存货组合质押业务的质物价值波动风险防控研究

发布时间：2019-02-15 23:07

【摘要】：近几年来,中小企业融资难一直是人们关注的焦点,许多小企业因缺少急需的资金导致发展止步不前。而商业银行传统业务出现了饱和,并且由于受到互联网大潮的冲击,竞争加剧,迫切需要开发出新的业务模式。随着我国加入WTO,我国物流行业对外开放,获得了快速发展。同时,外资物流企业的先进经营模式与理念给本土企业带来了挑战。在这时代背景下,商业银行,物流业,中小企业三方产生了交集,物流金融服务作为一种全新的服务引起了人们的关注。存货组合质押贷款业务是该服务中的核心业务。它将传统的存货质押与投资组合思想结合起来,能够降低业务运行的各种风险。其中最主要的风险便是价格风险。因此如何精确的控制价格波动带来的风险,对于银行业来说至关重要。本文站在银行角度,对存货质押组合的设计与定价进行分析。本文首先介绍了研究背景,研究意义以及国内外研究动态。第二部分介绍存货质押融资理论与Copula函数及其混合连接模型的基本概念,该部分是实证分析的理论基础。第三部分为全文的核心。首先,该部分阐述了模型的构建思路,进行了参数估计,函数选择方法的说明,其次进行了实证分析。在边缘分布的估计方法上,本文选择了适用于金融时间序列分析的EGARCH模型,在资产的联合分布的估计上,本文使用了GumbelCopula函数与ClaytonCopula函数混合的MixCopula函数作为模型进行参数估计,并与单一的Copula函数(包括Gumbel、Clayton、Frank函数)进行了比较,最后使用蒙特卡罗模拟的方法计算出Va R值,并进行了比较。第四部分给出了本文的结论,并提出了建议与展望。本文通过研究发现,使用混合Copula函数估计联合分布得出的VaR结果与单一Copula函数、传统方法得出的VaR结果相比,数值更加精确,更加有利于金融机构避免质押物价格波动带来的潜在风险。本文的着力点在于将混合Copula函数应用到存货质押贷款组合领域,在众多的模型中选择一种相对更加精确的风险控制方法。研究结果将给存货质押组合价格风险的防范提供一种更为妥善的解决方案。
[Abstract]:In recent years, the financing difficulties of small and medium-sized enterprises have been the focus of attention. The traditional business of commercial banks is saturated, and because of the impact of the Internet tide, competition intensifies, it is urgent to develop a new business model. With China's entry into WTO, China's logistics industry has developed rapidly. At the same time, the advanced management mode and concept of foreign logistics enterprises bring challenges to local enterprises. In this background, commercial banks, logistics industry, small and medium-sized enterprises have a tripartite intersection, logistics financial services as a new service has attracted people's attention. Inventory portfolio pledge loan business is the core business of this service. It combines the traditional inventory pledge with portfolio thinking and can reduce the risk of business operation. The most important risk is the price risk. Therefore, how to accurately control the risk of price fluctuations is crucial to the banking industry. From the perspective of banks, this paper analyzes the design and pricing of inventory pledge portfolio. This paper first introduces the research background, research significance and research trends at home and abroad. The second part introduces the basic concepts of inventory pledge financing theory, Copula function and its mixed connection model, which is the theoretical basis of empirical analysis. The third part is the core of the paper. First of all, this part describes the idea of model construction, parameter estimation, function selection method, followed by empirical analysis. In the method of edge distribution estimation, this paper selects the EGARCH model suitable for financial time series analysis. In the estimation of joint distribution of assets, we use the MixCopula function mixed with GumbelCopula function and ClaytonCopula function as the parameter estimation model. It is compared with a single Copula function (including Gumbel,Clayton,Frank function). Finally, the value of Va R is calculated by Monte Carlo simulation and compared. The fourth part gives the conclusion of this paper, and puts forward some suggestions and prospects. In this paper, it is found that the VaR result obtained by using mixed Copula function to estimate the joint distribution is more accurate than that obtained by the single Copula function and the VaR result obtained by the traditional method. More conducive to financial institutions to avoid collateral price fluctuations in the potential risk. The focus of this paper is to apply the mixed Copula function to the portfolio of inventory pledge loans and to choose a more accurate risk control method in many models. The research results will provide a better solution to the risk prevention of inventory pledge portfolio price risk.
【学位授予单位】：云南师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.4

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