本文選題：存貨質(zhì)押融資 + 相關(guān)性�。� 參考：《云南師范大學(xué)》2013年碩士論文

【摘要】：目前,各大小商業(yè)銀行之間的競爭愈演愈烈,逐漸促使各家銀行開發(fā)出了多種融資業(yè)務(wù),而存貨質(zhì)押融資就是我國供應(yīng)鏈融資中最為重要的業(yè)務(wù)模式之一,但由于許多銀行的存貨質(zhì)押融資質(zhì)押物主要還是單一品種，特別是以鋼材為主，在最近鋼材價格下跌的情況下，給銀行帶來了很大的風(fēng)險。 從現(xiàn)有實務(wù)和理論研究來看,存貨質(zhì)押融資風(fēng)險管理一直是制約其發(fā)展的關(guān)鍵。而存貨質(zhì)押融資的風(fēng)險度量是其風(fēng)險管理的重要環(huán)節(jié)。存貨質(zhì)押融資業(yè)務(wù)中,質(zhì)押物的選擇是最為重要的。在確定質(zhì)物后,質(zhì)押物的價值風(fēng)險就成為銀行開展該融資業(yè)務(wù)中最為關(guān)注的風(fēng)險。而作為質(zhì)押物價值的最直觀的表現(xiàn)就是質(zhì)押物的價格,質(zhì)押物價格的隨機波動與多種質(zhì)物的同時存在,亦使得風(fēng)險度量難度加大。 本文首先以單一質(zhì)物為例，通過VaR(Value at Risk, VaR)模型，進行單一質(zhì)物價格風(fēng)險的衡量。并在此基礎(chǔ)上,本文運用歷史模擬法(Historicalsimulation)分R%計算兩類不同相關(guān)性質(zhì)物的價格風(fēng)險值(Individual VaR),以及由兩類不同相關(guān)性質(zhì)物組成的質(zhì)押組合的價格風(fēng)險(Portfolio VaR),以此來對比分析單一質(zhì)物和不同相關(guān)性質(zhì)物組合的價格風(fēng)險，，為商業(yè)銀行提供了一種存貨質(zhì)押價格風(fēng)險控制策略。
[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.
【學(xué)位授予單位】：云南師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.5;F224

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