本文選題：股票質(zhì)押率　切入點(diǎn)：變現(xiàn)策略　出處：《系統(tǒng)工程理論與實踐》2017年07期

【摘要】：目前理論界和實務(wù)界多是簡單基于波動率來設(shè)計股票質(zhì)押率定價方法,雖易操作,但精確度明顯不夠.本文認(rèn)為質(zhì)押人違約所導(dǎo)致的流動性風(fēng)險是影響股票質(zhì)押率的另一關(guān)鍵因素,而質(zhì)權(quán)人的相應(yīng)變現(xiàn)策略則直接作用于流動性風(fēng)險水平.因此,本文首先根據(jù)Obizhaeva線性沖擊模型原理來刻畫流動性風(fēng)險,繼而考慮了質(zhì)權(quán)人為控制該風(fēng)險而可能采取的四種變現(xiàn)策略,并給出了不同策略下兼顧波動率和流動性風(fēng)險的股票質(zhì)押率定價模型.最后,模擬分析發(fā)現(xiàn):若只考慮波動率風(fēng)險,股票質(zhì)押率估值偏高問題顯著;若兼顧流動性風(fēng)險,但質(zhì)權(quán)人僅采取被動變現(xiàn)策略,股票質(zhì)押率最低;若質(zhì)權(quán)人采取主動變現(xiàn)策略,那么股票質(zhì)押率與其風(fēng)險偏好正相關(guān);再考慮金融市場中的負(fù)向沖擊所導(dǎo)致的股價跳空現(xiàn)象,各情形下的股票質(zhì)押率則會進(jìn)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.
【作者單位】： 上海交通大學(xué)安泰經(jīng)濟(jì)與管理學(xué)院;申萬宏源證券;
【基金】：國家自然科學(xué)基金(71273169)~~
【分類號】：F224;F832.51
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本文編號：1661374