存貨組合質(zhì)押業(yè)務(wù)的質(zhì)物價(jià)值波動(dòng)風(fēng)險(xiǎn)防控研究
發(fā)布時(shí)間：2019-02-15 23:07
【摘要】：近幾年來,中小企業(yè)融資難一直是人們關(guān)注的焦點(diǎn),許多小企業(yè)因缺少急需的資金導(dǎo)致發(fā)展止步不前。而商業(yè)銀行傳統(tǒng)業(yè)務(wù)出現(xiàn)了飽和,并且由于受到互聯(lián)網(wǎng)大潮的沖擊,競爭加劇,迫切需要開發(fā)出新的業(yè)務(wù)模式。隨著我國加入WTO,我國物流行業(yè)對外開放,獲得了快速發(fā)展。同時(shí),外資物流企業(yè)的先進(jìn)經(jīng)營模式與理念給本土企業(yè)帶來了挑戰(zhàn)。在這時(shí)代背景下,商業(yè)銀行,物流業(yè),中小企業(yè)三方產(chǎn)生了交集,物流金融服務(wù)作為一種全新的服務(wù)引起了人們的關(guān)注。存貨組合質(zhì)押貸款業(yè)務(wù)是該服務(wù)中的核心業(yè)務(wù)。它將傳統(tǒng)的存貨質(zhì)押與投資組合思想結(jié)合起來,能夠降低業(yè)務(wù)運(yùn)行的各種風(fēng)險(xiǎn)。其中最主要的風(fēng)險(xiǎn)便是價(jià)格風(fēng)險(xiǎn)。因此如何精確的控制價(jià)格波動(dòng)帶來的風(fēng)險(xiǎn),對于銀行業(yè)來說至關(guān)重要。本文站在銀行角度,對存貨質(zhì)押組合的設(shè)計(jì)與定價(jià)進(jìn)行分析。本文首先介紹了研究背景,研究意義以及國內(nèi)外研究動(dòng)態(tài)。第二部分介紹存貨質(zhì)押融資理論與Copula函數(shù)及其混合連接模型的基本概念,該部分是實(shí)證分析的理論基礎(chǔ)。第三部分為全文的核心。首先,該部分闡述了模型的構(gòu)建思路,進(jìn)行了參數(shù)估計(jì),函數(shù)選擇方法的說明,其次進(jìn)行了實(shí)證分析。在邊緣分布的估計(jì)方法上,本文選擇了適用于金融時(shí)間序列分析的EGARCH模型,在資產(chǎn)的聯(lián)合分布的估計(jì)上,本文使用了GumbelCopula函數(shù)與ClaytonCopula函數(shù)混合的MixCopula函數(shù)作為模型進(jìn)行參數(shù)估計(jì),并與單一的Copula函數(shù)(包括Gumbel、Clayton、Frank函數(shù))進(jìn)行了比較,最后使用蒙特卡羅模擬的方法計(jì)算出Va R值,并進(jìn)行了比較。第四部分給出了本文的結(jié)論,并提出了建議與展望。本文通過研究發(fā)現(xiàn),使用混合Copula函數(shù)估計(jì)聯(lián)合分布得出的VaR結(jié)果與單一Copula函數(shù)、傳統(tǒng)方法得出的VaR結(jié)果相比,數(shù)值更加精確,更加有利于金融機(jī)構(gòu)避免質(zhì)押物價(jià)格波動(dòng)帶來的潛在風(fēng)險(xiǎn)。本文的著力點(diǎn)在于將混合Copula函數(shù)應(yīng)用到存貨質(zhì)押貸款組合領(lǐng)域,在眾多的模型中選擇一種相對更加精確的風(fēng)險(xiǎn)控制方法。研究結(jié)果將給存貨質(zhì)押組合價(jià)格風(fēng)險(xiǎn)的防范提供一種更為妥善的解決方案。
[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.
【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】：2017
【分類號(hào)】：F832.4
[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.
【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】：2017
【分類號(hào)】：F832.4
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