含锁定期的股票质押贷款定价

发布时间：2018-01-11 23:08

  本文关键词：含锁定期的股票质押贷款定价　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

  更多相关文章： 锁定期 股票质押贷款 质押率 限售股 封闭期

【摘要】：股票质押贷款业务是借款人将其所持有的上市公司股票做质押，向金融中介进行贷款的一种融资活动。股票质押贷款的借款方一般为上市公司的部分股东，融资目的通常是上市公司股东增强自身资金流动性和项目投资的需要。从2000到2008年，中国人民银行和中国证监会以及相关部门颁布了一系列关于股票质押贷款管理的办法和法规，银行和信托等金融机构针对企业和个人的股票质押贷款业务逐步在我国开展起来。股票质押贷款业务的开展，打破了金融机构分业经营管理制度，使得金融机构资金流向资本市场合法化。这不仅给证券市场提供了强大的资金支持，也对金融机构本身的业务发展提供了更加广阔的空间。 目前，在我国的股票质押贷款业务中，有大股东质押其持有的限售股进行贷款的情形，也有股票质押贷款合约中含封闭期条款的情形，如超日太阳公司的大股东质押其持有的限售股进行贷款，和平安信托发行的含封闭期条款的股票质押信托产品。本文我们将这种限售股质押情形和含封闭期条款情形的股票质押贷款称为含锁定期的股票质押贷款。从贷款人和投资人角度来看，股票质押贷款合约中锁定期的存在增加了一定的不确定性，这将会加大股票质押融资的风险。因此，关于含锁定期的股票质押贷款的定价研究和风险管理就显得很有必要。 国内外关于股票质押贷款的定价研究主要从两个方面开展研究。一个方面，在不同的股票价格运行规律下，如几何布朗运动、均值回复和跳扩散模型，研究股票质押贷款的定价问题；另一方面，在不同业务条款下，如追加保证金条款、自动终止条款、允许提前偿付条款和可赎回条款等，对股票质押贷款的质押率进行研究。所有这些研究都是针对质押股票为流通股的情形，且都不曾考虑合约中含封闭期条款的情形。除了上面基于分析方法的研究，还有很多学者采用在险价值，即VaR方法，和实证分析的方法对股票质押贷款的质押率进行研究，不过在这些研究中都没有给出贷款利率、质押率、手续费和贷款额度之间的合理关系。本文将考虑封闭期和限售期的存在对股票质押贷款的质押率和贷款利率的影响，并给出贷款利率、质押率、锁定期、手续费和贷款额度之间的合理关系，这些结果将为发行这类产品的金融机构进行风险管理提供一定程度的技术支持。 本文我们主要进行如下研究：首先针对含锁定期的股票质押贷款产品，分别考虑锁定期结束后可提前偿付和不可提前偿付两种情形，建立股票质押贷款合约的定价模型。其次，在所考虑的两种情形下，研究锁定期对贷款合约价值、贷款利率和质押率的影响，以及贷款利率、质押率、锁定期、贷款额度和手续费之间的合理关系。最后，，在上述两种情形下，通过数值实验分析锁定期结束前后贷款利率对质押率及合约价值的影响。本文具体结构安排如下：第一章绪论，介绍本文的研究背景和研究意义。第二章介绍国内外的研究现状。第三章针对含锁定期的股票质押贷款合约建立定价模型，并给出相关的理论结果。第四章通过数值实验进行相关的敏感性分析。最后给出本文的结论。 本文的研究结合了我国股权质押融资产品的特有条款，如限售股质押和合约中含封闭期条款，对股票质押贷款的定价问题进行理论研究，在给出这种贷款产品的质押率、贷款利率、锁定期、手续费和贷款额度间的合理关系之后，讨论了锁定期对贷款合约价值、贷款利率和质押率的影响，所有这些结论将为我国股权质押融资产品的进一步创新提供理论和技术支持。
[Abstract]:The business of stock mortgage loans is the borrower will hold shares of listed companies pledge financing activities, a loan to a financial intermediary. Stock mortgage borrowers generally part of shareholders of listed companies, financing purpose is often to shareholders of listed companies to enhance their liquidity and investment projects from 2000 to 2008. The people's Bank, China and Chinese Commission and relevant departments issued a series of stock pledge loan management measures and regulations, banks and trust and other financial institutions for the enterprise and individual stock pledge loan business developed gradually in our country. Thisbusiness breaks the financial institutions operating management system, the the flow of funds of financial institutions capital market legalization. This is not only to provide strong financial support for the stock market, the financial institutions themselves Business development provides a broader space.
At present, in our country the stock pledge loan business, there are large shareholders to pledge their holdings of restricted shares of loan conditions, also has the stock pledge loan contract with closed terms, such as super large shareholders Sun Company pledged its holdings of restricted shares for loans, and closed period containing Ping An trust issue the terms of the stock pledge trust products. In this paper, we will limit the sale of shares of this pledge and the pledge period clause containing closed loan case containing stock is called the lock of the stock mortgage lenders and investors. From the point of view, the stock pledge loan contracts in the lock up period is increased by the presence of a certain degree of uncertainty, which will increase the stock the pledge financing risk. Therefore, it is necessary to study the pricing and risk management with a lock of the stock pledge loan is.
The domestic and foreign research on the pricing of stock pledged loans mainly research from two aspects. One aspect, the stock price in different operation rules, such as the geometric Brown motion, mean reversion and jump diffusion model, the pricing problem of stock pledge loan; on the other hand, in terms of business, such as margin terms automatic termination clause, allowing, prepayment terms and callable clauses, the rate of the pledge of stock pledge. All the studies are focused on the stock pledge for shares, and are not considered in terms of the contract with closed period. In addition to the above research and analysis based on the method, there are many scholars the value at risk, namely VaR method, and the method of empirical analysis on the stock pledge loan pledge rate is studied, but these studies have not given the loan interest rate, pledge rate, hand A reasonable relationship between the amount of loans and renewals. This paper will consider the existence of closed and restricted period of stock pledge loan pledge rate and lending rates, and given the loan interest rate, pledge rate, lock up period, a reasonable relationship between the fee and the amount of the loan, these results will be issued by financial institutions such as the product risk management to provide a certain degree of technical support.
In this paper, we mainly study as follows: first, for containing lock regular stock pledge loan products, considering the period after the end of the lock can not be prepayment prepayment and two kinds of situations, the established pricing model of stock collateral loan contract. Secondly, two kinds of situations in the study, the lock up period of loan contract value effect, the loan interest rate and pledge rate, and loan interest rates, mortgage rates, lock up period, a reasonable relationship between the loan amount and fee. Finally, in the two case, analyzed by numerical experiments before and after the end of the lock up period of the pledge rate and lending rates of the value of the contract. The specific structure is as follows: the first chapter is the introduction, introduces the research background and significance of the research. The second chapter introduces the research status at home and abroad. In the third chapter, with the lock of the stock mortgage loan contract based pricing model, and give the The relevant theoretical results are given. The fourth chapter carries out the related sensitivity analysis through numerical experiments. Finally, the conclusion of this paper is given.
The specific terms on China's equity pledge financing products combination, such as restricted stock pledge and contract with closed period clause, theoretical research on the pricing problem of stock pledge loans, the pledge rate, given the loan products and lending rates, the lock up period, after a reasonable relationship between the loan amount and fee the lock up period of contract, loan value, loan interest rate and pledge rate, to provide theoretical and technical support for further innovation all these conclusions will pledge financing products for China's equity.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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