存货质押融资中螺纹钢风险价值的控制

doi:10.12068/j.issn.1005-3026.2015.02.030

东北大学学报:自然科学版 ›› 2015, Vol. 36 ›› Issue (2): 292-296.DOI: 10.12068/j.issn.1005-3026.2015.02.030

存货质押融资中螺纹钢风险价值的控制

黄云飞，庄新田，王莎莎，李晓青

(东北大学工商管理学院，辽宁沈阳110819)

收稿日期:2013-12-20 修回日期:2013-12-20 出版日期:2015-02-15 发布日期:2014-11-07
通讯作者: 黄云飞
作者简介:黄云飞(1970-)，男，上海人，东北大学博士研究生；庄新田(1956)，男，吉林四平人，东北大学教授，博士生导师.
基金资助:
国家自然科学基金资助项目(71171042，71101024).

Control of VaR of Rebar in Inventory Financing

HUANG Yun-fei， ZHUANG Xin-tian， WANG Sha-sha， LI Xiao-qing

School of Business Administration， Northeastern University， Shenyang 110819， China.

Received:2013-12-20 Revised:2013-12-20 Online:2015-02-15 Published:2014-11-07
Contact: ZHUANG Xin-tian
About author:-
Supported by:
-

摘要/Abstract

摘要： 针对钢材市场中存货质押融资业务的价格风险问题，以螺纹钢现货的价格为样本数据，采用经验值方法计算风险率与效率损失率，并与基于VaR历史模拟法的计算结果进行比较.结果表明，样本期间长度的选择对历史模拟法计算结果的优劣有一定影响，历史模拟法适合短期限的存货质押融资贷款.用回顾测试对计算结果进行检验，表明用VaR方法设定的质押率对控制螺纹钢价格风险更有效.

关键词: 风险价值(VaR), 存货质押融资, 价格风险控制, 质押率

Abstract: Aiming at the price risk of inventory financing in steel market， the prices of rebar were selected as the sample data to calculate the risk rate and efficiency loss rate based on empirical values. The results calculated using the empirical values were compared with that using the historical simulation method based on the values at risk(VaR)，and it was found that the length of sample period affected the performance of calculation result of historical simulation method. The historical simulation method was suitable for inventory financing in short term. The back testing of the calculation results shows that pledge rate determined by VaR is more effective on the control over the price risk.

Key words: value at risk, inventory financing, price risk control, pledge rate

中图分类号:

F830

黄云飞，庄新田，王莎莎，李晓青. 存货质押融资中螺纹钢风险价值的控制[J]. 东北大学学报:自然科学版, 2015, 36(2): 292-296.

HUANG Yun-fei， ZHUANG Xin-tian， WANG Sha-sha， LI Xiao-qing. Control of VaR of Rebar in Inventory Financing[J]. Journal of Northeastern University Natural Science, 2015, 36(2): 292-296.

参考文献

[1]Wright J F.Accounting:inventory-based lending［J］.Commercial Lending Review，1988，4(3):97-99.
[2]Holdren D P，Hoilingshead C A.Differential pricing of industrial services:the case of inventory financing［J］.Jounral of Business & Industrial Marketing，1999，14(1):7-16.
[3]Buzacott J A，Zhang R Q.Inventory management with asset-based financing［J］.Management Science，2004，24:1274-1292.
[4]Barsky N P，Catanach A H.Evaluating business risks in the commercial lending decision［J］.Commercial Lending Review，2005，20(3):3-10.
[5]Mann R J.Explaining the pattern of secured credit［J］.Harvard Law Review，1997，110(3):625-683.
[6]MacDonald R S.Avoid losses in industrial inventory loans［J］.The Secured Lender，2006(4):12-39.
[7]Neville G.Inventory financing:everything you need to know but were too afraid to ask［J］.The Secured Lender，2008(2):46-50.
[8]李毅学.基于金融系统工程的物流金融风险识别分析［J］.华东经济管理，2011，25(10):35-39.(Li Yi-xue.Risk identification of logistics finance based on financial systems engineering［J］.East China Economic Management，2011，25(10):35-39.)
[9]何娟，蒋祥林，朱道立，等.供应链融资业务中钢材质押贷款动态质押率设定的VaR方法［J］.管理工程学报，2012，26(3):129-135.(He Juan，Jiang Xiang-lin，Zhu Dao-li，et al.VaR models for setting dynamic impawn rate of steel in inventory financing of supply chain finance［J］.Journal of Industrial Engineering and Engineering Management，2012，26(3):129-135.)
[10]李毅学，汪寿阳，冯耕中.物流金融中季节性存货质押融资质押率决策［J］.管理科学学报，2011，14(11):19-32.(Li Yi-xue，Wang Shou-yang，Feng Geng-zhong.Decision of loon-to-calue katios of seasonal invention/pledge financing based on logistics finance［J］.Journal of Management Sciences in China，2011，14(11):19-32.)
[11]袁光珮.物流金融参与主体间联合最优决策分析［J］.财经问题研究，2011，334(9):100-107.(Yuan Guang-pei.The joint optimal decision analysis on main participation of logistics finance［J］.Research on Financial and Economic Issues，2011，334(9):100-107.)
[12]于辉，甄学平.先票后货物流金融模式下生产商融资决策模型［J］.系统工程理论与实践，2013，33(7):1709-1716.(Yu Hui，Zhen Xue-ping.The model of manufacturer’s financial decision based on chattel mortgage after acceptance［J］.Systems Engineering—Theory & Practice，2013，33(7):1709-1716.)

存货质押融资中螺纹钢风险价值的控制

Control of VaR of Rebar in Inventory Financing

RichHTML

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 1

编辑推荐

Metrics

本文评价