股票质押式回购合约的动态质押率测算
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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。
Stock pledged repos are important innovative financial products in China,and its loan-to-value(LTV)ratios are crucial for risk management of financial institutes.In this paper,dynamic relationships among key parameters of stock pledged repos,such as loan-to-value ratios,predetermined termination lines,maturity date,repos interest rate and fees are established,by using option pricing theory.Then theoretical LTV ratios of sample stocks with different maturities are given by these dynamic relationships,in which samples are chosen from constituent stocks of Shanghai-Shenzhen 300 and SZSE SME 300 Price indexes in China.Furthermore,under different target levels of risk management and different maturities,these theoretical LTV ratios are compared to practical ratios published by ZhongHang Security and the LTV ratio discounted by closing line,and empirically investigated risk coverage levels of these theoretical and practical LTV ratios based on Kupiec's idea.Empirical results show that most theoretical LTV ratios with different positions are higher than the practical one,while theoretical LTV ratios with cash margin have the same risk coverage level with the practical one,and the risk coverage level of theoretical LTV ratios with the supplementary stocks term is lower than practical ones,but higher than LTV ratios discounted by closing line.Therefore,a kind of combined mode with theoretical and practical LTV ratios are proposed in this paper.The empirical result shows that the risk coverage level of the combined LTV ratio is higher than theoretical LTV ratios.Besides,they are quite superior to practical LTV ratios in aspect of cutting financing cost.Therefore,it is argued that,with financial institutes' management target lines,LTV ratios of stock pledged repos should be set to combined modes with theoretical and practical LTV ratios in order to control risk and reduce financing costs.Our conclusion is helpful for financial institutes to expand the scale of stock pledged repos and control the risk of these repos.
Stock pledged repos are important innovative financial products in China,and its loan-to-value(LTV)ratios are crucial for risk management of financial institutes.In this paper,dynamic relationships among key parameters of stock pledged repos,such as loan-to-value ratios,predetermined termination lines,maturity date,repos interest rate and fees are established,by using option pricing theory.Then theoretical LTV ratios of sample stocks with different maturities are given by these dynamic relationships,in which samples are chosen from constituent stocks of Shanghai-Shenzhen 300 and SZSE SME 300 Price indexes in China.Furthermore,under different target levels of risk management and different maturities,these theoretical LTV ratios are compared to practical ratios published by ZhongHang Security and the LTV ratio discounted by closing line,and empirically investigated risk coverage levels of these theoretical and practical LTV ratios based on Kupiec's idea.Empirical results show that most theoretical LTV ratios with different positions are higher than the practical one,while theoretical LTV ratios with cash margin have the same risk coverage level with the practical one,and the risk coverage level of theoretical LTV ratios with the supplementary stocks term is lower than practical ones,but higher than LTV ratios discounted by closing line.Therefore,a kind of combined mode with theoretical and practical LTV ratios are proposed in this paper.The empirical result shows that the risk coverage level of the combined LTV ratio is higher than theoretical LTV ratios.Besides,they are quite superior to practical LTV ratios in aspect of cutting financing cost.Therefore,it is argued that,with financial institutes' management target lines,LTV ratios of stock pledged repos should be set to combined modes with theoretical and practical LTV ratios in order to control risk and reduce financing costs.Our conclusion is helpful for financial institutes to expand the scale of stock pledged repos and control the risk of these repos.
引文
[1]深圳证券交易所,中国证券登记结算有限责任公司.股票质押式回购交易及登记结算业务办法(试行)[EB/OL].[2013-05-24].www.szse.cn/main/disclosure/bsgg-font/39749894.shtml.
[2]Merton R C.Theory of rational option pricing[J].Journal of Economics and Management Science,1973,4(1):141-183.
[3]Stulz R,Johnson H.An analysis of secured debt[J].Journal of Financial Economics,1985,14(4):501-521.
[4]Cossin D,Hricko T.A structural analysis of credit risk with risky collateral:A methodology for haircut determination[J].Economic Notes,2003,(2):243-282.
[5]王志诚.用期权定价原理分析抵押贷款的信用风险[J].金融研究,2004,(4):95-105.
[6]沈传河,王胜文.证券质押贷款的期权定价方法与银行风险分析[J].现代乡镇,2005,(8):11-13.
[7]Jarrow R,Turnbull S.Pricing derivatives on financial securities subject to credit risk[J].Journal of Finance,1995,50(1):53-85.
[8]Jarrow A,Lando D,Turnbull S.Markov model for the term structure of credit risk spreads[J].Review of Financial Studies,1997,10(2):481-523.
[9]Duffie D,Singleton K.Modeling term structure of default table bonds[J].Review of Financial Studies,1999,12(4):687-720.
[10]Cossin D,Huang Zhijiang,Aunon-Nerin D,et al.A framework for collateral risk control determination[R].Working Paper,European Central Bank,2003,1:1-47.
[11]李毅学,徐渝,陈志刚.股票质押业务的贷款价值比率[J].系统工程,2006,24(10):55-58.
[12]王志诚,赵士波,田昆,等.股票质押贷款的实证研究[J].经济科学,2002,(1):73-84.
[13]王志诚.股票质押贷款质押率评定的VaR方法[J].金融研究,2003,(12):64-71.
[14]范英,魏一鸣.基于基差VaR的股票组合质押率评估方法[J].系统工程,2003,21(4):86-89.
[15]黄中文,刘亚娟,朱芳芳.股票质押贷款业务及质押率探析[J].金融理论与实践,2009,(9):92-95.
[16]张燃,徐爽,王凤敏.质押贷款质押率决定的期权定价方法[J].中国管理科学,2013,21(1):16-22.
[17]刘妍,安智宇.考虑流动性风险的存货质押融资质押率的设定[J].中国管理科学,2014,22(S1):324-328.
[18]孙喜梅,赵国坤.考虑供应链信用水平的存货质押率研究[J].中国管理科学,2015,23(7):77-84.
[19]陈云,刘喜,杨琴.基于清算延迟和流动性风险的供应链存货质押率研究[J].管理评论,2015,27(4):197-208.
[20]李富昌,王桦.基于存货选择决策的存货质押率模型[J].中国流通经济,2016,30(1):114-121.
[21]Xia Jianming,Zhou Xunyu.Stock loans[J].Mathematical Finance,2007,17(2):307-317.
[22]Prager D,Zhang Qing.Stock loan valuation under a regime-switching model with mean reverting and finite maturity[J].Journal of Systems Science and Complexity,2010,23(3):572-583.
[23]Cai Ning,Sun Lihua.Valuation of stock loans with jump risk[J].Journal of Economic Dynamics and Control,2014,40(3):213-241.
[24]Chen Wenting,Xu Liangbin,Zhu Songping.Stock loan valuation under a stochastic interest rate model[J].Computers and Mathematics with Applications,2015,70(8):1757-1771.
[25]Kupiec P H.Techniques for verifying the accuracy of risk measurement models[J].Journal of Derivatives,1995,3(2):73-84.
[26]中航证券股票质押的信息公告[EB/OL].http://www.scstock.com/main/invest/CreditTransaction/gpzy/bdzqzsl/index.shtml.
[27]何凤霞,马学俊.基于R软件的正态性检验的功效比较[J].统计与决策,2012,(18):17-19.
[2]Merton R C.Theory of rational option pricing[J].Journal of Economics and Management Science,1973,4(1):141-183.
[3]Stulz R,Johnson H.An analysis of secured debt[J].Journal of Financial Economics,1985,14(4):501-521.
[4]Cossin D,Hricko T.A structural analysis of credit risk with risky collateral:A methodology for haircut determination[J].Economic Notes,2003,(2):243-282.
[5]王志诚.用期权定价原理分析抵押贷款的信用风险[J].金融研究,2004,(4):95-105.
[6]沈传河,王胜文.证券质押贷款的期权定价方法与银行风险分析[J].现代乡镇,2005,(8):11-13.
[7]Jarrow R,Turnbull S.Pricing derivatives on financial securities subject to credit risk[J].Journal of Finance,1995,50(1):53-85.
[8]Jarrow A,Lando D,Turnbull S.Markov model for the term structure of credit risk spreads[J].Review of Financial Studies,1997,10(2):481-523.
[9]Duffie D,Singleton K.Modeling term structure of default table bonds[J].Review of Financial Studies,1999,12(4):687-720.
[10]Cossin D,Huang Zhijiang,Aunon-Nerin D,et al.A framework for collateral risk control determination[R].Working Paper,European Central Bank,2003,1:1-47.
[11]李毅学,徐渝,陈志刚.股票质押业务的贷款价值比率[J].系统工程,2006,24(10):55-58.
[12]王志诚,赵士波,田昆,等.股票质押贷款的实证研究[J].经济科学,2002,(1):73-84.
[13]王志诚.股票质押贷款质押率评定的VaR方法[J].金融研究,2003,(12):64-71.
[14]范英,魏一鸣.基于基差VaR的股票组合质押率评估方法[J].系统工程,2003,21(4):86-89.
[15]黄中文,刘亚娟,朱芳芳.股票质押贷款业务及质押率探析[J].金融理论与实践,2009,(9):92-95.
[16]张燃,徐爽,王凤敏.质押贷款质押率决定的期权定价方法[J].中国管理科学,2013,21(1):16-22.
[17]刘妍,安智宇.考虑流动性风险的存货质押融资质押率的设定[J].中国管理科学,2014,22(S1):324-328.
[18]孙喜梅,赵国坤.考虑供应链信用水平的存货质押率研究[J].中国管理科学,2015,23(7):77-84.
[19]陈云,刘喜,杨琴.基于清算延迟和流动性风险的供应链存货质押率研究[J].管理评论,2015,27(4):197-208.
[20]李富昌,王桦.基于存货选择决策的存货质押率模型[J].中国流通经济,2016,30(1):114-121.
[21]Xia Jianming,Zhou Xunyu.Stock loans[J].Mathematical Finance,2007,17(2):307-317.
[22]Prager D,Zhang Qing.Stock loan valuation under a regime-switching model with mean reverting and finite maturity[J].Journal of Systems Science and Complexity,2010,23(3):572-583.
[23]Cai Ning,Sun Lihua.Valuation of stock loans with jump risk[J].Journal of Economic Dynamics and Control,2014,40(3):213-241.
[24]Chen Wenting,Xu Liangbin,Zhu Songping.Stock loan valuation under a stochastic interest rate model[J].Computers and Mathematics with Applications,2015,70(8):1757-1771.
[25]Kupiec P H.Techniques for verifying the accuracy of risk measurement models[J].Journal of Derivatives,1995,3(2):73-84.
[26]中航证券股票质押的信息公告[EB/OL].http://www.scstock.com/main/invest/CreditTransaction/gpzy/bdzqzsl/index.shtml.
[27]何凤霞,马学俊.基于R软件的正态性检验的功效比较[J].统计与决策,2012,(18):17-19.