Research On Risk Management Of Stock Pledge Business Of Securities Firms

With the continuous improvement and development of the mechanism and function of China's capital market,equity pledge financing is more and more favored by financial institutions and listed companies due to its relatively simple operation,low financing interest rate and good liquidity.With the standardized development of the equity pledge business since 2013,the main role of trust in the floor pledge has been replaced by the securities broker,and the scale of equity pledge has been rising,almost reaching the point of "no shares without pressure".Appears to be in full swing,however,the development of the equity pledge business is hidden behind the huge risk,among them,to the listed company's equity pledge crash since 2018 to the impact of the largest market,the securities companies and regulators for alarm,equity pledge risk management problem got unprecedented attention and vigilance.Loan-to-value ratio compared with cordon as equity pledge business core of risk control indicators,the equity pledge plays an important role in the risk prevention and control,2018 the shares pledged repo transaction and the measures for the registration and settlement business according to the provisions of the loan-to-value ratio for "all maximum loan-to-value ratio of 60% of the stock",in the actual business is dealt with,brokers typically stock according to the main board and small and medium-sized panels,the gem will divide the categories,respectively,set the loan-to-value ratio up to 5 fold,4,3 fold,all shares loan-to-value ratio 6 fold the top;Similarly,the warning line is set at 150% for the main board,and 160% for the small board and gem board.Standard set by two indexes which,however,is not very clear data to support and theoretical basis,therefore,only on texture and potential risks of different stocks to formulate a scientific loan-to-value ratio level and dangerous levels can effectivelyhelp investors get reasonable funds at the same time,to ensure that the securities companies to effectively control the potential risk.After sorting out the relevant literature,this paper,on the one hand,studies the risks faced by the equity pledge business of securities firms from a qualitative perspective and puts forward targeted Suggestions.On the other hand,on the basis of the classification of risk,choose from equity pledge as a brokerage business risk management risk and return the stock portfolio perspective,Based on the theory of multi-factor asset pricing,reflect the value of listed companies and growth factors,build more factor model measuring the loan-to-value ratio,further,the multi-factor model measuring the loan-to-value ratio,on the basis of introduction of "consistency of risk measure method--" ES model measuring the cordon,quantitative indicators can not only enrich equity pledge risk management,and can realize the multi-factor model test is to measure the effectiveness of the loan-to-value ratio.The empirical results show that the model based on multiple factor score method the loan-to-value ratio level with current market roughly tallying with the actual level,and make up the deficiency of practice experience in the industry,for the brokerage,equity pledge business provides alternatives,feasibility is higher,is worth applying to the related business practice.