我国新三板企业股权质押融资的风险评价

针对我国新三板市场的发展情况及新三板企业的自身特征,选择工业、信息技术和材料三个行业,采用PFM模型和VaR模型分别对新三板企业股权质押融资的违约风险和市场风险进行了实证分析.研究结果表明,PFM模型对于新三板企业违约风险度量具有较强的适用性,用VaR度量的股权质押融资的市场风险及其质押率与市场实际操作基本一致.从行业均值来看,新三板工业行业的违约风险和市场风险均为最小,信息技术行业的两者次之,材料行业则都最大.但是,进一步研究并未发现新三板企业股权质押融资的市场风险与违约风险存在显著的相关性.因此,股权质押融资风险主要来源于市场波动,企业经营状况对其没有直接影响.研究结果为新三板企业股权质押融资的风险防范提供了理论借鉴.

Risk Evaluation for Equity Pledge Financing of NEEQ Enterprises in China

According to the development of NEEQ market and the characteristics of NEEQ enterprises in China, with samples chosen from sectors such as industry, information technology and materials, empirical analyses for equity pledge financing of NEEQ enterprises were made separately on the default risk by the PFM model and the market risk by the VaR method. The results show that the PFM model has certain applicability to the default risk measurement of the NEEQ enterprises, while the market risk of equity pledge financing measured by VaR and the corresponding loan-to-value ratio are consistent with the reality operation. Both the default risk and market risk of the industry are the smallest, as well as that of the information technology is the second and the material is the largest. However, there is no obvious correlation between the market risk and the default risk for the equity pledge financing of NEEQ enterprises, indicating that the equity pledge risk is not directly related to the operating conditions so that mainly reflected in the market risk. The research finding provides theoretical evidence for risk control of equity pledge financing of NEEQ enterprises.