management and risk management ability is the survival essence. The fourth chapter is about the experience and lessons from the emerging markets. This part analyzes the existing problems about the investment business development as well as the experience and lessons. Because they are similar to domestic development stages, we compare the innovation and development of different investment business route performance so as to provide different perspectives. The main inspiration is: to grasp the direction of innovation in product design in the pursuit of absolute return; to take advantage of the development opportunities derivatives business; to control the cost of investment business innovation. The fifth chapter focuses on the innovation path of investment business in China from the comprehensive views of organizational, investment pattern and investment product innovation. Moreover, we analyze the corresponding innovation path combined with different types of securities companies. Among them, we focus on the construction and correction of the multi- factor model and common arbitrage model, and puts forward some related investment strategy about option products according to the future development trend of derivatives. The sixth chapter is the analysis of risk control about domestic investment business innovation. First we study the main risk factors of investment innovation, and points out the specific problems about the risk control, and finally puts forward the risk control measures to promote the healthy development of business investment. The seventh chapter is the recommendations and suggestions on the innovation and development of domestic investment business from the views of the organizational structure, investment pattern, investment products and risk control: to actively explore organizational structure innovation, therefore, large firms gradually pushing forward the reform, small and medium-sized firms gradually setting up asset allocation committee, the capital investment committee and assets management committee; to grasp the opportunities of investment product innovation, proprietary departments using derivatives for hedging, arbitrage and inter market arbitrage, asset management department using derivatives for risk management and spot substitution; finally to strengthen risk control of investment business innovation, making sure the development direction as well as the balance between the risk control and business innovation.  
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