Research On Impawn Rate Of Inventory Financing Under Liquidity Risk

In recent years, with the pace of financial reform, the structure of the capital market is gradually improving. For the commercial banks, disintermediation trend of high-end customers is more and more obvious. On the other hand, issuance of small business credit is still like skating on thin ice. As social financing intermediary and payment intermediary, the status of banks has been unprecedented challenged. The development of new markets, profit model innovation and risk management technology is imminent.Therefore, it is of great theoretical significance and practical value for the commercial banks in the modern supply chain finance business to find more efficient market risk control solutions. This paper provides a market risk control model by applying the mature risk measurement method in the financial markets to the risk characteristics study of inventory market, and then the impawn rate model of inventory financing is given.In this paper, we consider the feature of autocorrelation, leptokurtosis and fat-tails of the returns and liquidity risk when building the market risk measurement model of the inventory financing. Then we chose representative samples to test the result of the impawn rate based on the AR-GARCH-La-VaR model.In addition, in order to compare prediction accuracy of different risk factor models, we did the same empirical test on the VaR model without the liquidity risk or the La-VaR model without the feature of autocorrelation, leptokurtosis and fat-tails to compare influence of the two factors when setting the impawn rate. Afterwards we selected the other kinds of bulk stock spot data for comparative analysis, and further tested the applicability of AR-GARCH-La-VaR to inventories with different liquidity characteristics.As the empirical results show, in the short or medium term, the back test result of the AR-GARCH-La-VaR model is significantly better than the result of the other two models. Considering the liquidity risk factors and the feature of autocorrelation, leptokurtosis and fat-tails both improve the accuracy significantly. In general, after testing the three kinds of standard inventory, the back testing results of the impawn rate are all reasonable. By description of the risk of the liquidity risk and the feature of autocorrelation, leptokurtosis and fat-tails, it can provide a more accurate risk measurement for the banks.