基于VaR的新三板企业股权质押率分析—以枫盛阳(430431)为例

Analysis of Loan-to-Value Raito for NEEQ Companies Based on VaR—A Case Study of Fengshengyang (430431)

摘要: 股权质押贷款是新三板企业主要的债务融资方式，质押率的大小直接反映了股权质押贷款中的风险暴露程度。以新三板挂牌企业枫盛阳(430431)为例，采用VaR方法计算其质押率并通过模拟贷款分析击穿频率，判断质押率上限(30%)设定的合理性；在此基础上，以三板做市(899002)代表整个市场，对比枫盛阳(430431)与三板做市(899002)的击穿频率，分析个体企业和市场总体的差异。研究发现，模拟贷款期限越短VaR值越小，使得质押率越高，击穿频率越高；反之亦然。确定股权质押率时不仅要考虑市场的情况，还需要对所属行业企业资质进行针对性分析考虑。

Abstract: Stock loan is a main financial access of debt type for SMEs in the NEEQ market, and the loan-to- value ratio reflects the risk exposure of stock loan. Using Fengshengyang (430431) as the case of NEEQ companies for analysis, this paper calculates loan-to-value ratio based on VaR, and gets the breakdown frequency by simulating loans, which in turn tests the rationality of the maximum ratio of 30% of stock loan. Considering NEEQ component index (899002) as the representative of the whole NEEQ market, the breakdown frequency of Fengshengyang (430431) and NEEQ component index (899002) are compared to find the difference between a specific company and the whole market. The results show that the shorter the term of simulating loans, the smaller the VaR value is, which makes both the loan-to-value ratio and the breakdown frequency higher; and versa oth-erwise. To determine the loan-to-value ratio, not only the market situation, but also specific factors of industry and enterprise are needed to be considered.