Research On The Deposit Rate Of Margin In Stock Market Based On VaR

Margin trading, also known as credit transactions, investors in the sale and purchaseof securities, delivered to the broker a certain percentage margin to obtain the fundsrequired for the purchase of securities or sell securities transactions. Brokerage in margintrading business will inevitably face the following risks: the risk of price fluctuations inthe underlying securities of customers’ investments, liquidity risk of the underlyingsecurities and the resulting customer credit risk. If the securities used to offset margin,then it will inevitably produce collateral devaluation risk, liquidity risk of collateral andthe resulting credit risk.How to scientifically set margin rates and securities margin discount rate in themargin trading business risk management is particularly important. Margin ratio is set toolow or too high are difficult to guard against market fluctuations can be used to offsetmargin securities discount rate and other factors to account the risks posed by theopposite margin ratio is set too high or can be used to offset the the margin securitiesdiscount rate is too low will inevitably affect the scale and efficiency of businessdevelopment.Be introduced and comment on existing fixed deposit system, China’s securitiesmarket is selected for the study, compiles historical data, VaR-based methods and toassess the margin of the underlying securities, and can be used to offset marginsecuritiesrisk; then, as a method to determine the proportion of the margin and thediscount rate can be used to offset the margin securities; Finally, put forward thenecessity and feasibility of the establishment of an effective margin dynamic depositsystem. In the the dynamic margin system, VaR method as the theoretical basis, timelyand effective assessment of the risk profile of the underlying securities and the collateral;maximize both to prevent the risk of the occurrence, but also avoid the loss of efficiency.In this paper, A preliminary study on the proportion of margin and collateral discount ratemargin trading business in the deposit system, management and brokerage in the margintrading business risk assessment and management in order to make some references andrecommendations.