我国现代期货市场起步于上世纪九十年代初期,经过三十多年的探索实践，在一 代又一代期货人的坚守和奋斗下，从无到有，从小到大，从乱到治，从投机盛行到现 在功能逐步发挥、渐入佳境。作为金融细分行业，伴随着期权工具上市、国际化进程 的全面提速，期货市场服务实体经济、服务国家战略的能力得到显著增强，主要体现 在三个方面，一是发展基础更加坚实，行业总资产、净资产、净资本均大幅增长，行 业承载能力不断增强；二是发展步伐更加稳健，严监管带来了期货市场持续健康的发 展；三是发展机遇不断增多，金融期货、商品期权、场外期权、商品 CTA 以及商品 指数基金等产品不断丰富，为期货市场的发展带来难得的机会。 然而随着业务模式的不断创新，期货公司“自主创新、自担风险”格调的确立， 风险管理传统结构随之被打破，单一的风险管理模式远远不能满足后续的业务发展需 求。因此，加强风险管理的全面性和联动性，全面有效识别期货公司风险成为了未来 期货公司风险管理的主要方向，怎样建设更为科学及合理的全面风险管理模式成为了 现阶段期货公司面临的主要问题。本文以天弈期货公司为例，通过全面风险管理理论 系统地分析了天弈期货公司在风险管理方面存在的不足，优化其风险管理策略，为公 司今后的发展奠定理论基础，也给同行业其他公司提供借鉴，从而促进整个行业健康、 持续、稳定的发展。 首先介绍了本文的研究背景、研究意义以及目前国内外关于风险管理的研究；其 次，详细介绍了期货公司业务发展情况以及全面风险管理理论的内容；再次，介绍了 天弈期货公司的基本经营现状，并运用 PEST 模型和波特五力模型分别对天弈期货公 司当前所处的宏观环境和行业环境进行详细分析；第四部分针对天弈期货公司风险管 理体系进行详细分析，为后续解决这些问题提供依据；第五和第六部分是全文的重点 部分，主要为前文提出的问题寻求解决方案，并制定详细的保障措施，在此应用了 VaR 模型来设定客户保证金水平，提高客户资金使用效率；另外应用大数据手段分析 客户违约风险，从而尽早发现问题，为今后期货公司定量分析提供了借鉴意义；最后 一部分介绍了本文的结论和不足之处，并对未来期货公司风险管理提出了展望和期许。 关键词，期货公司；全面风险管理；VaR 模型；风险应对III Abstract Chinese modern futures market started in the early 1990s. After more than 30 years of exploration and practice, and in a generation after generation of futures people's persistence and struggle, Chinese futures market has started from zero to one, from small to big, from chaos to governance, from speculation to the present function gradually play, gradually into the good situation. With the options listed and accelerated internationalization, as a financial subdivided industry, the ability of futures market to serve the real economy and serve the national strategy has been significantly enhanced. This is mainly embodied in three aspects. Firstly, the foundation for development is more solid. The total assets, net assets and net capital of the industry increased significantly. The industry carrying capacity is increasing. Secondly, the pace of the development is more robust. Strict regulation has brought about a sustained and healthy development of the futures market. Thirdly, the development opportunity is growing. Financial futures, commodity options and OTC options, CTAs and commodity index funds, and other products are enriched. It brings a rare opportunity for the development of the futures market. But as the business model continues to innovate, futures companies have established style of "Independent Innovation, Own Risk". The traditional structure of risk management is bound to be broken. A single risk management model is far from meeting the needs of business development. Therefore, we should strengthen the comprehensiveness and linkage of risk management. Identifying the risk of futures companies in a comprehensive and effective way is the ultimate direction of risk management. How to build a more scientific and reasonable comprehensive risk management mode has become a profound problem at this stage. This article takes Tianyi Futures Company as an example. The deficiencies of Tianyi Futures Company in risk management are systematically analyzed through the Enterprise Risk Management. And it optimizes the risk management strategy. The goal is to lay a theoretical foundation for the future development of the company, and provides reference for other futures company in the same industry, so as to promote the healthy and sustainable development of the whole industry. In the first section, the article introduces its research background and significance, and the research status of risk management at home and abroad. In second section, it introduces the business situation and the theory of Enterprise Risk Management. In the third section, itIV introduces the current operation situation of Tianyi Futures Company, and makes a detailed analysis of the macro environment and industry environment of the current futures market by using the PEST model and the five-force model. The fourth part puts forward the risk management problems of Tianyi Futures Company, which providing a basis for solving these problems. The fifth and sixth parts are the key parts, mainly for raising the problems in the previous article, and formulating detailed implementation plans and safeguard measures. In this part，the VaR model is applied to set the customer margin level and improve the efficiency of customer funds. In addition, the application of big data means to analyze the customer default risk, so as to find the problem as early as possible, which provides reference for future quantitative analysis of futures companies. In the conclusion part, we discuss the shortcoming of the article and make a vision of the futures companies" risk management research. Keywords，Futures Company; Enterprise Risk Management; VaR Model; Risk Response目录 致谢..I 摘要II Abstract .. III 第 1 章 绪论.....1 1.1 研究背景和研究意义........ 1 1.1.1 研究背景 ...1 1.1.2 研究意义 ...2 1.2 国内外研究现状评述........ 2 1.2.1 国外研究现状 ....2 1.2.2 国内研究现状 ....4 1.2.3 文献综合评述 ....5 1.3 研究内容与框架结构....... 5 1.3.1 研究内容 ...5 1.3.2 框架结构 ...6 1.4 研究方法与创新点... 7 1.4.1 研究方法 ...7 1.4.2 论文创新点 ........8 第 2 章 理论基础......9 2.1 期货公司业务概述... 9 2.1.1 期货公司业务分类 .....9 2.1.2 期货公司风险分类 ...10 2.1.3 期货公司风险特点 ...11 2.2 全面风险管理理论. 12 2.2.1 全面风险管理理论概述 ....12 2.2.2 全面风险管理理论的内容 12 第 3 章 天弈期货公司经营环境分析........15 3.1 天弈期货公司概况. 153.1.1 天弈期货公司基本情况 ....15 3.1.2 天弈期货公司经营现状 ....16 3.2 宏观环境分析——PEST 模型 16 3.2.1 政治环境分析 ..17 3.2.2 经济环境分析 ..17 3.2.3 社会环境分析 ..18 3.2.4 金融业技术分析 .......19 3.2.5 PEST 模型分析总结19 3.3 行业环境分析——五力模型... 19 3.3.1 潜在的新进入者分析 ........20 3.3.2 行业内部竞争者分析 ........21 3.3.3 投资者议价能力分析 ........22 3.3.4 供应商议价能力分析 ........23 3.3.5 替代产品与服务分析 ........23 3.3.6 五力模型分析总结 ...24 第 4 章 天弈期货公司风险管理现状分析25 4.1 风险管理内部环境分析.. 25 4.1.1 内部治理结构合理 ...25 4.1.2 风控组织架构不完整 ........26 4.2 风险管理实施过程分析.. 28 4.2.1 风险管理目标明确 ...28 4.2.2 风险识别能力不足 ...29 4.2.3 风险度量与评估技术滞后 29 4.2.4 风险应对手段单一 ...30 4.3 风险管理策略执行过程分析... 31 4.3.1 风险管理业务控制合理 ....31 4.3.2 营业部间信息沟通不畅 ....32 4.3.3 合规审查制度完善 ...33 第 5 章天弈期货公司风险管理优化方案.345.1 健全风控组织架构. 34 5.2 重视风险管理实施过程.. 35 5.2.1 提高风险识别能力 ...35 5.2.2 加强对风险的定量分析 ....37 5.2.3 丰富风险应对手段 ...39 5.2.4 营业部间建立有效的信息交流 .41 第 6 章风险管理优化方案的保障措施......42 6.1 人力保障措施 42 6.1.1 组建专业风险管理团队 ....42 6.1.2 建立共享学习平台 ...42 6.1.3 完善绩效考核制度 ...43 6.2 财务保障措施 43 6.2.1 设置专项资金 ..43 6.2.2 优化资金配置 ..43 6.2.3 监控资金使用 ..44 6.3 技术保障措施 44 6.3.1 完善信息管理系统 ...44 6.3.2 引入量化评估因子 ...45 6.3.3 整合风险管理平台 ...45 第 7 章 结论...46 7.1 基本结论........ 46 7.2 研究不足之处 47 7.3 后续研究展望 47