iii 摘要 融资融券的发展增加了券商的收入，改变了投资者单方向交易的形式，与此 同时中国持续20年之久的‘交易单行道’成为了历史，我们的A股市场已经进入 可以进行T+0日内回转交易的“双方向交易”时代。但融资融券交易有利就有 弊，是一把“双刃剑”，杠杆交易机制给投资者、金融体系造成了潜在风险也不 容忽视。股票质押业务新规实施之后，上市公司股东减持受到限制，通过股票质 押融资比例大幅缩减。上市公司在股票质押融资满足不了需求的情况下，最终将 融资目标放在了融资融券业务上。部分公司股东会用融资融券业务套现，将维持 担保比例300%以上部分资金转出信用账户，更有甚者用套现资金去炒作不在融 资融券业务标的证券范围内的证券，这无疑增加了证券公司的风险。 对于高风险的创新型业务融资融券，虽然HY公司建立了风险控制体系，制 定了风险管理措施与应急处理机制，但在业务的开展过程中仍频频出现平仓后资 不抵债情况，这就说明了现有的风险控制体系仍有不足之处。 本文以HY公司的融资融券风险控制体系为研究对象，着重研究客户利用融 资融券业务套现或绕标买入非标的证券带来的风险。首先，介绍融资融券业务的 基本概念与监管要求，并罗列出在不违反监管要求的情况下证券市场上已存在的 融资融券套现与买入非标的证券的几种方式，并在此基础上通过压力测试模拟出 套现及融资买入非标的证券的最大额度阀值和风险临界值。其次，介绍HY公司 近年来开展融资融券的基本情况，重点介绍2018年在金融去杠杆、股票质押率高 与中美贸易战的前提下HY的公司的平仓情况，同时介绍了HY公司融资融券现有 的风险控制体系，特别是对绕标套现的预防。最后，通过典型案例分析，指出 HY公司现有风险控制体制的不足之处，特别是对融资融券绕标套现风险防范的 不足之处，为同行业公司降低穿仓风险做参考，并对HY公司风险控制体系中存 在的不足之处提出改善建议。 本文通过市场上对融资融券业务绕标套现的几种方法作为切入点，根据融资 融券业务监管要求及各项公式的推理论证得出绕标套现的最大额度以及绕标套现 后的各项风险控制指标阀值，并根据推论得到的结果去寻求出降低风险的途径。 关键词：融资融券；套现；风险控制。 北京交通大学硕士专业学位论文 ABSTRACT iv ABSTRACT The development of margin financing and securities lending business has increased the income of securities companies and changed the trading mode of investors' one-way (no-shorting) transactions. At the same time, it makes the “one-way transaction” of China's 20-year securities market a history. Our A-share market has entered an era of "two-way trading" in which trading can be reversed within T+0 days. However, the margin financing and securities trading has advantages and disadvantages. It is a “double-edged sword”. The leveraged trading mechanism has created potential risks for investors and the financial system. After the implementation of the new regulations on the stock pledge business, the shareholding reduction of shareholders of listed companies was restricted, and the proportion of financing through stock pledges was greatly reduced. When the listed company's stock pledge financing can't meet the demand, the shareholders will finally focus on the financing and securities lending business. Some of the company's shareholders will use the margin financing and securities lending business to cash out the pledge ratio of beyond 300% out of the credit account, and even more use cash funds to speculate on securities that are not within the securities of the margin financing and securities lending sphere designated by the stock exchanges, which will undoubtedly increase The risk of a securities company. For high-risk innovative business margin trading, although HY Company has established a risk control system, formulated risk management measures and emergency response mechanism, but in the process of business development, there is still frequent insolvency after closing positions, which shows that the existing risk control system still has shortcomings. This paper takes the risk control system of margin trading of HY Company as the research object, and focuses on the risks brought by customers' using margin trading to cash out or buying non-designated securities. First of all, this paper introduces the basic concepts and regulatory requirements of margin trading, and lists the existing ways of margin trading to cash out and buy non-designated securities in the securities market without violating regulatory requirements. And on this basis, it simulates the maximum threshold value and risk threshold value of cash out and financing to buy non-designated securities through stress test. Secondly, it introduces the basic situation of HY Company in recent years, focusing on the closing position of HY Company under 北京交通大学硕士专业学位论文 ABSTRACT v the premise of financial deleveraging, high stock pledge rate and Sino-US trade war in 2018, and introduces the existing risk control system of HY Company's margin trading, especially the prevention of cash out through non-designated trading. Finally, through the analysis of typical cases, the paper points out the deficiencies of the existing risk control system of HY Company, especially the deficiencies of the risk prevention of the margin trading and securities arbitrage, which can be used as a reference for companies in the same industry to reduce the risk of through positions, and puts forward suggestions for improving the deficiencies in the risk control system of HY Company. This paper takes several methods of cashing in the margin financing and securities lending business as the starting point. According to the regulatory requirements of the margin financing and securities lending business and the theoretical proofs of various formulas, the maximum amount of the non-designated-securities financing and the various items after the non-designated-securities financing are obtained. Based on the results of the inference, ways to reduce risk are introduced. KEYWORDS：Margin trading; Cash taking; Risk control. 北京交通大学硕士专业学位论文 目录 vi 目录 摘要 ................ III ABSTRACT ......... IV 1 引言 ............... 1 1.1 研究的背景与研究意义............ 1 1.1.1 研究背景 ........................... 1 1.1.2 研究意义 ........................... 1 1.2 国内外相关研究综述 ......... 2 1.2.1 国外研究综述 ................... 2 1.2.2 国内研究综述 ................... 3 1.3 研究思路与研究方法 ......... 4 1.3.1 研究思路 ........................... 4 1.3.2 研究方法 ........................... 4 2 概念解析与理论基础 ............... 6 2.1 融资融券释义 ....................... 6 2.1.1 融资融券的释义及特征 .............................. 6 2.1.2 融资融券业务的功能 . 7 2.2 融资融券的风险表现................ 8 2.2.1 客户单只证券集中度偏高的风险 .................. 8 2.2.2 杠杆交易风险 ................... 8 2.2.3 强制平仓风险 ................... 8 2.2.4 监管风险 ........................... 8 2.3 融资融券套现及买入非标的证券 ........................... 9 2.3.1 融资融券套现的方法 . 9 2.3.2 融资买入非标的证券的方法 .................. 11 3 HY公司融资融券业务现状 .... 13 3.1 HY公司概况 ....................... 13 3.1.1 HY公司从事的主要业务及经营模式 ........... 13 3.1.2 HY公司主营业务情况.... 14 3.2 HY公司融资融券业务发展现状 ..................... 16 北京交通大学硕士专业学位论文 目录 vii 3.3 HY公司平仓情况 ................. 18 3.3.1 HY公司历年平仓情况.... 18 3.3.2 HY公司2018平仓情况 . 18 3.3.3 业务风险成因分析 ......... 19 3.4 HY公司的风险控制体系 ..... 21 3.4.1 适当性管理 ..................... 21 3.4.2 担保证券管理 ................. 22 3.4.3 标的证券管理 ................. 23 3.4.4 客户持仓集中度管理 ..... 24 3.4.5 对套现及融资买入非标途径的控制 ............ 26 3.4.6 合约展期及延期 ............. 26 3.4.7 盯市平仓 ..........................27 4 HY公司融资融券业务风险控制问题分析 .............. 30 4.1 客户风险承受能力与征信管理存在不足 ............. 30 4.2 员工风险意识薄弱 ................. 31 4.3 流动性风险事件防范不足 ...... 32 4.4 风险管理前瞻性薄弱，逆市调控能力不够 ......... 35 4.5 债务追偿难度大 ..................... 36 5 完善HY公司融资融券业务风险控制的建议 .......... 37 5.1 加强客户适当性管理工作 ...... 37 5.2 增强员工风险意识 ................. 39 5.2.1 制定合理的考核方案 ..... 39 5.2.2 增强员工合规风险意识 . 40 5.3.3 提升应对风险能力，落实责任到人 ............ 40 5.3.4 挖掘新的盈利