| 融资融券交易保证金比例的个性化动态设置研究 |
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| 引用本文： | 王周伟. 融资融券交易保证金比例的个性化动态设置研究[J]. 华东经济管理, 2012, 26(8): 142-146 |
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| 作者姓名： | 王周伟 |
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| 作者单位： | 上海师范大学金融学院 |
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| 基金项目： | 教育部人文社科研究项目“中国宏观审慎货币政策的调控机制研究”(11YJA790107);上海市哲学社会科学规划课题“不对称传染的供应链信用风险度量研究”(2009BJB022);上海市教委重点课题“综合风险网络传染的系统性风险评估与分析框架研究”(12ZS125) |
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| 摘 要： | 保证金比例的个性化动态设置是中国证券市场中融资融券信用交易业务发展的必然趋势.文章根据融资融券交易的保证金信用融资模式,构建了ARIMA-GARCH-BSM期权定价模型,利用结构化建模方法探讨如何解决融资融券信用交易业务保证金比例动态设置问题,并选择融资融券交易比较活跃的标的武钢股份进行了实例验证计算.检验结果表明该模型有效性很高.
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| 关 键 词： | 融资融券业务 保证金比例 BSM期权定价模型 ARIMA-GARCH-t模型 |
The Individual Dynamic Adjustment of the Margin Ratio in Margin Business |
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| WANG Zhou-wei. The Individual Dynamic Adjustment of the Margin Ratio in Margin Business[J]. East China Economic Management, 2012, 26(8): 142-146 |
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| Authors: | WANG Zhou-wei |
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| Affiliation: | WANG Zhou-wei(Finance College,Shanghai Normal University,Shanghai 200234,China) |
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| Abstract: | It is an inevitable trend of the development of Chinese securities market to dynamically adjust and personally set the entire margin deposit rate.According to margin mortgage credit financing of the margin model,this paper establishes the ARIMA-GARCH-BSM option pricing model to resolve the technical problems how to dynamically set the margin levels,and take Wuhan Steel shares as an example to calculate it.The results show that the model is reasonable and feasible. |
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| Keywords: | margin business margin ratio BSM option pricing model ARIMA-GARCH-t model |
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