Estimation Of Price Risk Of Portfolio Of Pledged Inventory

The inventory finance business is one of the most typical and important operation models of logistics Finance. And the extremely important precondition of this model is risk controlling, especially the risk caused by the price fluctuating. Copper and rubber are taken as the sample to do a research of how to measure the risk and how to make the pledging rate in this thesis. In order to prove the efficiency of inventory finance and control the risk.The research indicates that the price of copper and rubber, fluctuated randomly in the past, are not normally ditributed. Using the empirical method’s pledge rate, which is70%, would cause the lower risk for the bank, but higher efficiency loss for the loan company. By calculating, with the loan period of twelve months, the maximum efficiency loss reaches93.24%. And the efficiency losses are closed within the loan period of three, six and nine.The conceptions of VaR (Value at Risk) have been used in this thesis in order to calculate the price risk accurately, and make the pledge rate more effectively. This thesis calculated the individual VaR of copper and rubber, and the portfolio, including copper and rubber, VaR under different conditions using Historical Simulation, and then compared the results with the review test. In this thesis, the traditional pledging model is modified by adding a new cost variable, the cost of funds, which is calculated by using CAPM. Finally making the reasonable pledge rates and comparing the results under different conditions.The result shows that, while using the Historical Simulation, under the condition of twelve months loan period, observation of historical data is250, confidence level are99%and95%, the results can pass the review test. The pledge rates made in this way (using individual VaR and portfolio VaR) would cause the lower efficiency loss and higher risk, but the decreasing rate of efficiency loss is higher than increasing rate of risk comparing with empirical method. While using portfolio VaR, the pledge rates cause the lower efficiency loss and higher risk, but the decreasing rate of efficiency loss is higher than increasing rate of risk comparing with individual VaR, which indicates that both individual VaR and Portfolio VaR method using Historical simulation are,better than empirical method when calculate the pledging rate, and portfolio VaR method is better than individual VaR method.