【摘要】 确定合适的质押股票贷款价值比率能够使银行有效地缓释股票质押贷款业务的信用风险。沿着简化式思路,本文综合考虑了外生的借款人违约概率,质押股票的价格波动率,贷款的周期和盯市频率等因素的影响,为银行在保持风险容忍水平一致的情况下确定特定股票质押贷款业务的相应贷款价值比率提供了一个基本模型。针对股票质押贷款的现状,本文还将借款人违约随机、清算延迟和有流动性风险的情况引入基本模型中进行了拓展研究。更多还原

【Abstract】 Determining appropriate loan-to-value ratios of collateral can make banks mitigate credit risk of stock-pledging loan effectively.Based on reduced-form approaches,this paper establishes a basic model on the determination of loan-to-value ratios.In this model,some factors,such as exogenous default probability,price volatility of collateral,marking to market frequency and maturity time of loan,are considered synthetically,so banks may determine appropriate loan-to-value ratios of particular stock-pledging loan to keep the level of taken risk consistent.Moreover,with the extensions for realistic implementation,this paper introduces stochastic default,time to capture and liquidity risk into the basic model.更多还原