Research On Liquidation Risk Of Haitong Securities Company's Stock Pledged Repo Business

In May 2013,the securities company launched a stock-pledged repurchase business,which has eased the financing difficulties of small and medium-sized enterprises in China to a certain extent.As one of the first batch of brokers to obtain the qualification for this business,Haitong Securities Company's stock pledged repo transaction volume has always been among the best.However,the increase in business scale has exposed Haitong Securities Company to a higher risk of liquidation,that is,when the stock market declines overall,Haitong Securities Company will face multiple stock pledged contracts touching the liquidation line,and forced liquidation risk of the contract will occur.With the continuous introduction of regulatory policies in 2017 and the tightening of overall market liquidity,China 's stock market has experienced a major crisis where a large number of stocks fell sharply in 2018,which has triggered the risk of liquidation of Haitong Securities Company's pledged repo transactions,while exposing Haitong Securities Company's problems of liquidation risk management.This article selects Haitong Securities Company's stock pledged repo business as the research object and analyses the liquidation risk and related liquidation risk management issues of this business,based on the pre-event and post-event management process of the liquidation risk of the stock pledged repo,and studies the pricing and control problems of the liquidation risk of this business,further put forward corresponding countermeasures and suggestions for Haitong Securities Company.In this paper,the risk of liquidation of stock pledge business refers to the risk that the price of the pledged stock falls to the open line,and the borrower does not add stock pledged or cash,resulting in the loss of the lender.This article is organized as follows.The first chapter is an introduction.This chapter sorts out the development of the stock pledged repo business,summarizes the recent development of Haitong Securities Company's stock pledged repo,and expounds the necessity liquidation risk research of this business.The second chapter is the liquidation risk theoretical analysis of Haitong Securities Company's stock pledged repo.The second chapter is the liquidation risk theoretical analysis of Haitong Securities Company's stock pledged repo.Combing with the relevant research of the stock pledged,this chapter introduces current situation of risk management of Haitong Securities Company' stock pledged repo,analyzes the liquidation risk of this business,sorts out the risk management process of liquidation of this business,and finds out the problems in Haitong Securities 'liquidation risk management.The third chapter is the empirical analysis of the liquidation risk of Haitong Securities Company's stock pledged repo.This chapter establishes the stock volatility GARCH Model and uses VaR mothed to calculate theoretical loan-to-value ratios,and assess the risk coverage capability of theoretical loan-to-value ratios of samples and the rationality of theoretical loan-to-value ratios model,in which samples are taken from pledged stock of Haitong Securities Company.The fourth chapter is the countermeasures and suggestions of liquidation risk management for Haitong Securities Company's stock pledged repo.In this chapter,according to the qualitative and quantitative analysis results,it proposes the optimization plan about liquidation risk management of Haitong Securities Company's stock pledged repo.That is,combining the theoretical loan-to-value ratios model and the results of due diligence to adjust the loan-to-value ratios differently and establish a dual early warning line risk management process.In addition,based on the actual situation of Haitong Securities Company,this chapter presents three risk response modes for liquidation risk.Furthermore,In order to realize the risk control optimal plan and risk response measures of Haitong Securities Company's stock pledged repo,this chapter also provides implementation guarantees in terms of system,organizational structure,human resources and information technology systems.The last chapter is the conclusion,gives the specific problems and empirical research results of Haitong Securities' stock pledged repurchase business closing risk,and points out the improving direction of this paper for the applicability of the empirical model in the future.The research in this paper puts forward countermeasures and suggestions for the risk management of Haitong Securities Company's stock pledged repo,provides Haitong Securities Company with ideas and technical support for the risk management of liquidation,offers reference for the risk management of liquidation during the repurchase business development for others securities company,and supplies new management ideas on the regulatory documents and regulatory content of the stock pledge repo business for regulatory authorities.