股票质押贷款业务及质押率探析  

Discuss on Stock Collaterals Loans Business and Loan-to-value Ratio

作　　者：黄中文[1] 刘亚娟[1] 朱芳芳[1] 

机构地区：[1]北京信息科技大学经济管理学院,北京100192

出　　处：《金融理论与实践》2009年第9期92-95,共4页Financial Theory and Practice

摘　　要：股票质押贷款作为商业银行的一种中间业务,为其带来了较丰厚的利润,但由于股票市场的波动性,商业银行要承担信用风险、市场风险和流动性风险等,而质押率是风险管理的核心。本文简述了股票质押贷款的业务流程及实证研究运用VaR方法评定股票质押率水平的高低。Stock Collaterals Loans Business is one of the intermediary services of commercial banks and it brings fat profit. For the volatilities of stock market, credit risk, market risk and liquidity risk will be considered by commercial banks, loan-to-value ratio is the core of risk management. In this paper, we briefly discuss the operation flow of stock collaterals loans and empirically investigate the level of loan-to-value ratio by adopting VaR method.

关 键 词：股票市场 股票质押 质押率 风险 

分 类 号：F830.91[经济管理—金融学]