中小企业股权质押融资产品的定价研究

Small and medium enterprises (SMEs) have been playing an important role in the process of transferring China's economic growth modes. Currently, difficulty in financing is an important factor that is blocking the development of SMEs. As a financial innovation service of China's banking industry, share pledged loans facilitate the process of SMEs raising funds. These domestic financial institutions always adopt an approach with high barriers and low LTV(loan-to-value) ratio to manage risk for stock pledged loans, which greatly increases the financing costs of SMEs. At present, all academic literatures on the valuation of stock loans are concerned about the borrower's credit risk and neglect the collateral's liquidity risk. Also, the results in these literatures have a limited application to SME share pledged financing products in China. Therefore, in this project, we will analyze the characteristics of SME shares and corresponding share pledged financing products, and then establish pricing models for domestic SME share pledged financing products with typical clauses, such as the clause with revolving periods or restricted shares as collateral, or the clause that a lender has a right to terminate the loan at any time, if liquidity risk of SME pledged shares is considered. In the meantime, rational LTV ratio and dynamic relationship among key parameters on risk management will be derived. Research from this project will promote the development of contingent claim valuation with liquidity risk, provide technical and theoretical support of SME share pledged financing product designing and corresponding risk management for financial institutions, and potentially provide technical support of easing SME financing difficulties in China.

中小企业是我国转变经济增长方式的重要力量，却一直面临着融资难等问题。股权质押融资作为一项金融创新，为中小企业的短期融资提供了便利。金融机构一般采用低质押率和高警戒线的方式对该业务进行风险管理，这增加了中小企业的融资成本。目前国内外学者主要围绕股票质押贷款开展定价研究，这些研究只关注了借款人的违约风险，而忽视了质押物的流动性风险。本项目将结合我国中小企业股权质押融资产品的特点，在已有的工作基础上，应用金融工程、微分方程和随机分析等理论，考虑质押股权变现时的流动性风险，针对含宽限期、股权锁定期和贷款方可提前终止合约等条款，构建中小企业股权质押融资产品的定价模型，确定其合理的质押率，并建立核心风险控制指标间的动态关系。本项目的研究不仅将丰富流动性风险下衍生品的定价理论和方法，而且为我国中小企业股权质押融资产品的设计和风险管理提供理论和决策依据，同时为缓解中小企业融资难提供潜在的技术支持。

作为金融创新产品，股权质押融资可降低中小企业的融资成本，其质押率是实务界最关注的风控指标。已有理论研究大多从金融机构利益的角度讨论该业务质押率，实际金融机构又采用简单分档质押率形式进行风险管理。目前，无论理论研究和实务操作层面都采用以金融机构为主导的固有分析框架，而忽视资金融入方的需求。本项目从资金融入方角度，建立不同情景和不同合约条款下股权质押融资产品的理论定价模型以及其核心风险管理参数间的均衡关系。对金融机构而言，本项目给出的理论质押率是该业务质押率的上限，核心风险管理指标间的均衡关系是其针对不同质押股权设计合约条款的技术依据。本项目研究内容主要有：可提前偿还条款下股权质押融资产品的定价；含锁定期和宽限期条款的股权质押融资产品定价；含警戒线和平仓线的股权质押融资产品定价；研究交易对手风险下质押融资产品定价。为将理论结果应用到实际，项目组根据实证分析结果设计出质押率组合模式以满足金融机构的不同风险管理目标，并在数据分析和宏观经济分析方面进行了相关扩展研究。本项目研究结果表明该业务质押率和借贷双方决策会受到合约条款不同程度的影响。如果合约可展期，那么借款方采用补充股权的展期条款可降低融资成本。在含警戒线和平仓线的情形下：如果借款方是现金补仓，那么理论质押率与分档质押率有相同的风险覆盖能力；如果借款方采用股票补仓，那么理论质押率低于分档质押率的风险覆盖能力。总之，项目组结合我国股权质押融资产品的特点，构建了以资金融入方为研究视角的理论分析框架，并在不同合约条款下开展了一系列研究工作，这些研究结果为金融机构设计股权质押融资产品和风险管理提供了理论和技术支持。