Research On Optimal Pledge Rate Based On Stochastic Fluctuation Model Of Stock Price

The setting of share pledge ratio is crucial for financial institutions to weigh risks.If a financial institution sets a high pledge rate,it will increase its risk position,which will lead to the consequence of the mismatch between risk and benefit.However,if the pledge rate set by financial institutions is too low,listed companies may use less share pledge.In order to determine the value of the collateral rate,make it in a reasonable position and be able to cover the risk,this problem has become the focus of risk prevention.Most of the existing scholars’ estimation of the share pledge is based on the Va R model,which is only based on the volatility of the stock price.This method only considers the unilateral risk.In fact,the left and right side risks should be considered as well.In view of the shortcomings of the existing research,this paper tries to introduce the utility function to study the decision of share pledge ratio under the condition of random fluctuation of stock price.In this paper,by maximizing the expected utility of financial institutions,a pricing model of the share pledge ratio is established based on the risk preference of financial institutions under different conditions,and the decision equation of the theoretical pledge ratio is given.Among them,the determination equation of the pledge rate has such parameters as pledge period,risk aversion degree,loan interest rate,risk-free interest rate and loan loss degree,which indicates that the equation establishes the identity relationship between the theoretical pledge rate and these parameters.Obviously,financial institutions can evaluate the pledge rate of the stock pledge contract according to these identity relations,and can also set the terms of designing stock pledge in the pledge rate.Based on the idea of failure efficiency test put forward by Kupiec,this paper sets the target line and measures the risk coverage by calculating the number of times that the actual stock price is lower than the financing amount.Through empirical comparative analysis,financial institutions in the absence of risk restrictions to determine the risk coverage capacity of the rate is better than the risk restrictions of the rate.The innovation of this paper is that previous scholars study of stock loan-to-value ratio based on the Va R model,this paper start thinking from another angle,consider financial institutions’ attitude of risk.Through constructing the utility function,the paper gets the optimal loan-to-value ratio when the expected utility maximization.In addition,this paper discusses two kinds of optimal pledge ratio with and without downside risk limitation,and empirically verifies the coverage capability of these two kinds of share pledge on risk.This paper focuses on the impact of different risk aversion degree,loan loss degree and risk tolerance degree on the collateral rate.This paper studies financial institutions’ attitude towards risk,which is rarely covered by previous scholars.