Research On Risk Measurement Of Stock Pledge Business Based On La-VaR Media Listed Companies

In recent years,the stock pledge business has developed rapidly and its scale has been growing continuously.Shareholders of listed companies can obtain many financing advantages through this business,such as low threshold,high efficiency and fast speed,which makes it one of the most popular financing tools in the current securities market.Since 2018,China’s A-share securities market has fallen sharply and the market continues to be depressed.Especially the media listed companies keen on stock pledge,their share prices have fallen sharply and their market value has shrunk sharply.The falling share price will cause the pledge contract to touch the warning line,even the liquidation line,which will lead to default and forced liquidation,that is,to sell the Pledged Shares in the secondary market in large quantities,resulting in sharp fluctuations in share prices.In order to effectively measure the risk of stock pledge business of media companies,this paper takes the representative companies of media industry market segmentation as the research object.It not only analyses the risk of each market segmentation,but also studies the risk of the whole media industry.Based on the classical financial risk measurement tool VaR,this paper introduces liquidity risk indicators and establishes a La-VaR model,which provides a risk measurement and management solution for the stock pledge business of media listed companies.In order to measure La-VaR accurately,GARCH,EGARCH and PGARCH models are selected in this paper,and the optimal fitting results of the models under normal,GED and t distribution are compared.The empirical results show that the volatility of stock returns of media companies has obvious autocorrelation,peak,thick tail and volatility clustering,but the asymmetry of impact is not significant.Therefore,the GARCH model based on normal distribution is the best choice.Then Monte Carlo simulation method is used to simulate the multi-cycle pledge situation under the given 60% pledge rate control line,and the breakdown results are analyzed in detail.Through comparative analysis,we find that the media industry estimates a higher value of La-VaR,and the risk of stock price fluctuation is greater.The risk of mandatory liquidation varies greatly between the listed companies in each market segment and each market segment.In a word,in the research of risk measurement of stock pledge business of media listed companies,besides choosing the right risk measurement model,we should also consider liquidity risk adequately.According to the volatility characteristics of stock return,different hypothetical distribution conditions and asymmetry of impact,we should choose a more reasonable dynamic pledge rate adjustment model for different industries and different submarkets.It is not applicable for different listed companies to adopt uniform pledge rate.