Estimating VaR Based on Copulas of the Price Risk in InventoryFinancing

摘要

The most important one in inventory financing is the value risk wherein the price risk plays an important role. In this study, the price risk is equivalent to the structure risk of a portfolio if the pledges are assumed to be fixed. In order to make a quantitative analysis on the price risk of the pledge combination in inventory financing, the article adopts the Copula theory to build the calculation models of the VaR on the price risk of inventory financing business; meanwhile it uses the Monte Carlo method to simulate the process to obtain the calculation results - the VaR of the price risk of the pledge combination in inventory financing. The quantitative analysis method above provides a measurement basis for commercial banks, logistics enterprise and other stakeholders to make better decisions.