| Shanghai Stock Exchange ushered in the first single margin trading and short selling on March31,2010which opened the new era of credit transaction in China and meanwhile ended years of the status of "unilateral market" in China’s securities market. The pilot of margin trading and short selling business which promoted the activity of stock market transactions didn’t only bring the now profit growth point for securities companies but also provided rich securities trading strategy tools for the investors. However, the development of margin trading and short selling business with providing benefits for all participants also brings great uncertain risks at the same time. Especially our country has never had the related experience of carrying out such business. Margin trading and short selling business doesn’t only have the general securities trading risks but also has its unique risks. How to identify and control the margin trading and short selling risks is the issue that all market participants and especially the securities companies must resolve.This article, on the basis of expounding of margin trading and short selling theory and securities market risk control, focuses on the differences between margin trading and short selling and ordinary securities transactions, analyzes risk control methods of securities market and its application on margin trading and short selling and comparatively analyzes characteristics of margin trading and short selling business model both home and abroad. On this basis, combined with our nearly two years the actual situation of the margin trading and short selling business development, this article summarizes the benefits and shortcomings of margin trading and short selling development, analyzes the risks of China’s margin trading and short selling in detail and also generalizes the risk characteristics of China’s margin trading and short selling business at present stage. Besides the margin trading and short selling risk is mainly manifested that the contract expiration customer’s loss can’t be repaid on time, the present main risk point concentrates on the risk of margin trading and short selling trading securities, Therefore the article put forward to take securities conversion rate adjustment as the securities risk control tool of margin trading and short sellingDuring the pilot period, Shanghai and Shenzhen Stock Exchange just only provides the highest securities conversion rate. Securities companies can further formulate the conversion rate of each security within the specified range of Exchange in order to control the risk caused by securities price fluctuation of the margin trading and short selling. After elaborating the conception of securities conversion rate, underlying securities, the securities to offset margin and on the basis of analyzing the measurement methods of several domestic securities, this article integrates index securities financial index, value at risk index and the degree of index price-earnings ratio deviates from historical average and etc. to quantitatively measure, to rank the aforementioned risk factors and to classify the conversion rate range in order to innovatively design the securities conversion rate model of risk factors and meanwhile to take different methods to compare and calculate the securities to offset margin of Shanghai and Shenzhen Stock Exchange. On this basis, the article specifically the application of discusses securities conversion rate in margin trading and short selling risk control and introduces the relationship among margin deposit, the available margin balance, the ratio of margin deposit, guaranty maintenance proportion, additional margin line and compulsory closing position line. The author take the development of margin trading and short selling business in A securities company as an example to introduce margin trading and short selling risk control method of A securities company and highlight the company’s risk control experience of margin trading and short selling securities by strict control and management of securities conversion rate adjustment. Meanwhile, the article also sorts and analyzes credit data of different credit customers. The data demonstrates the inverse relation between securities conversion rates and guaranty maintenance proportion of different credit customers. In the end, this article affirms the fruits achieved by margin trading and short selling business pilot and regards securities conversion as an important securities risk control tool of margin trading and short selling. At the same time the article also raises some suggestions to existing policies such as:the increase of short sale’s securities source, the introduction of institutional investors, no relationship between securities conversion rate and the ratio of margin deposit and the foundation of Industry securities conversion rate pricing organization. |
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