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An active margin system for margin loans is proposed for Chinese marginlending market, which uses cash and randomly selected stock as collateral. Theconditional probability of negative return(CPNR) after a forced sale ofsecurities from under-margined account in a falling market is used to measurethe risk faced by the brokers, and the margin system is chosen under theconstraint of the risk measure. In order to calculate CPNR, a recursivealgorithm is proposed under a Markov chain model, which is constructed bysample learning method. The resulted margin system is an active system, whichis able to adjust actively with respect to the changes of stock prices and thechanges of different collateral. The resulted margin system is applied to30,000 margin loans of 150 stocks listed on Shanghai Stock Exchange. Theempirical results show the number of margin calls and the average costs of theloans under the proposed margin system are less than their counterparts underthe system required by SSE and SZSE.

Active margin system for margin loans and its application in Chinese market: using cash and randomly selected stock as collateral