不同“融资铜”模式的风险识别与警示

发布时间：2018-04-20 03:00

本文选题：融资铜模式 + 风险识别　；参考：《中国管理科学》2015年08期

【摘要】：针对现实中防范"融资铜"风险的需要,本文归纳提炼出三种不同的"融资铜"模式,并就其操作过程中所面临的利率风险、人民币价格波动风险和标的物价格波动风险及其联动性进行深入剖析;采用GARCH-Copula模型,利用上述风险的收益数据及风险因子数据(2011年5月至2014年4月)对单一风险及综合风险进行识别与模拟,对不同模式中综合风险分布进行对比分析,根据在险价值做出警示。结果表明:"融资铜"是一种套利行为,其综合风险收益具有右偏特性,并明显呈现出尖峰厚尾的风险分布特征,相同置信水平下在险价值显著高于单一风险在险价值;其存在极值损失,发生极值损失对企业自身及金融系统会造成严重影响,因此相关监管机构必须对"融资铜"加以重视并实施控制,以引导资金回归实体经济之中。
[Abstract]:In view of the need to guard against the risk of "financing copper" in reality, this paper sums up three different modes of "financing copper" and analyzes the interest rate risk in the course of its operation. The risk of RMB price fluctuation and the risk of subject-matter price fluctuation and their linkage are deeply analyzed. GARCH-Copula model is adopted. Using the above risk return data and risk factor data (from May 2011 to April 2014) to identify and simulate the single risk and the comprehensive risk, compare and analyze the distribution of the integrated risk in different models, and make a warning according to the value of risk. The results show that "financing copper" is a kind of arbitrage behavior, its comprehensive risk return has the characteristic of right deviation, and obviously presents the risk distribution characteristic of peak and thick tail, the value of risk at the same confidence level is significantly higher than that of the value at risk of a single risk; Due to the existence of extreme value loss, the occurrence of extreme value loss will seriously affect the enterprise itself and the financial system. Therefore, the relevant regulators must attach importance to "financing copper" and control it in order to guide the capital to return to the real economy.
【作者单位】：昆明理工大学管理与经济学院;上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金资助项目(71462021) 云南省应用基础研究计划面上项目(2014FB135)
【分类号】：F426.32;F752.61;F832.6

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