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摘要翻译：
本文研究了以现金和股票为抵押的融资融券的保证金制度，它是券商防范融资融券风险的一道防线。将负收益的条件概率作为风险测度，并在马尔可夫链模型下提出了实现该测度的递推算法。最优保证金制度是从满足风险度量约束的系统中选择出来的。由此产生的保证金制度能够根据股票价格的变化进行主动调整。本文将上海证券交易所要求的融资融券制度与建议的融资融券制度进行了比较，调查了在上交所上市的126只股票的25,200笔融资融券。研究发现，在建议的保证金制度下，就相同风险水平而言，保证金通知的次数明显少于在所需制度下的次数，而在两种保证金制度下，贷款的平均成本相若。
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英文标题：
《Active margin system for margin loans using cash and stock as collateral
and its application in Chinese market》
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作者：
Guanghui Huang, Weiqing Gu, Wenting Xing, Hongyu Li
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最新提交年份：
2012
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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：
Margin system for margin loans using cash and stock as collateral is considered in this paper, which is the line of defence for brokers against risk associated with margin trading. The conditional probability of negative return is used as risk measure, and a recursive algorithm is proposed to realize this measure under a Markov chain model. Optimal margin system is chosen from those systems which satisfy the constraint of the risk measure. The resulted margin system is able to adjust actively with respect to the changes of stock prices. The margin system required by the Shanghai Stock Exchange is compared with the proposed system, where 25,200 margin loans of 126 stocks listed on the SSE are investigated. It is found that the number of margin calls under the proposed margin system is significantly less than its counterpart under the required system for the same level of risk, and the average costs of the loans are similar under the two types of margin systems.
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PDF链接：
https://arxiv.org/pdf/1202.5180
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