The Applycation Of EVT In The Calculation Of Pleged Ratio In Commercial Bank Accounts Receivable

The pledged loan business is one of the main way of commercial bank loans, how to determine the appropriate pleaged ratio is the key of the safety and the rationality.The calculation of pleaged ratio is always a hotspot in bank’s risk management research. Related research at home and abroad mainly focus on the calculation of stock and real estate mortgage rates.few studys on accounts receivable, and accounts receivable is an important way for medium-sized and small enterprises,so the study of commercial bank accounts receivable pleaged ratio measurement is meaningful.To a certain extent,it is safety.as the discount rate raised,the discounted value of accounts receivable will be devaluated.the value is likely can’t pay the debt.If the enterprise defaluated,the commercial bank will suffer loss.So the commercial bank need use the biggest discount rate during the period of the loan to discount the account receivableRecently,the discount rate equals Shibor3M plus basis point,basis point will not changed in the short term,in this paper,assuming that basis point will not change during the period of pleaged loan.so Shibor3M is the only factor. If the commercial bank use the biggest Shibor3M during the period of the loan to discount the account receivable,the pleaged loan is safety.The biggest Shibor3M can be calculated from the biggest daily growth rate.After the analysis of Shibor3M’s daily growth rate characteristic and The empirical test,we find that the method of AR-GARCH-POT based on EVT is the best way to calculated biggest daily growth rate.In the fifth chapter,I use the method to calculate the pleaged ratio of accounts receivable,from this Calculation and analysis come to the final conclusion.When the loan term is not changed,the pleaged ratio will be lower as the confidence level raised.;when the confidence level is not changed,the pleaged ratio will be lower as the loan term longer. Don’t considering the Shibor3M adverse changes have some risky exposure,so consideing Shibor3M adverse change to calculate pleaged ratio is necessary and meaningful.