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摘要翻译：
为了在市场动荡的情况下保护券商免受客户违约的影响，我国提出了一种适用于融资融券交易的主动保证金制度。本文用担保物在下跌市场中平仓的负收益概率来度量保证金贷款的风险，并在马尔可夫链模型下提出了一种递归算法来计算该概率。在所提出的风险度量的约束下，对于一定数量的初始保证金，可以给出最优的维持保证金比率。构建了这样一个保证金制度的例子，并将其应用于上海证券交易所134只股票的26,800美元保证金贷款。实证结果表明，本文提出的方法是券商设置保证金制度的一种可操作性方法，具有明确的风险控制目标。
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英文标题：
《An Active Margin System and its Application in Chinese Margin Lending
Market》
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作者：
Guanghui Huang, Jianping Wan, Cheng Chen
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
In order to protect brokers from customer defaults in a volatile market, an active margin system is proposed for the transactions of margin lending in China. The probability of negative return under the condition that collaterals are liquidated in a falling market is used to measure the risk associated with margin loans, and a recursive algorithm is proposed to calculate this probability under a Markov chain model. The optimal maintenance margin ratio can be given under the constraint of the proposed risk measurement for a specified amount of initial margin. An example of such a margin system is constructed and applied to $26,800$ margin loans of 134 stocks traded on the Shanghai Stock Exchange. The empirical results indicate that the proposed method is an operational method for brokers to set margin system with a clearly specified target of risk control.
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PDF链接：
https://arxiv.org/pdf/1101.3974
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