Research On Dynamic Margin Setting Of Margin Financing Of Securities Companies Based On VaR Method

Margin trading refers to the investors to the margin of securities companies to provide collateral,borrowed funds to buy the subject of the securities or borrowed listed securities and sell the behavior.The core and key of margin trading is the margin system,a scientific and reasonable margin system can be well adapted to the requirements of economic development and changes in the securities market.At present,China's margin trading is generally used in a high proportion of fixed margin system,this system compared to the world's major securities market using the dynamic margin system,with obvious drawbacks,with China's margin trading business Rapid development,with the corresponding margin system must be improved as soon as possible,dynamic margin system through the establishment of risk control model,the risk factor in the model to fully consider,and then derived from the model derived reasonable margin ratio,this way Greatly improving the efficiency of the use of funds investors.This paper reviews the domestic and foreign literature on margin margin system,compares the fixed margin system of China's margin trading and foreign dynamic margin system,and then establishes the VaR-GARCH model based on the VaR method which is less studied by domestic scholars.Analysis,through the China Ping An stock from May 12,2011 to June 30,2015 a total of 1,000 consecutive trading day stock closing price to study the empirical results show that China's current margin margin margin margin is too high,but also by the This shows the feasibility and necessity of introducing the dynamic trading margin system.This paper is divided into four parts,the first part of the margin trading and its margin system for a detailed analysis of the fixed margin system and dynamic margin system from the point of view,focusing on China's current fixed margin system and the international mainstream dynamic margin system The paper points out the shortcomings of the current fixed margin system and analyzes the cost and benefit of introducing the dynamic margin system in detail.The second part summarizes the VaR method.Firstly,the basic principle of VaR method and the basic elements are introduced,and the three calculation methods of VaR are introduced in detail.Finally,the VaR-GARCH model is expounded.The third part is the empirical analysis of this article.Based on the VaR-GARCH model,the VaR value is calculated by analyzing the closing price of China's Ping An stock in 1000 consecutive trading days.According to this,China's fixed margin system,Of the high proportion of the collection,and the actual combination of China and the risk-based dynamic margin system is imperative.The fourth part is the future development of China's margin trading margin system,and put forward their development proposals.