Estimating stock pledge rate using VaR and modified ES model

Kangsheng Tao, Bin Liu and Can Wang

Applied Economics Letters, 2024, vol. 31, issue 2, 139-145

Abstract: This study mainly focuses on the reasonable determination of the stock pledge rate in the A-share market. Based on the Value-at-Risk (VaR) and modified Expected Shortfall (ES) models, 137 sample stocks were used to measure the pledge rate of stocks. The breakdown times and breakdown probability were used to verify the validity of the two models. Firstly, the results indicate that the adjusted breakdown probability calculated by the two models is less than 5%, the two models are highly reliable in measuring the stock pledge rate. Secondly, the stock pledge rate measured by the modified ES model is more effective compared with the VaR model. Finally, the prediction results of modified ES are still robust under different warning lines and liquidation lines.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2022.2128289 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:31:y:2024:i:2:p:139-145

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2022.2128289

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().