Research On The Risk Management Of Stock Mortgage Loans In Commercial Banks

This essay uses the VaR method to calculate pledge rates, and chooses the stocks in Shanghai Stock Exchange 180 constituent index and Shenzhen 100 constituent index to conduct empirical analysis. Taking into consideration that the loan period of stock mortgage loans can be extended, this essay calculates each stock's pledge rates under different loan periods. According to the research results, this essay then proposes suggestions to modify the model and re-calculate each stock's pledge rates with the modified model.