不同变现策略下的股票质押率定价模型

发布时间：2018-03-25 03:31

  本文选题：股票质押率　切入点：变现策略　出处：《系统工程理论与实践》2017年07期

【摘要】：目前理论界和实务界多是简单基于波动率来设计股票质押率定价方法,虽易操作,但精确度明显不够.本文认为质押人违约所导致的流动性风险是影响股票质押率的另一关键因素,而质权人的相应变现策略则直接作用于流动性风险水平.因此,本文首先根据Obizhaeva线性冲击模型原理来刻画流动性风险,继而考虑了质权人为控制该风险而可能采取的四种变现策略,并给出了不同策略下兼顾波动率和流动性风险的股票质押率定价模型.最后,模拟分析发现:若只考虑波动率风险,股票质押率估值偏高问题显著;若兼顾流动性风险,但质权人仅采取被动变现策略,股票质押率最低;若质权人采取主动变现策略,那么股票质押率与其风险偏好正相关;再考虑金融市场中的负向冲击所导致的股价跳空现象,各情形下的股票质押率则会进一步降低.
[Abstract]:At present, most theorists and practitioners are simply designing stock pledge pricing methods based on volatility, although they are easy to operate. The liquidity risk caused by the mortgagor's default is another key factor affecting the pledge rate of stock, and the corresponding liquidation strategy of the mortgagee directly affects the level of liquidity risk. This paper first describes liquidity risk according to the Obizhaeva linear shock model principle, and then considers four liquidity strategies that the mortgagee may adopt in order to control the risk. Finally, the simulation analysis shows that if only volatility risk is taken into account, the valuation of stock pledge rate is significantly higher, if liquidity risk is taken into account, But the mortgagee only adopts the passive liquidity strategy, and the stock pledge rate is the lowest; if the mortgagee adopts the active liquidity strategy, then the stock pledge rate is positively correlated with its risk preference; then, considering the stock price jump caused by the negative impact in the financial market, In each case, the stock pledge rate will be further reduced.
【作者单位】： 上海交通大学安泰经济与管理学院;申万宏源证券;
【基金】：国家自然科学基金(71273169)~~
【分类号】：F224;F832.51
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本文编号：1661374