融资融券的动态保证金模型研究  

Dynamic Model of Securities Margin Deposits

作　　者：朱哲 肖可成 ZHU Zhe;XIAO Ke-cheng(School of Engineering and Management,Pingxiang University,Pingxiang Jiangxi 337000,China)

机构地区：[1]萍乡学院工程与管理学院,江西萍乡337000

出　　处：《萍乡学院学报》2022年第6期9-12,共4页Journal of Pingxiang University

基　　金：江西省教育厅科学研究项目(GJJ202713、GJJ212720)。

摘　　要：课题组主要讨论在保证金设置过程中,通过比较不同时点保证金资产组合的未来价值的贴现值和组合现有价值,考虑资产价值的预期变化对客户违约判断的影响,推算券商面临客户违约时产生损失的概率,构建违约概率模型。再以马可夫方法求解模型,计算违约概率,测算券商面临的风险,进而利用最小二乘方法动态确定保证金比例。A probability of default mode is created by comparing the discounted value of the margin asset portfolio in the future and its current value at different time points.The mode predicts securities companies’probability of loss at customer default by taking into account of the impact of expected changes in asset value on customer default judgment.With Markov method,the mode is derived by calculating the probability of default and the risk faced by the securities companies and then the margin deposit ratio is determined dynamically with the Least Squares method.

关 键 词：融资融券 保证金 马可夫链 违约风险模型 

分 类 号：F832.5[经济管理—金融学] O29[理学—应用数学]