The Conversion Value Research On Collateral Securities Of Margin Trading In China

Margin trading is a trading system widely adopted the mature securities market,is one of the basic functions of securities market. It can bring more profits tosecurities companies, but securities companies need to take the necessary measures onrisk control, especially on collateral securities risk control.At the beginning, this thesis introduced definition of margin trading, and itsbusiness patterns and characteristics. By using the comparative research method, itcompares several different margin trading business patterns, their characteristics andtrading rules.The research of this thesis focuses on collateral securities risk control, collateralsecurities, i.e. qualified securities representing margin, which include stocks, funds orbonds listed in SSE or SZSE. By analysis the scope of qualified securitiesrepresenting margin in margin trading and securities lending, then build the model tocalculate the conversion ratio of qualified securities representing margin, includingstocks, funds and bonds. To different securities, the model gives out differentconversion ratio calculation method.As an example, this thesis takes Z securities company to illustrate the procedureto get the different conversion rates for collateral some securities, including eachspecific stock, fund and bond, by analyzing their trading data.At last, the thesis suggests that SSE and SZSE relax the restrictions onconversion ratio of collateral securities, and the funds efficiency of investors shouldbe improved gradually in margin trading.