我國證券商部位風險之探討

The Study on Position Risks for Securities Firms in Taiwan

周倪安(Ni-An Chou)

指導教授 ： 郭文忠

元智大學/管理學院/管理研究所/碩士(2003年)

摘要

證券商所面臨之經營風險主要分為市場風險、信用風險、流動性風險、作業風險、法律風險以及系統風險等六大項，而由近年來國內外多起金融機構的重大損失可得知市場風險確為最主要的風險來源。以發展趨勢而言，國內的證券商多朝向大型化、國際化與多元化的方向，由於業務大型化與多元化將使證券商所持有的部位增加，使得整體的經營風險相對提高，是故券商如何運用風險管理機制將資源予以允當配置乃成為重要課題。
本研究是以國內24家證券商的營業證券部位為實證範圍，在取得券商自營部及承銷部之部位成本與市值後，復以歷史情境與想像最糟情境針對各部位的損失值與券商的特性做分析與探討，期能提供投資人對於證券商所面臨之市場風險有較為完整的部位損失統計值。
由本研究進行資料收集的過程中發現，國內的證券商以中、大型資本規模的證券商較注重風險管理，小型券商則受限於資金與人力資源使得所面對的市場風險相對來得較高。由研究中的情境分析結果顯示，證券商的資本額愈小、EPS愈大、大股東賀芬達指數愈大以及承銷部與自營部收入愈高，當其面臨空頭市場時的部位可能損失會愈大。但關於證券商之經紀市佔率大小、流動比率高低與是否加入金控公司運作等屬性，並未能看出其對風險值損失的明顯差異。

關鍵字

證券商 ； 部位風險 ； 情境分析

並列摘要

The major risks faced by all securities firms are classified as market risk, credit risk, liquidity risk, operational risk, legal risk and systematic risk. In recent years the market risk exposures of financial institutions have received great concern among regulators after numerous cases of great loss. From the development trend in recent years, the orientation for securities firms in Taiwan will be large-scale, internationalization and diversification. The positions of the securities firms will be increased due to the trend of large-scale and diversification. As a result, it enhances the aggregate business risk of all securities firms and raises another important issue that how a securities firm allocates it’s portfolio adequately with the control system of risk management.
The aim of this thesis is to study the market risk exposures of 24 Taiwan securities firms by analyzing their securities positions, including the value of cost and the market. Adopting two scenario analyses -- the History Scenario and the Worst Scenario, it captures the worse situations to obtain the potential loss of those securities firms. We hope this research not only providing the position loss value to all investors more transparently but also helping them to judge how large the market risk one firm takes.
The analysis in this thesis finds that the securities firms with larger capital shall pay more attention on the risk management. In Taiwan, small size firms did face higher risk restricted within the capital and human resources. Moreover, the analysis also reveals that, in the bear market, the loss exposures of the securities firms are positively associated related with the capital, EPS, the Herfindahl Index, and the income ratio from underwriting and investment, while the mention to the market share of brokerage, fluid ratio and whether it joins the financial holding company and other variables cannot be find significantly effects on the risk exposures of the securities firms.

並列關鍵字

Securities Firms ； Position Risk ； Scenario Analysis

參考文獻

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