A quantum proxy signature scheme makes the proxy signer can generate a quantum signature on behalf of the original signer. Although many quantum proxy signature schemes have been proposed, none of them can be formally proved to be secure. There is not even security model for the quantum proxy signatures. Some quantum proxy signature schemes have been proved to be insecure against forgery attacks. In this paper, first, the formal definition and the corresponding security model for the quantum proxy signatures are proposed. Second, based on the Hadamard operator and the controlled NOT operation, a new quantum proxy signature scheme is proposed. The security of our quantum proxy signature scheme can be formally proved under security model. The security model of the quantum proxy signatures is helpful for analyzing and improving the security of the quantum proxy signature schemes. On the other hand, compared with the other quantum proxy signatures, the new one proposed in this paper is the first that can be formally proved to be secure under security model.