股票质押式回购合约的动态质押率测算

发布时间：2018-04-04 00:37

本文选题：股票质押式回购　切入点：质押率　出处：《中国管理科学》2017年01期

【摘要】：本文首先运用期权定价理论建立了股票质押式回购在不同补仓方式下的质押率、融资期限、回购利差、交易费用以及警戒线和平仓线间的动态关系,然后以沪深300和中小300成分股为例,计算样本股在不同风险窗口期和补仓方式下的理论质押率,并借鉴失败效率思想,在既定管理目标下实证比较理论与实际质押率及平仓线折价质押率的风险覆盖能力。实证结果显示:不同风险窗口期内理论质押率大部分高于实际质押率,但现金补仓下理论质押率与实际质押率有相同的风险覆盖能力,股票补仓下理论质押率的风险覆盖能力低于实际质押率,高于平仓线折价质押率。据此,本文提出基于理论和实际质押率的组合模式来设定股票质押式回购合约的质押率。计算结果显示,组合质押率的风险覆盖能力优于理论质押率,融资成本降低方面优于实际分档质押率。因此,本文认为股票质押式回购质押率的设定应根据风险管理目标采用理论与实际质押率组合的模式,这既实现金融机构风控的目的也降低了回购方的融资成本。
[Abstract]:This paper first establishes the dynamic relationship between the pledge rate, the financing period, the repurchase interest difference, the transaction cost and the warning line and the closing line of stock pledge repurchase in different ways by using the option pricing theory.Then take CSI 300 and SS300 as examples, calculate the theoretical pledge rate of sample stock under different risk window period and replenishment mode, and learn from the idea of failure efficiency.Under the established management objectives, the paper compares the risk coverage ability of the theoretical and actual pledge rate and the line discount pledge rate under the established management objectives.The empirical results show that the theoretical pledge rate is mostly higher than the actual pledge rate in different risk window periods, but the theoretical pledge rate under cash replenishment has the same risk coverage ability as the actual pledge rate.The risk coverage ability of the theoretical pledge rate is lower than that of the actual pledge rate, and higher than that of the discount pledge rate.On this basis, this paper proposes a combination model based on the theoretical and practical pledge rate to set the pledge rate of the stock pledge repurchase contract.The results show that the risk coverage of portfolio pledge is better than that of theoretical pledge, and the reduction of financing cost is better than that of actual portfolio pledge.Therefore, this paper holds that the establishment of pledge rate of stock pledge should adopt the combination of theory and actual pledge rate according to the risk management target, which not only realizes the purpose of risk control of financial institutions, but also reduces the financing cost of repurchase party.
【作者单位】：吉林大学商学院;中国社会科学院研究生院;吉林大学数量经济研究中心;
【基金】：国家自然科学基金资助项目(71201069) 教育部人文社会科学重点研究基地自选项目(JLUCQE14018) 吉林大学基本科研业务费项目(2016zz009)
【分类号】：F832.51

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