不同变现策略下的股票质押率定价模型  

Pricing model of stock loan-to-value ratio under various liquidation strategy

作　　者：石玉山[1] 刘海龙[1] 胡友群 SHI Yushan LIU Hailong HU Youqun(Antai College of Economics ＆ Management, Shanghai Jiao Tong University, Shanghai 200030, China Shenwan Hongyuan Securities, Shanghai 200002, China)

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030 [2]申万宏源证券,上海200002

出　　处：《系统工程理论与实践》2017年第7期1679-1687,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71273169)~~

摘　　要：目前理论界和实务界多是简单基于波动率来设计股票质押率定价方法,虽易操作,但精确度明显不够.本文认为质押人违约所导致的流动性风险是影响股票质押率的另一关键因素,而质权人的相应变现策略则直接作用于流动性风险水平.因此,本文首先根据Obizhaeva线性冲击模型原理来刻画流动性风险,继而考虑了质权人为控制该风险而可能采取的四种变现策略,并给出了不同策略下兼顾波动率和流动性风险的股票质押率定价模型.最后,模拟分析发现:若只考虑波动率风险,股票质押率估值偏高问题显著;若兼顾流动性风险,但质权人仅采取被动变现策略,股票质押率最低;若质权人采取主动变现策略,那么股票质押率与其风险偏好正相关;再考虑金融市场中的负向冲击所导致的股价跳空现象,各情形下的股票质押率则会进一步降低.Stock loan-to-value ratio is often calculated simply based on the stock volatility in practice and theory, but the accuracy is obviously not enough, The paper argues that liquidity risk resulted from pledgor＇s default also plays a key role in pricing stock loan-to-value ratio, while the pledgee＇s corresponding liquidation strategy directly influences the level of liquidity risk. Given that, the paper firstly depicts the liquidity risk according to the classic linear market impact model of Obizhaeva, and then considers four liquidation strategy to control the risk, and builds the pricing model of stock loan-to-value ratio considering volatility risk as well as liquidity risk under various liquidation strategy. Finally, the simulation results show that stock loan-to-value ratio is overestimated significantly if consider the volatility risk only; If considers liquidity risk additionally, stock loan-to-value ratio is the lowest when the pledgee takes passive liquidation strategy; Correspondingly, if the pledgee takes positive liquidation strategy, stock loan-to-value ratio is positively related to the degree of pledgee＇s risk preference; In addition, stock loan-to-value ratio will further decrease considering the negative impact in the financial markets.

关 键 词：股票质押率 变现策略 流动性风险 波动率风险 

分 类 号：F830.91[经济管理—金融学]