股票约定式回购业务折算率的分析与测算

doi:10.3969/j.issn.0253-2778.2015.03.010

中国科学技术大学学报 ›› 2015, Vol. 45 ›› Issue (3): 238-245.DOI: 10.3969/j.issn.0253-2778.2015.03.010

• 论著 • 上一篇

股票约定式回购业务折算率的分析与测算

王相宁，范青

中国科学技术大学管理学院统计与金融系,安徽合肥 230026

收稿日期:2013-09-22 修回日期:2014-02-18 接受日期:2014-02-18 出版日期:2014-02-18 发布日期:2014-02-18
通讯作者: 王相宁
作者简介:王相宁（通讯作者），女，1957年生，博士/副教授. 研究方向：国际金融. E-mail: wangxn@ustc.edu.cn
基金资助:
国务院第三次经济普查领导小组办公室全国招标项目：小微企业融资研究（Z1339）资助.

Analyzing and measuring loan-to-value ratios of the stock repurchase agreement

WANG Xiangning, FAN Qing

Department of Statistics and Finance, School of Management, University of Science and Technology of China，Hefei 230026, China

Received:2013-09-22 Revised:2014-02-18 Accepted:2014-02-18 Online:2014-02-18 Published:2014-02-18

摘要/Abstract

摘要： 股票约定式回购交易是国内证券行业开展融资业务的又一新渠道.基于不同的折算率限制，将历史模拟法和基于极值理论的广义帕累托分布模型这两种VaR计算方法应用到折算率模型中，对沪深300指数收益率样本进行了模拟贷款检验并比较.研究发现：所构建的折算率模型和计算方法基本能够给出合理的折算率结果，两种VaR方法各有特点，对折算率的影响不存在可比性.相关制度对折算率上限60%的规定有一定意义但存在改进空间；利用历史数据循环地做回溯测试，可以判断模拟贷款的表现，进而提高各期限下贷款的质量.

关键词: 股票约定式回购, VaR, 折算率

Abstract: Establishing the loan-to-value (LTV) ratios of the stock repurchase agreement is important for securities traders to resist risks and get new revenue streams.In order to calculate the LTV ratios of this kind of agreements, an LTV model was employed. In addition, simulated loans on SHSE-SZSE300 index yield were tested using different discount rates with two methods, the historical simulation method and the generalized Pareto distribution (GPD) method, to compare corresponding LTV ratios.The study shows that the LTV ratios using the LTV model and the two calculation methods are basically reasonable, and limiting LTV up to 60% is meaningful,but the impacts of the two VaR methods on LTV ratios are not comparable.The backtesting which used historical data can determine the performance of simulated loans, thus improving the quality of loans under different terms.

Key words: stock repurchase agreement, VaR, loan-to-value

中图分类号:

F830.91

王相宁，范青. 股票约定式回购业务折算率的分析与测算[J]. 中国科学技术大学学报, 2015, 45(3): 238-245.

WANG Xiangning, FAN Qing. Analyzing and measuring loan-to-value ratios of the stock repurchase agreement[J]. Journal of University of Science and Technology of China, 2015, 45(3): 238-245.

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股票约定式回购业务折算率的分析与测算

Analyzing and measuring loan-to-value ratios of the stock repurchase agreement

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