摘要
在证券市场融资融券业务中确定可充抵保证金担保证券折算率,是融资融券业务风险管理中的一个重要环节.针对股票类可充抵保证金担保证券,本文从系统性风险、行业风险、公司风险以及流动性风险、变现能力等方面进行分析,构建了可充抵保证金担保证券折算率计算模型,提供模型估值结果、市场风险评价结果等各类指标值,并以某证券公司为例,对房地产行业股票保利地产作为可充抵保证金进行实证分析.
Conversion ratio calculation is very important in risk management of the margin trading and short selling which was started in China Securities Market. The research of this thesis focuses on collateral securities from five aspects including systematic risk, industry risk, company risk, fluidity risk and cash ability. Then builds the models to calculate the conversion ratio of qualified securities representing margin. At last, Z securities company is illustrated on how to calculate the conversion rates of Poly Real Estate.
出处
《南华大学学报（自然科学版）》
2013年第2期42-49,共8页
Journal of University of South China：Science and Technology
基金
国家社科基金资助项目(09BTJ012)
教育部人文社会科学研究规划基金青年基金资助项目(09YJC630065)
关键词
融资融券
可充抵保证金担保证券
折算率
margin trading
qualified securities representing margin
conversion ratio
