The Study Of The Price Risk Measurement Of The Pledge Combination In Supply Chain Based On Copula

To a certain extent,supply chain finance To a certain extent can effectively solve the financing difficulties of small and medium enterprises in China,and the difficulties of bank lending difficulties.In the supply chain finance,the confirming warehouse financing mode and the inventory pledge financing mode are all used inventory as collateral as pledge to reduce the risk of the loan.Fluctuations in the price of the material will affect the changes of the ability to guarantee tin the future of the financing period,especially the extreme price fluctuations.Therefore,it is necessary to accurately measure the risk of price fluctuation of collateral which would guarantee the sustainable and healthy development of supply chain finance.The diversity and relevance of collateral put forward higher requirements for the risk management of commercial banks,and the impact of different quality price risk correlation on the price integration risk measurement is also cannot be underestimate.At the same time,the existing integrated risk measurement methods is based on the linear correlation of financial assets,and the fact of the stock pledge rate of return with "fat tail" feature indicate that it do not obey normal distribution,so we need to introduce a new theory and method to describe the nonlinear correlation between the pledge.In addition,inventory and other collateral liquidity is weak,which will have a longer period from risk identification to risk management,from the risk identification to the longer period of risk management,so the price risk decision of supply chain financial collateral portfolio lies in the long-term price risk prediction.Therefore,under the background of the diversification of pledge and the complication of market,considering the nonlinear correlation extraordinary and long term between different pledge price volatility,how to study deeply on the risk integration measurement of the price risk of the commercial bank's supply chain finance.Starting from the price risk identification of supply chain finance business,on the basis of the conclusion of the mutual influence of the price of the collateral,we put forward the conception of supply chain financial collateral portfolio price risk integrated measure.the paper first describes the significance of the topic and the relevant literature.Secondly,this paper analyzes the influence factors of the price of a single pedge and pedge combination and puts forward the idea of measuring the price risk of the pedge combination.Then,this paper selects the common pledge as the research sample,such as silver,aluminum and copper,which has the characteristics of general financial time series price fluctuation.This paper using the kernel density function of Gaussian to estimate the distribution of samples,and determine the marginal distribution function of a single collateral.According to the empirical distribution function of the supply chain finance pledge portfolio yield,we select the optimal Copula which can describe the relationship between the price fluctuation of pledge portfolio,and then estimate the pledge of the joint distribution of the rate of return of portfolio.Finally,on the basis of Monte Carlo simulation method is used to calculate the supply chain financial pledge portfolio short-term dynamic risk of VaR and CVaR,and the time square root rule for to estimate the long-term price risk in the different pledge period.In this paper,from the perspective of the effectiveness of price risk measurement model,we get the following conclusions:First,the risk measurement model constructed in this paper has been tested by the review,that is to say,the model can effectively measure the price risk of supply chain financial pledge portfolio.But The result of traditional price integration risk measurement has not been tested by validity Second,the t-Copula function is the best choice to describe the relationship between the matter and the matter,which indicates that the distribution of the yield of the portfolio has a symmetrical tail,and the tail is thick.Third,the results of the test and the distribution of collateral portfolio returns show that the CVaR model is more suitable than VaR to measure the price risk of supply chain finance.From the risk measurement results,we draw the following conclusions:first,the traditional integrated risk measurement methods(simple addition or that it is a linear correlation)price risk is higher than the risk value which taking into account the relationship between pledge yield,namely the traditional method will overestimate the risk of price low accuracy.Secondly,in the supply chain finance two pledge portfolio,at the same risk holding period and confidence level,the values of VaR and CVaR of silver and aluminum composite is the largest,followed by silver and aluminum portfolio,The minimum value is the combination of aluminum and copper.This provides a certain decision for the combination of commercial bank collateral portfolio.Thirdly,with the same confidence level and the risk of holding period,the silver price risk values of VaR and CVaR is the largest,followed by copper,aluminum price risk is minimum,so commercial banks in the construction of pledge portfolio,can increase the quality of aluminum and reduce the proportion of positions in silver.Fourth,with the increase of the number of the pledge,pledge portfolio in the price of each single matter changes in extreme events to offset the opportunity will increase,so the price risk of the group by silver,aluminum and copper is less than the group of silver and copper,the group of silver and aluminum.It also shows that the correlation between the price volatility of the three-component combination is more complex.Fifth,the supply chain financial quality price risk from big to small,followed by:silver,silver and copper combination,copper,silver and aluminum combination,silver and aluminum and copper three yuan combination,aluminum and copper combination,aluminum.From the comparison of short risk and long risk,we can conclude that because of the liquidity of inventory and other collateral is relatively weak,and liquidity and risk is inversely proportional,so with the increase of the risk period,the supply chain financial collateral portfolio price risk value VaR and CVaR gradually increased.