融资融券动态保证金系统的设计

发布时间：2018-05-11 01:41

本文选题：融资融券 + 初始保证金　；参考：《重庆大学》2012年硕士论文

【摘要】：文章讨论用股票和现金共同作为保证金的情况下融资融券保证金系统的设定方法，应用负的收益条件概率（CPNR）作为测量券商风险的工具，构造了一个可以根据股票价格变化进行动态调整的保证金系统，称作推演保证金系统。实证研究中对上证126只股票25200次融资交易进行检验，对比分析了推演保证金系统和法定保证金系统之间的差别。推演保证金系统平均初始保证金比率和维持保证金比率为分别为55%和118%。在初始保证金相同的条件下，推演保证金系统平均追缴次数为18.41,相比法定保证金系统平均追缴次数为45.79下降了59.8%。全市场的推演保证金系统的平均成本8.76，与法定保证金系统的成本几乎相同。推演保证金系统下的股票市场相比法定保证金系统下的保证金系统更加稳健。通过实证检验表明应用CPNR可以有效控制券商风险,并且推演的保证金系统对于股票市场的稳定具有实践意义。
[Abstract]:This paper discusses the setting method of the margin margin system with the share and cash as a margin, and uses the negative return condition probability (CPNR) as a tool to measure the securities risk, and constructs a guarantee system which can be dynamically adjusted according to the change of the stock price, called the deductive margin system.
In the empirical study, the 25200 financing transactions of 126 stocks in Shanghai stock market are tested. The difference between the deductive margin system and the legal margin system is compared and analyzed. The average initial margin ratio and the maintenance margin ratio of the deductive margin system are 55% and 118%., respectively, to deduce the margin system under the same initial insurance deposit. The average rate of recovery is 18.41. Compared with the average rate of recovery of the legal margin system, the average cost of the 59.8%. margin system is 8.76, which is almost the same as the cost of the legal margin system.
The stock market under the deductive margin system is more robust than the margin system under the legal margin system. The empirical test shows that the application of CPNR can effectively control the securities risk, and the deductive margin system is of practical significance to the stability of the stock market.

【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：O211;F832.51

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