STUDY OF STOCK PLEDGED REPO
TRANSACTION RISK MANAGEMENT
—— A CASE STUDY OF H SECURITIES
A Dissertation Submitted to
Southeast University
For the Academic Degree of Master of Business Administration
BY
SUN Xin-Qi
Supervised by
Associate Prof.TANG-Pan
Department of Economics and Management
Southeast University
MAY 2021
摘
要
券商股票质押式回购交易业务风险管理研究——以 H券商为例
研究生：孙心绮
导师：唐攀
学校：东南大学
摘要
近年来，随着我国经济的稳健发展，上市公司与日俱增，满足企业各类融资需求的
重要性也日益凸显，股票质押式回购业务已成为企业重要的融资方式之一，截止到 2019
年末，A股沪深两市上市公司共计 3777家，一方面是质押业务的市场体量庞大，另一
方面，质押业务的暴雷层出不穷，仅在 2019年就累计多达十余家券商对股票质押式回
购交易业务计提资产减值准备，总数额接近 10亿元。
本文通过统计分析法利用市场公开数据，分析全市场场内质押业务线现状，挖掘风
险点，以 H券商为例，通过对 H券商股票质押式回购业务的流程梳理与展示，从项目
发起到项目评审、项目交易、项目贷后管理，从各个维度对其风险管理架构进行剖析，
同时以实际案例为载体，通过蒙特卡洛模拟计算 VaR，进一步发掘 H券商股票质押式回
购交易业务中存在的问题，认为质押过程中存在对融入方的评价体系较为薄弱、资金来
源单一、对宏观政策变化反应不足、质押比例把控方式粗放等问题，建议完善股票质押
风险管理体系，主要包括基于 VaR方法建立动态报警机制，对项目参与人员加强管理，
风险责任细化，将区块链等新技术应用到风险管理体系之中，利用自身科技赋能的优势，
牵头打造金融行业的“黑名单共享平台”，及时对宏观政策的变化做出反应，严格管理创
业板的质押项目，丰富风险化解措施等。
在降杠杆、控风险、强监管、脱虚入实的大背景下，增强大局意识、风险意识、底
线意识、规范意识，以降风险、控规模、提质量为目标，打造业务特色，促进资本市场
健康发展。
关键词：风险管理股票质押风险
质押式回购业务
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东南大学工商管理硕士学位论文
STUDY OF STOCK PLEDGED REPO TRANSACTION RISK
MANAGEMENT—— A CASE STUDY OF H SECURITIES
Written by: SUN Xin-Qi
Supervised by: TANG-Pan
Southeast University
ABSTRACT
In recent years, with the rapid and steady development of economy in China, listed
companies arerisinglike mushrooms,and theimportance tosatisfy thefinancing
requirements of enterprise is also emerging increasingly. Stock pledged repo transaction has
become one of the important financing ways of enterprise, till the end of 2019, there have
been 3,777 listed companies for A-share in Shanghai and Shenzhen in total, on one hand,
there is large weight for the market of pledged business, while on the other hand, there are
also continuous problems for bad management of it, and in 2019, there were more than ten
brokers who had provision for impairment of assets more than one billion yuan for stock
pledged repo transaction.
By using statistical analysis method, this paper analyzes the current status of pledged
business lines to study the current market data with the aim to exploring the risk points in the
whole market. H brokerage is taken as the example. After sorting out and displaying the
process of H brokerage stock pledge repurchase business from project review, project
transaction, to project post-loan management, risk management structure is analyzed from
various dimensions, and actual cases are used as the carrier to explore the problems in the H
broker’s stock pledge repurchase transaction business, calculation of VaR by Monte Carlo
simulation.The results show that there are problems in the pledge process. For example, the
integration party’ s evaluation system is relatively weak, the source of funds is single.
Otherwise, there are problems like the lack of response to macro policy changes, and the
extensive control of the pledge ratio. Suggestions are put up like to improve the stock pledge
risk management system,establish dynamic alarm mechanism based on VaR method, which
mainlyincludesstrengtheningtheprojectparticipantsmanagement,detailingrisk
responsibilities, applying new technologies such as block chain to the risk management
system, pioneering in building a "blacklist sharing platform" in the financial industry by
making full use of its own technologies, responding to macro policy changes in time, strictly
managing the GEM pledge projects, and improving risk mitigation measures, etc.
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