Research On The Financing Rate Of Equity Pledge Financing Of Market-made Enterprises In The "New OTC Market"

This article is on the basis of the principle of stock pledge financing pledge and the VaR model.Considering the VaR index can be used to describe the maximum loss of assets in the specific period of time within certain significant level of the future,we link the pledge rate with VaR.On the basis of taking full account of the possible risks involved in the process of pledge financing,this paper analyzes how to construct the pledge rate model to prevent the risk.In this paper,the historical simulation method of VaR and trial calculation method is used to determine the key index of the pledge rate model,such as the "open line","cordon",and so on.Due to the "open line" and "cordon" in the loan contract is determined,so according to the historical volatility of the stock to determine the specific value has its practical basis.The "New OTC Market" began to implement the market maker system since August 2014,enhancing the liquidity of the market,providing more open and continuous price of this market,making it possible to calculate the stock equity pledge financing rate based on the closing price of the stock.In the part of empirical analysis,this paper selects the period from August 25,2014 to December 30,2016,the sample is of 38 stocks.This article tries to use the data from the first 300 trading days to build VaR model,pledge period selected were 1 month,3 months and 6 months.By comparing the actual value and the theoretical calculation of the "open line","cordon" and other numerical to analyze the model's ability to prevent risks.In addition,we analyze the model's ability to predict and classify the risks.Finally,through the analysis of the empirical results,this paper puts forward the corresponding suggestions from the angles of the pledgee,the pledgor and the market manager on the prevention of financial risks,the government regulation,and so on.