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

• 管理科学 • 上一篇    下一篇

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   

  1. (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   

  1. 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:-
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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

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