考虑流动性和组合再平衡风险的股票质押率优化模型  

Optimal Pricing Model of Stock Loan-to-value Ratio Considering Liquidity Risk and Portfolio Rebalancing Risk

作　　者：石玉山[1] 刘海龙[1] 胡友群 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030 [2]上银基金管理有限公司,上海200122

出　　处：《中国管理科学》2018年第1期81-89,共9页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71273169)

摘　　要：股票质押率的合理与灵活设定对于降低质权人风险,从而避免市场恐慌情绪蔓延具有重要意义。考虑到现有研究和实务操作往往只是简单地基于波动率来计算股票质押率,而忽视了流动性、杠杆和交叉持股等因素对股票质押率的影响,即在股票质押率定价过程中未能考虑质押标的的流动性风险和组合再平衡风险。鉴于此,本文分析了杠杆对投资者资产组合价值的影响机理,以及交叉持股对质押标的的正反馈效应,构建了一个兼顾波动率、流动性和组合再平衡风险的股票质押率定价模型。另外,通过模拟分析发现,杠杆及流动性冲击均显著影响股票质押率;且与仅基于波动率预测的传统模型相比,本文提出的定价模型所计算的股票质押率要显著低于前者,结果证明本模型确能有效解决杠杆过高、交叉持股情况下,股票质押率的合理调整问题。The number that stock price is near or below the warning line in stock pledge business exceeds 300 times in 2015, which means the principal of pledge is difficult to fully recover. In this context, it is particularly important to set stock loan-to-value ratio reasonably and flexibly for reducing the risk of the pledgee effectively and suppress the market panic, which aims at avoiding similar extreme events. However, the stock loan-to-value ratio is often calculated simply based on the stock volatility in theo- ry and practice, while ignoring that the impact of liquidity risk and portfolio rebalancing risk in terms of le- verage and cross-shareholding. Given that, the influence of leverage and portfolio rebalancing on stock loan-to-value ratio is further researched based on the liquidity risk model of Obizhaeva（2008） and the study of leverage and portfolio rebalancing of Adrian et al. （2010） in the paper. It is revealed that the stock loan- to-value ratio is not only affected by the volatility, but also closely related to the liquidity risk and portfolio rebalancing risk. And the portfolio rebalancing risk is reflected in two aspects： the leveraged investors le- verage level and the portfolio structure between the leveraged investor and the pledgor. Finally, a pricing model of stock loan-to-value ratio considering volatility, liquidity and portfolio rebalancing is built. In order to obtain the numerical solution of the stock loan-to-value ratio, Monte Carlo method is used to simulate the movement path of the price of the underlying. The impact of two key parameters of the le- verage and the liquidity shock on stock loan-to-value ratio is further analayzed. The results show that the stock loan-to-value ratio is significantly affected by leverage and liquidity shock. Compared with the traditional model which is based on forecasting volatility only, the stock loan-to-value ratio according to pricing model put forward in the paper is significantly lower than the former. It means that the proposed model can

关 键 词：股票质押率 流动性风险 组合再平衡 杠杆 交叉持股 

分 类 号：F830.91[经济管理—金融学]