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

doi:10.3969/j.issn.0253-2778.2015.03.010

Abstract

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

CLC Number:

F830.91

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

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