The Establishment Of Margin Dynamic Deposit System In Securities Companies

Margin trading is called security deposit trading in the West,it's a regular trading system of financial markets in the developed world.In contrast,in our country,it's been only a few years since it begins,a variety of institutional building and reform need to be done.Design of margin is one of the most important issues.Lending relationship is the basic relationship between securities companies and customers.On the one hand,margin is the collateral to securities firms,which to hedge price fluctuations of underlying securities.On the other hand,the margin is a source of financial leverage.So,appropriate margin is favorable to the development of margin trading.Unified higher margin is set by regulations when introducing the margin for the purpose of protecting China's capital market.With the expansion of business scale,such way seems to be improper.Currently,some domestic scholars have been inspired from futures research,attempt to introduce VaR method.However,relatively simple and rough.The main problem is in the model just simply consider the volatility of stock prices,ignoring the initial debt and other private investors.Since the physical delivery futures trading does not occur,but the long and short side of the profit and loss complementary study purely from stock price volatility point of view is reasonable.However,there is a clear margin lending,transaction need to complete principal positions,capital and liabilities of the original investors in the account can successfully open whether play a decisive role.Therefore,this article in addition to the stock volatility,also initial liabilities also included in the model.In addition,since the costs of direct income margin securities companies also can not be ignored,we have also included interest rate model,making the model more practical significance.Positive selected Guanghui Energy and CITIC Bank these two stocks were investigated and margin financing.In this paper,transaction characteristics margin from stock volatility,the initial debt,the interest rate margin,and several other factors to consider,deduced based on real-time dynamic VaR-GARCH method of maintenance margin formula.By maintaining margin ratio test derived from the model,they can each day in margin during the current risk of securities prices to make timely and reasonable quantification and adjustment.Can effectively protect the safety of the securities company's assets,but also save money occupy investors,improve market efficiency quotient.Finally calculated,we have come to meet state regulations,but a slightly lower margin rates than the majority of brokers now set.Due to limited conditions,the model has certain assumptions and market environment,there are certain requirements.In order to meet the dynamic margin system can operate successfully in the Chinese capital market,in the fourth chapter,we present a number of supporting recommendations to our margin market faster and better development.