Exhibit 23.1

                        CONSENT OF INDEPENDENT AUDITORS

We consent to the incorporation by reference in the Registration Statement (333-
65073) on Form S-8 of Southwest Securities Group, Inc. of our report dated July
27, 1999, except as to the second paragraph of note 19 to the consolidated
financial statements which is as of August 6, 1999 and note 18 to the
consolidated financial statements which is as of August 10, 1999, relating to
the consolidated statements of financial condition of Southwest Securities
Group, Inc. and subsidiaries as of June 25, 1999 and June 26, 1998, and the
related consolidated statements of income and comprehensive income,
stockholders' equity, and cash flows for each of the years in the three-year
period ended June 25, 1999, and related financial statement schedule, which
report appears in the June 25, 1999 Annual Report on Form 10-K of Southwest
Securities Group, Inc.


                                                       KPMG LLP


Dallas, Texas
April 7, 2000