Journal of Northeastern University Natural Science ›› 2015, Vol. 36 ›› Issue (2): 292-296.DOI: 10.12068/j.issn.1005-3026.2015.02.030

• Management Science • Previous Articles     Next Articles

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
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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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