CAJ | 학술논문

股票约定式回购交易是国内证券行业开展融资业务的又一新渠道。基于不同的折算率限制，将历史模拟法和基于极值理论的广义帕累托分布模型这两种VaR计算方法应用到折算率模型中，对沪深300指数收益率样本进行了模拟贷款检验并比较。研究发现：所构建的折算率模型和计算方法基本能够给出合理的折算率结果，两种VaR方法各有特点，对折算率的影响不存在可比性。相关制度对折算率上限60％的规定有一定意义但存在改进空间；利用历史数据循环地做回溯测试，可以判断模拟贷款的表现，进而提高各期限下贷款的质量。
고표약정식회구교역시국내증권행업개전융자업무적우일신거도。기우불동적절산솔한제，장역사모의법화기우겁치이론적엄의파루탁분포모형저량충VaR계산방법응용도절산솔모형중，대호심300지수수익솔양본진행료모의대관검험병비교。연구발현：소구건적절산솔모형화계산방법기본능구급출합리적절산솔결과，량충VaR방법각유특점，대절산솔적영향불존재가비성。상관제도대절산솔상한60％적규정유일정의의단존재개진공간；이용역사수거순배지주회소측시，가이판단모의대관적표현，진이제고각기한하대관적질량。
Establishing the loan‐to‐value (LTV) ratios of the stock repurchase agreement is important for securities traders to resist risks and get new revenue streams .In order to calculate the LTV ratios of this kind of agreements ,an LTV model was employed .In addition ,simulated loans on SHSE‐SZSE300 index yield were tested using different discount rates with two methods ,the historical simulation method and the generalized Pareto distribution (GPD) method ,to compare corresponding LTV ratios .The study shows that the LTV ratios using the LTV model and the two calculation methods are basically reasonable ,and limiting LTV up to 60% is meaningful ,but the impacts of the two VaR methods on LTV ratios are not comparable .The backtesting which used historical data can determine the performance of simulated loans , thus improving the quality of loans under different terms .