| Recently years,the problem of the financing of Mid-small size companies has been the centre of attention and the development of many small size companies stalled because of the lack of necessitous money.The traditional business of commercial banks is saturated at the same time,and they need new business models to deal with the intensifying competition caused by the impact of Internet.The domestic logistics industry opened and has achieved rapid expansion after the entrance of WTO.However,the advanced management mode and idea of foreign logistics industry has brought challenges to domestic industry.Commercial bank,logistics industry and Mid-small size companies begin to combine under this historical background.As a new service,financial logistic service has caused people’s attention.Inventory portfolio pledge loan business is the core business of this service,it combines the traditional inventory pledge with the portfolio idea,and can decrease risk.The main risk is price risk.Therefore,it is very important for banking industry to control the risk come from price fluctuation accurately.From the point of view of banks,this paper analyzes the design and pricing of inventory pledge portfolio.First,we introduce the background,the meaning and the research at home and abroad.Secondly,we introduce the inventory pledge financing theory,Copula function and the basic conception of their mixed connection model.This part is the rationale of our research.The third part is the core of this paper.In this part,we first expound the construct idea of the model,estimates the parameters and explain the method of function selection.We then do the empirical analysis.On the estimation method of marginal distribution,we choose EGARCH model which is applied to financial time series analysis.On the estimation of the simultaneous distribution of assets,this paper use Mix Copula function mixed by Gumbel Copula function and Clayton Copula function to estimate parameter and compare with the single Copula function,including Gumbel function,Clayton function and Frank function.We use Monte Carlo simulation to calculate VaR at last and do some compare.Finally,we show our conclusion and present our suggestion and prospect.We find that the VaR results come from the mixed Copula function is more precise compared to the VaR results come from the single Copula function and the traditional method.The results come from the mixed function is more helpful for financial companies to avoid the potential risk which comes from the price fluctuation of the pledge.The point of this paper is use the mixed Copula function in the field of inventory pledge loan portfolios and choose a more precise rick control method from many models.Our research can give a more perfect solution to keep away from the price risk of inventory pledge portfolios. |
