The Study Of Risk Measurement Of Inventory Financing Market Based On Quantile Regression

In recent years,the innovation of logistics and supply chain finance has got certain development in China’s logistics industry and the financial industry.It is a type of innovation model about business integration among the bank,logistics enterprises and enterprises and it is already a new economic growth point of much potential in production.While the inventory financing is the core form ofthe innovation mode, so this paper is to study of market risk of the inventory financing.First,this paper elaborates the concept of inventory financing, the mode of operation and risk, and conduct descriptive statistics and feature study about logarithmic returns of the pledge sample.Finally found that the data has the feature Of hordes of fluctuation,does’t obey normal distribution and have a character of stability. These can provide the basis for the choice Of measurement method.After studying market risk of the inventory financing,this paper does further quantitative research.Currently,VaR method is the most common method used for the measurement of market risk.VaR is the biggest loss value of all of the holding assets or combinations in the certain future,under normal market situation. This method is simple and only uses a specific number of future value represent future risk, so it is easy to analysis and research for managers,but because of the complexity of the actual financial market, and in recent years the frequent international financial crisis,Simple VaR method has not the ability to measure market risk fully and accurately.So for research methods,this paper adopts quantile regression to calculate VaR value.According to the above mentioned definition of VaR,we can take VaR as a quantile of financial income distribution quantile regression doesn’t need to make a particular assumption of the distribution of hypothesis in a regression analysis;quantile regression can realizes to carry on regress analysis to different quantiles one by one,so it can provide a more comprehensive data analysis for the research,especially when abnormal points of the fitting appears in the data, it is much more important.This paper discusses the model of quantile regression,and uses it to calculate VaR value.In different confidence levels and different quantiles, this paper measures the market risk based on the model of quantile regression,and according to the VaR model,we can obviously find:The market risk of the system and non-system both have been reflected in the VaR model of quantile regression.