VaR模型下的存货组合质押融资风险管理研究

发布时间：2018-05-19 10:25

本文选题：存货质押融资 + 相关性　；参考：《云南师范大学》2013年硕士论文

【摘要】：目前,各大小商业银行之间的竞争愈演愈烈,逐渐促使各家银行开发出了多种融资业务,而存货质押融资就是我国供应链融资中最为重要的业务模式之一,但由于许多银行的存货质押融资质押物主要还是单一品种，特别是以钢材为主，在最近钢材价格下跌的情况下，给银行带来了很大的风险。从现有实务和理论研究来看,存货质押融资风险管理一直是制约其发展的关键。而存货质押融资的风险度量是其风险管理的重要环节。存货质押融资业务中,质押物的选择是最为重要的。在确定质物后,质押物的价值风险就成为银行开展该融资业务中最为关注的风险。而作为质押物价值的最直观的表现就是质押物的价格,质押物价格的随机波动与多种质物的同时存在,亦使得风险度量难度加大。本文首先以单一质物为例，通过VaR(Value at Risk, VaR)模型，进行单一质物价格风险的衡量。并在此基础上,本文运用历史模拟法(Historicalsimulation)分R%计算两类不同相关性质物的价格风险值(Individual VaR),以及由两类不同相关性质物组成的质押组合的价格风险(Portfolio VaR),以此来对比分析单一质物和不同相关性质物组合的价格风险，，为商业银行提供了一种存货质押价格风险控制策略。
[Abstract]:At present, the competition between different commercial banks is becoming more and more intense, which makes each bank develop a variety of financing business, and inventory pledge financing is one of the most important business models in the supply chain financing of our country. However, because many banks' inventory pledge financing pledge is mainly a single variety, especially the steel, in the recent steel price decline, the banks have brought great risks. From the current practice and theoretical research, inventory pledge financing risk management has been the key to restrict its development. The risk measurement of inventory pledge financing is an important part of risk management. In the financing of inventory pledge, the choice of pledge is the most important. After the pledge is determined, the value risk of the pledge becomes the most concerned risk in the financing business of the bank. The most intuitive expression of the value of pledge is the price of pledge. The random fluctuation of pledge price and the existence of many kinds of pledge make it more difficult to measure the risk. In this paper, the price risk of single quality is measured by VaR(Value at Risk, VaR) model. And on this basis, In this paper, the historical simulation method is used to calculate the price risk value of two different kinds of correlated materials in R% and the price risk portfolio VaRN of two kinds of different kinds of correlated goods, so as to compare and analyze the single quality and the non-property. The paper also uses the historical simulation method to calculate the price risk of the two kinds of different kinds of correlated goods, and to compare and analyze the price risk of the two kinds of different kinds of correlated goods. The price risk associated with a combination of related materials, This paper provides a kind of risk control strategy for inventory pledge price for commercial banks.
【学位授予单位】：云南师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.5;F224

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