Market Risk Managent Research For Stock Pledge Repurchase Of Company C

On the 8^th May,2012,the innovation conference which organized by the SAC?Securities Association of China?attracted the attention of Chinese securities industry.This conference was considered as the foundation and also the most important opportunity for the industry's innovation development.Based on this situation,the stock pledge repurchase?SPR?comes to the market.The SPR is an innovative model of the credit financing business of the securities companies.The proportion of the credit financing business of the securities companies is increasing year by year.As a unique part of credit financing business,SPR has become an important profit growth point for the security industry.However,it also requires practitioner to obtain more professional skills,which brings new challenge.The emergence of innovative business will inevitably put forward higher requirements for the professional level of risk management.Due to the volatility of stock prices is significant,as collateral for financing,the first issue of securities companies should be considered is by the discount coefficient of the underlying stock to determine reasonable financing amount,reduce the impact of market risk.Therefore,Company C,a member of Chinese securities industry,how to manage the market risk of SPR and keep the company's financial system safe in this scenario becomes the most important issue.Based on the background that introduced above,this paper will study the latest developments and the structure of market risk management for SPR of Company C and analyze issue discovered on market risk of SPR,In additional to that,this paper will also calculate reasonable underlying securities conversion rate through VaR and offer the solutions,which would be a reference for Company C to promote its SPR.This paper mainly includes the following parts:Firstly,it introduces the research background and significance of this paper,and combs the market risk faced by the SPR and the financial risk theory.Secondly,it takes Company C as the object of study,combining with the present situation of its SPR and the market risk management structure and tries to analyze the problems of the market risk in every link of business operation.Furthermore,it calculates the discount rate of the underlying stock through VaR model,which can decrease the impact from market risk.The reasonable discount rate can reduce the impact of market risk on the stock repurchase transaction.Finally,it offers corresponding solutions and summary the situation of risk management of Company C.