The Research Of Margin Ratio In Margin Transation System

Our county lauch margin transaction system in April 2010. This system reference the conservative part of the foreign margin system, Which makes use of the stable initial margin to prevent the risk of stock market jumped sharply slump. It is suitable for the early securities industry, however,at present, the margin margin system exist some shortcomings:uniform margin against brokers quantitative risk control; High margin also cause low efficiency of funds to investors at the same time, making the financing rates on the high side; Our country financing balance and balance of securities proportion serious imbalance, deviated from the management to achieve the purpose of the bilateral trade; Initial margin securities discount rates set no substance. Therefore establishing effective margin margin system is essential.According to the above problem, this paper mainly studied in the guarantee maintenance ratio.Our country margin margin level is higher than other lever type of business,so we can lover it.Meanwhile, Compared with the foreign system,it is so conservative that needs to be improved guarantee maintenance ratio of space. Thus, This paper mainly studies the method of setting warning maintenance guarantee and unwind guarantee maintenance ratio, which is the core of the margin. If they are set to high, will not have any significance of risk control, in the other side, may cause the credit risk. So set requirements for the two ratio, we need to consider many factors.The guarantee maintenance ratio can be inflenced by such factors——the default rate, investors securities volatility and liquidity position, holdings ratio. Thus, for setting it, we should try to incorporate these factors among them. In the aspect of risk measure, The most critical part is the measure of volatility and liquidity. We first introduced the margin percentage of setting method which is used by domestic securities companies, and then study the setting metod of Stock index futures margin ratio. Finally combining the actual situation of the securities company risk control, we put forward the setting principle of margin trading guarantee proportion. In this paper, the risk measure tool is CVaR and La-CVaR. They all meet the consistency axiom. The former is suitable for measure market risk in normal days while the latter for measuring the liquid risk in extreme. So the margin setting method in this artical, can choose different dynamic guarantee maintenance ratio model, according to the size of the market liquidity risk.For using the analytic method to solve the CVaR and La-CVaR, we need to estimate the mean and variance of the securities return accurately. Based on the special shape of assets return——sharp peak and heavy tail, a large number of domestic and foreign scholars study showed that the family of GARCH model can be well expressed by this feature. The reason lies in the transformation form of GARCH family can well capture the characteristics of the return on asset, the other point is that, due to the volatility clustering, and the variance equation can describe this phenomenon well. So this article use the family of GARCH model to measure volatility, to accurate CVaR and La-CVaR estimate result. Secondly, this paper puts forward with the definition of market value discount rate which relies on the loss rate accepted by brokerage, and use this to estimate unwind guarantee maintenance ratio.Thus, unwind guarantee maintenance ratio can be set according to different brokers' risk bear ability.Through the empirical analyss, in the normal days we should set warning guarantee maintenance ratio under 150%, but under the extreme condition it is necessary to over 150%. In addition, guarantee maintenance is varia by different portfolio. So this paper set up an dynamic guarantee maintenance ratio method, it can set guarantee maintenance ratio on the basis of different positions and different market.At the end of the article, we analyzed the cause and effect of dynamic guarantee maintenance ratio, we also put forward practical suggestions about setting the margin deposit ratio and risk control measures. Due to most of the research is force on how the margin percentage influence the securities market. This article, based on the perspective of margin deposit problem set, have very strong practicability. However, due to the limited personal knowledge, we unable to establish a perfect model, so improvement suggestions are put forward.