论文总字数：46759字

摘 要

投资银行是金融市场上的重要中介，世界投资银行业自19世纪起步以来，发展迅速，出现了美林、高盛等世界著名的大投行。上世纪80年代起步的我国投资银行，随着我国金融和资本市场的不断完善，也得到了成长和完善。

本文以业务结构为媒介，连接经营模式和风险管理两大主题。通过业务结构划分经营模式，然后研究不同经营模式下的风险用以研究我国投行的风险管理。再次，研究风险管理角度的最优经营模式。在这些研究的基础上得出关于我国投资银行的一些结论以及政策与建议。本文的第一章介绍了本文的研究背景意义与思路方法，第二章对国内外的相关研究进行了综述。本文的第三章讨论了我国投行的主要业务，并以收入类型为标准对其进行了划分。在此基础上，以佣金及手续费收入占总收入比例为标准，将我国投资银行划分为保守型、中间型和风险型三种经营模式。

我国投资银行发展的三十多年来，投资银行因业务风险防范和处理不当导致危机甚至倒闭的情况也是屡见不鲜。风险管理问题已经成为投行发展中的核心问题。本文第四章从具体业务的角度，对我国证券公司所面临的风险进行识别、度量，总结我国证券公司风险管理的现状和问题并提出相应的对策。在对我国投资银行的风险进行度量时，运用经营模式参数、规模参数和盈利能力参数作为解释变量，权益乘数作为风险度量指标，构建完成了对数形式的风险度量模型，并以我国投资银行的数据为基础带入模型中，提出了针对我国投资银行业特殊情况的风险度量模型。

本文第五章从风险管理角度对我国投资银行的最优经营模式进行了研究。首先将投资银行的资产按获得收入的角度分为代理收入型资产、自营收入型资产和无收益型资产。然后运用马科维茨的资产组合方法，建立了以资产选择指标（ASI）为目标的最优资产组合配置模型,并运用我国投资银行的数据进行模型实证。在此基础上，界定并研究了投资银行的最优经营模式。在这些研究中提出交叉资产的概念，并贯穿于整个章节的相关研究，将研究分为静态和动态两部分，并深入讨论了交叉资产配比与最优经营模式间的关系。

在完成上述的分析之后，本文的第六章对全文的内容进行总结，给出了本文研究的相关结论、局限以及展望。在此基础上，从风险管理和最优经营模式选择两方面，结合我国投资银行的现状，给出了相应的政策与建议。

关键词：风险管理；对数模型；资产组合理论；资产选择指标；最优经营模式；交叉资产

The Research on Business Mode and Risk Management

of Investment Bank in China

Abstract

Investment bank is an important intermediary in the financial market, the investment banking industry in the world has undergone rapid development since the beginning of the 19th century. It causes the emergence of the Merrill Lynch, Goldman Sachs and other world famous big investment banks. Beginning in 80 years of last century, China's investment banks, with the continuous development of China's financial and capital markets, has also undergone development and growth.

The research of this paper takes the business structure as the main line of the whole analysis, runs through the two major themes:business mode and risk management. this paper divides business modes through the perspective of business structure.Then doing researches on the risk under different business modes, in order to do risk management on China's investment bank.Once again,this paper studies the optimal business mode from the view of risk management. Based on these studies on China's investment bank,this paper proposes some conclusions and related policies and recommendations.The first chapter of this paper introduce the background meaning thought and method of the research on investment bank,and the second chapter summarizes the related researches done by domestic and foreign scholars.The third chapter of this paper do research on the main business of China's investment bank, and use the income type as the standard for the business division. On this basis, by using the commission and fee income accounted for the total income ratio as the standard, the investment bank is divided into three business modes: conservative,intermediate and risky.

China's investment banks have developed for more than 30 years, the situation that investment banks are led to the crisis or even collapse due to insufficient business risk prevention and improper risk handling is not uncommon.Risk management has become the core issue of investment banking development.In the fourth chapter, this paper identifies and measures the risks confronted by China's investment banks,and summarizes the current situation and problems of China's investment banking risk management and puts forward countermeasures from the perspective of investment bank business model and specific business. In the measurement of the risk of China's investment banks,by using business model parameters, scale parameters and profitability parameters as explanatory variables, equity multiplier as a risk measure,this paper establishes a logarithmic-form risk measurement model. Then on the basis of China's investment banking actual data, this paper establishes a model for the risk measurement of China's investment banking industry.

The fifth chapter of this paper does research on China's investment bank's optimal business model from the perspective of risk management. First,this paper divides the assets of the investment bank into commissions and fees income assets, self-income type assets and non-profit assets according to the angle of income.Then using Markowitz's portfolio method to establish the optimal portfolio configuration model with the asset selection index(ASI) as the target,and conduct empirical research in anchor of the data of China's investment banking. On this basis, this paper defines and studies the optimal business model of investment bank. In this study, the concept of cross asset is utilized, and the research is divided into two parts: static and dynamic, and the relationship between cross asset ratio and optimal business model is discussed in detail in the latter half-part of the fifth chapter.

After completing the above analysis, the sixth chapter of this paper summarizes the contents of the full text, and gives the relevant conclusions, limitations and prospects of this paper. On this basis, this paper puts forward the corresponding policies and suggestions from the aspects of risk management and optimal business mode selection, combined with the present situation of China's investment banks.

Key Words:Risk Management, Logarithmic-form Model, Portfolio Selection, Optimal Business Mode,Asset Selection Index,Cross Asset.

目录

摘要 I

Abstract II

第一章 绪论 1

1.1 研究背景 1

1.2 研究思路与方法 1

1.3 研究意义 2

第二章 文献综述 4

2.1投资银行的业务结构与经营模式 4

2.2 投资银行风险管理 5

2.3 经营模式与风险管理的关系 5

第三章 投资银行的业务结构与经营模式 7

3.1投资银行的业务结构 7

3.1.1投资银行的主要业务及其所占比重 7

3.1.2投资银行业务划分与业务结构 8

3.2 投资银行的经营模式 8

3.2.1从业务结构角度的投资银行经营模式划分 8

3.2.2我国投资银行的具体经营模式研究 9

第四章 经营模式角度的投资银行风险管理 12

4.1 具体业务所面临的风险 12

4.1.1我国投资银行风险管理中存在的问题 12

4.1.2我国投资银行主要业务所面临的风险 12

4.1.3我国投资银行具体业务风险成因 13

4.2 我国投资银行的风险度量 14

4.2.1 投资风险度量指标 14

4.2.2 投资银行风险度量模型建立 14

4.2.3我国投资银行实证研究 16

4.2.4模型的结论与局限性 18

4.3 三种经营模式下的风险研究 19

4.4 我国投资银行风险管理对策 20

第五章 风险管理角度的投资银行最优经营模式研究 21

5.1 投资银行资产的风险收益配置 21

5.1.1投资银行资产的分类 21

5.1.2投资银行最优资产组合模型建立 22

5.1.3 我国投资银行最优资产组合配置的实证研究 23

5.2 投资银行最优经营模式研究 27

5.2.1 投资银行最优经营模式的界定 27

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