Study On The Optimal Warehouse Receipt Financing Pledge Rate Of Logistics Enterprises Based On VaR Method

In the problem of SME(Small and medium-sized enterprise)financing in China,as the mainstay of financial supply chain,the financing business of warehouse receipt pledge is widely used in various financial institutions,loan enterprises and logistics enterprises,which plays an irreplaceable role.In the application and development of warehouse receipt pledge financing,risk control,especially price risk measurement and control is especially important.With the development of financial market,the fluctuation of product price increases,and the financing risk is increased directly.Therefore,market price risk analysis and control becomes the important premise of the development of warehouse receipt pledge financing,correctly analyzes and measures the risk of market price fluctuation,and then it is very important to manage the risk effectively,and becomes the hotspot of many scholars.In this paper,how to formulate a pledge rate to minimize the risk of enterprises,considering the unified credit mode,logistics enterprises in the warehouse receipt pledge financing business,.The pledge rate model is constructed by introducing the extensive VaR method in financial market,Degree of regulatory efforts and join the logistics enterpris and the validity of the pledge rate is tested.In order to validate the validity of the model,this dissertation carries on the price risk research of 1160 samples of the spot price of copper in the futures market.And according to the change rate of the spot price of copper data selection by using the historical simulation method,in the loan period for 3 months,6 months,9 months,12 months,respectively in four historical data length 100 days,200 days,300 days,400 days,three confidence level 90%.95%.In 99%,the VaR value is computed,and the results are examined by a retrospective test.In the case of the test,further utilizing the pledge rate obtained by the historical simulation method to calculate the price risk rate and the efficiency loss rate,and comparing the risk rate and efficiency loss rate with the empirical value 70%,which method is more effective to control the price risk.This paper concludes that in the retrospective test only the loan period of 3 months of three conditions under the calculation of the VaR value by testing,at the same time,the different historical data length of the results of the impact of the back-test.In addition,the pledge rate set by the empirical value method is used to reduce the risk of warehouse single financing efficiency and improve the efficiency of the whole financial supply chain by using the value of the VaR of the historical simulation method.