Research On Optimization Method Of Setting Margin Ratio Of Margin Financing And Securities Lending

Margin trading is a kind of credit guarantee transaction.In terms of risk control of margin financing and securities lending,China has a series of risk control measures such as margin system,forced liquidation and daily mark-to-market.Among them,the margin system is the most basic method for risk control of margin financing and securities lending,and the setting of margin ratio is the core of the margin system.China's margin financing margin ratio is set,and a fixed higher margin ratio is adopted to prevent the risks brought by the fluctuation of the securities market.This fixed high-level margin ratio has its advantages,that is,it is easy to operate during the implementation process,but this method of setting the margin ratio is not applicable to the current market environment and demand in China,and thus brings certain Negative impact.First of all,the uniform and fixed high-level margin ratio makes it impossible for securities companies to actively and flexibly control risks;at the same time,the excessive margin ratio will also cause the problem of reduced efficiency of investor funds.Therefore,an effective method for setting the margin ratio of dynamic margin financing and securities lending is established.The effective use of funds to effectively control the use efficiency of funds and reduce the opportunity cost of investors is in line with the development requirements of China's current margin financing and securities lending business.The progress of the securities market.This paper analyzes the problems existing in the fixed margin ratio setting method of China's margin financing and securities lending,and believes that the introduction of dynamic margin ratio setting method can better promote the development of China's margin financing and securities lending business.The basic principle of setting the margin ratio is risk control.The method of setting the dynamic margin ratio is firstly based on the market risk of the normal market situation faced by the underlying securities.The dynamic margin ratio setting method with VaR value as the core index is introduced.Then,in view of the leverage and credit transaction characteristics of the two financing transactions,we must also consider the risk of customer credit default and the willingness of creditor securities companies to bear the risk.Therefore,based on the VaR value as the dynamic margin ratio,the final ratio of the dynamic margin ratio is determined by the investor credit account rating and the securities company risk preference assessment.In order to test whether the margin ratio setting method is reliable,the closing price of the 1184 consecutive trading days from March 1,2014 to March 1,2019,which were active in the two trading transactions,was randomly selected.As the original data,the VaR value of the target securities at a given confidence level and the daily yield range of the holding period is calculated,and the investor credit rating is substituted with the margin ratio adjustment variable corresponding to the risk assessment of the securities company.Get the dynamic margin ratio.The empirical test proves that it is reliable to set the basic index with VaR value as the dynamic margin ratio.The dynamic margin ratio determined by the VaR value can not only protect the securities company's assets from loss,but also minimize the opportunity cost of investors and strengthen market activity.It provides a reference for the improvement of the method for setting the margin ratio of margin financing and securities lending,which will help the further development of China's margin financing and securities lending business.