融资融券的主动保证金制度及其在中国市场的应用：以现金和随机选择的股票作为抵押品
Active margin system for margin loans and its application in Chinese market: using cash and randomly selected stock as collateral
摘要：
针对我国融资融券市场，提出了一种以现金和随机选择的股票作为抵押品的主动融资融券制度。采用下跌市场中保证金不足账户强制卖出证券后的条件负收益概率（CPNR）度量经纪商面临的风险，并在风险度量约束下选择保证金制度。为了计算CPNR，提出了一种在马尔可夫链模型下的递归算法，该模型是用样本学习方法构造的。由此产生的保证金制度是一个主动的制度，能够对股票价格的变化和不同担保品的变化进行主动调整。最后，将该系统应用于上海证券交易所150只股票的3万笔融资融券交易。实证结果表明，与上交所和深交所要求的保证金制度相比，建议保证金制度下的追加保证金次数和平均贷款成本都要少。
英文摘要：
An active margin system for margin loans is proposed for Chinese margin lending market, which uses cash and randomly selected stock as collateral. The conditional probability of negative return(CPNR) after a forced sale of securities from under-margined account in a falling market is used to measure the risk faced by the brokers, and the margin system is chosen under the constraint of the risk measure. In order to calculate CPNR, a recursive algorithm is proposed under a Markov chain model, which is constructed by sample learning method. The resulted margin system is an active system, which is able to adjust actively with respect to the changes of stock prices and the changes of different collateral. The resulted margin system is applied to 30,000 margin loans of 150 stocks listed on Shanghai Stock Exchange. The empirical results show the number of margin calls and the average costs of the loans under the proposed margin system are less than their counterparts under the system required by SSE and SZSE.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
