本文首先運用期權定價理論建立了股票質押式回購在不同補倉方式下的質押率、融資期限、回購利差、交易費用以及警戒線和平倉線間的動態關系,然后以滬深300和中小300成分股為例,計算樣本股在不同風險窗口期和補倉方式下的理論質押率,并借鑒失敗效率思想,在既定管理目標下實證比較理論與實際質押率及平倉線折價質押率的風險覆蓋能力。實證結果顯示:不同風險窗口期內理論質押率大部分高于實際質押率,但現金補倉下理論質押率與實際質押率有相同的風險覆蓋能力,股票補倉下理論質押率的風險覆蓋能力低于實際質押率,高于平倉線折價質押率。據此,本文提出基于理論和實際質押率的組合模式來設定股票質押式回購合約的質押率。計算結果顯示,組合質押率的風險覆蓋能力優于理論質押率,融資成本降低方面優于實際分檔質押率。因此,本文認為股票質押式回購質押率的設定應根據風險管理目標采用理論與實際質押率組合的模式,這既實現金融機構風控的目的也降低了回購方的融資成本。

Stock pledged repos are important innovative financial products in China,and its loan-to-value(LTV)ratios are crucial for risk management of financial institutes.In this paper,dynamic relationships among key parameters of stock pledged repos,such as loan-to-value ratios,predetermined termination lines,maturity date,repos interest rate and fees are established,by using option pricing theory.Then theoretical LTV ratios of sample stocks with different maturities are given by these dynamic relationships,in which samples are chosen from constituent stocks of Shanghai-Shenzhen 300 and SZSE SME 300 Price indexes in China.Furthermore,under different target levels of risk management and different maturities,these theoretical LTV ratios are compared to practical ratios published by ZhongHang Security and the LTV ratio discounted by closing line,and empirically investigated risk coverage levels of these theoretical and practical LTV ratios based on Kupiec’s idea.Empirical results show that most theoretical LTV ratios with different positions are higher than the practical one,while theoretical LTV ratios with cash margin have the same risk coverage level with the practical one,and the risk coverage level of theoretical LTV ratios with the supplementary stocks term is lower than practical ones,but higher than LTV ratios discounted by closing line.Therefore,a kind of combined mode with theoretical and practical LTV ratios are proposed in this paper.The empirical result shows that the risk coverage level of the combined LTV ratio is higher than theoretical LTV ratios.Besides,they are quite superior to practical LTV ratios in aspect of cutting financing cost.Therefore,it is argued that,with financial institutes’ management target lines,LTV ratios of stock pledged repos should be set to combined modes with theoretical and practical LTV ratios in order to control risk and reduce financing costs.Our conclusion is helpful for financial institutes to expand the scale of stock pledged repos and control the risk of these repos.