本文關(guān)鍵詞：含鎖定期的股票質(zhì)押貸款定價(jià)　出處：《吉林大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 鎖定期 股票質(zhì)押貸款 質(zhì)押率 限售股 封閉期

【摘要】：股票質(zhì)押貸款業(yè)務(wù)是借款人將其所持有的上市公司股票做質(zhì)押，向金融中介進(jìn)行貸款的一種融資活動(dòng)。股票質(zhì)押貸款的借款方一般為上市公司的部分股東，融資目的通常是上市公司股東增強(qiáng)自身資金流動(dòng)性和項(xiàng)目投資的需要。從2000到2008年，中國(guó)人民銀行和中國(guó)證監(jiān)會(huì)以及相關(guān)部門頒布了一系列關(guān)于股票質(zhì)押貸款管理的辦法和法規(guī)，銀行和信托等金融機(jī)構(gòu)針對(duì)企業(yè)和個(gè)人的股票質(zhì)押貸款業(yè)務(wù)逐步在我國(guó)開(kāi)展起來(lái)。股票質(zhì)押貸款業(yè)務(wù)的開(kāi)展，打破了金融機(jī)構(gòu)分業(yè)經(jīng)營(yíng)管理制度，使得金融機(jī)構(gòu)資金流向資本市場(chǎng)合法化。這不僅給證券市場(chǎng)提供了強(qiáng)大的資金支持，也對(duì)金融機(jī)構(gòu)本身的業(yè)務(wù)發(fā)展提供了更加廣闊的空間。 目前，在我國(guó)的股票質(zhì)押貸款業(yè)務(wù)中，有大股東質(zhì)押其持有的限售股進(jìn)行貸款的情形，也有股票質(zhì)押貸款合約中含封閉期條款的情形，如超日太陽(yáng)公司的大股東質(zhì)押其持有的限售股進(jìn)行貸款，和平安信托發(fā)行的含封閉期條款的股票質(zhì)押信托產(chǎn)品。本文我們將這種限售股質(zhì)押情形和含封閉期條款情形的股票質(zhì)押貸款稱為含鎖定期的股票質(zhì)押貸款。從貸款人和投資人角度來(lái)看，股票質(zhì)押貸款合約中鎖定期的存在增加了一定的不確定性，這將會(huì)加大股票質(zhì)押融資的風(fēng)險(xiǎn)。因此，關(guān)于含鎖定期的股票質(zhì)押貸款的定價(jià)研究和風(fēng)險(xiǎn)管理就顯得很有必要。 國(guó)內(nèi)外關(guān)于股票質(zhì)押貸款的定價(jià)研究主要從兩個(gè)方面開(kāi)展研究。一個(gè)方面，在不同的股票價(jià)格運(yùn)行規(guī)律下，如幾何布朗運(yùn)動(dòng)、均值回復(fù)和跳擴(kuò)散模型，研究股票質(zhì)押貸款的定價(jià)問(wèn)題；另一方面，在不同業(yè)務(wù)條款下，如追加保證金條款、自動(dòng)終止條款、允許提前償付條款和可贖回條款等，對(duì)股票質(zhì)押貸款的質(zhì)押率進(jìn)行研究。所有這些研究都是針對(duì)質(zhì)押股票為流通股的情形，且都不曾考慮合約中含封閉期條款的情形。除了上面基于分析方法的研究，還有很多學(xué)者采用在險(xiǎn)價(jià)值，即VaR方法，和實(shí)證分析的方法對(duì)股票質(zhì)押貸款的質(zhì)押率進(jìn)行研究，不過(guò)在這些研究中都沒(méi)有給出貸款利率、質(zhì)押率、手續(xù)費(fèi)和貸款額度之間的合理關(guān)系。本文將考慮封閉期和限售期的存在對(duì)股票質(zhì)押貸款的質(zhì)押率和貸款利率的影響，并給出貸款利率、質(zhì)押率、鎖定期、手續(xù)費(fèi)和貸款額度之間的合理關(guān)系，這些結(jié)果將為發(fā)行這類產(chǎn)品的金融機(jī)構(gòu)進(jìn)行風(fēng)險(xiǎn)管理提供一定程度的技術(shù)支持。 本文我們主要進(jìn)行如下研究：首先針對(duì)含鎖定期的股票質(zhì)押貸款產(chǎn)品，分別考慮鎖定期結(jié)束后可提前償付和不可提前償付兩種情形，建立股票質(zhì)押貸款合約的定價(jià)模型。其次，在所考慮的兩種情形下，研究鎖定期對(duì)貸款合約價(jià)值、貸款利率和質(zhì)押率的影響，以及貸款利率、質(zhì)押率、鎖定期、貸款額度和手續(xù)費(fèi)之間的合理關(guān)系。最后，，在上述兩種情形下，通過(guò)數(shù)值實(shí)驗(yàn)分析鎖定期結(jié)束前后貸款利率對(duì)質(zhì)押率及合約價(jià)值的影響。本文具體結(jié)構(gòu)安排如下：第一章緒論，介紹本文的研究背景和研究意義。第二章介紹國(guó)內(nèi)外的研究現(xiàn)狀。第三章針對(duì)含鎖定期的股票質(zhì)押貸款合約建立定價(jià)模型，并給出相關(guān)的理論結(jié)果。第四章通過(guò)數(shù)值實(shí)驗(yàn)進(jìn)行相關(guān)的敏感性分析。最后給出本文的結(jié)論。 本文的研究結(jié)合了我國(guó)股權(quán)質(zhì)押融資產(chǎn)品的特有條款，如限售股質(zhì)押和合約中含封閉期條款，對(duì)股票質(zhì)押貸款的定價(jià)問(wèn)題進(jìn)行理論研究，在給出這種貸款產(chǎn)品的質(zhì)押率、貸款利率、鎖定期、手續(xù)費(fèi)和貸款額度間的合理關(guān)系之后，討論了鎖定期對(duì)貸款合約價(jià)值、貸款利率和質(zhì)押率的影響，所有這些結(jié)論將為我國(guó)股權(quán)質(zhì)押融資產(chǎn)品的進(jìn)一步創(chuàng)新提供理論和技術(shù)支持。
[Abstract]:The business of stock mortgage loans is the borrower will hold shares of listed companies pledge financing activities, a loan to a financial intermediary. Stock mortgage borrowers generally part of shareholders of listed companies, financing purpose is often to shareholders of listed companies to enhance their liquidity and investment projects from 2000 to 2008. The people's Bank, China and Chinese Commission and relevant departments issued a series of stock pledge loan management measures and regulations, banks and trust and other financial institutions for the enterprise and individual stock pledge loan business developed gradually in our country. Thisbusiness breaks the financial institutions operating management system, the the flow of funds of financial institutions capital market legalization. This is not only to provide strong financial support for the stock market, the financial institutions themselves Business development provides a broader space.
At present, in our country the stock pledge loan business, there are large shareholders to pledge their holdings of restricted shares of loan conditions, also has the stock pledge loan contract with closed terms, such as super large shareholders Sun Company pledged its holdings of restricted shares for loans, and closed period containing Ping An trust issue the terms of the stock pledge trust products. In this paper, we will limit the sale of shares of this pledge and the pledge period clause containing closed loan case containing stock is called the lock of the stock mortgage lenders and investors. From the point of view, the stock pledge loan contracts in the lock up period is increased by the presence of a certain degree of uncertainty, which will increase the stock the pledge financing risk. Therefore, it is necessary to study the pricing and risk management with a lock of the stock pledge loan is.
The domestic and foreign research on the pricing of stock pledged loans mainly research from two aspects. One aspect, the stock price in different operation rules, such as the geometric Brown motion, mean reversion and jump diffusion model, the pricing problem of stock pledge loan; on the other hand, in terms of business, such as margin terms automatic termination clause, allowing, prepayment terms and callable clauses, the rate of the pledge of stock pledge. All the studies are focused on the stock pledge for shares, and are not considered in terms of the contract with closed period. In addition to the above research and analysis based on the method, there are many scholars the value at risk, namely VaR method, and the method of empirical analysis on the stock pledge loan pledge rate is studied, but these studies have not given the loan interest rate, pledge rate, hand A reasonable relationship between the amount of loans and renewals. This paper will consider the existence of closed and restricted period of stock pledge loan pledge rate and lending rates, and given the loan interest rate, pledge rate, lock up period, a reasonable relationship between the fee and the amount of the loan, these results will be issued by financial institutions such as the product risk management to provide a certain degree of technical support.
In this paper, we mainly study as follows: first, for containing lock regular stock pledge loan products, considering the period after the end of the lock can not be prepayment prepayment and two kinds of situations, the established pricing model of stock collateral loan contract. Secondly, two kinds of situations in the study, the lock up period of loan contract value effect, the loan interest rate and pledge rate, and loan interest rates, mortgage rates, lock up period, a reasonable relationship between the loan amount and fee. Finally, in the two case, analyzed by numerical experiments before and after the end of the lock up period of the pledge rate and lending rates of the value of the contract. The specific structure is as follows: the first chapter is the introduction, introduces the research background and significance of the research. The second chapter introduces the research status at home and abroad. In the third chapter, with the lock of the stock mortgage loan contract based pricing model, and give the The relevant theoretical results are given. The fourth chapter carries out the related sensitivity analysis through numerical experiments. Finally, the conclusion of this paper is given.
The specific terms on China's equity pledge financing products combination, such as restricted stock pledge and contract with closed period clause, theoretical research on the pricing problem of stock pledge loans, the pledge rate, given the loan products and lending rates, the lock up period, after a reasonable relationship between the loan amount and fee the lock up period of contract, loan value, loan interest rate and pledge rate, to provide theoretical and technical support for further innovation all these conclusions will pledge financing products for China's equity.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1411622