The Research On Supply Chain Financial Risk Of Logistics Enterprises Based On GARCH-Copula Model

With the development of economic globalization,some small and medium-sized enterprises that are short of funds find it difficult to develop due to cost constraints,which affects the stability of the supply chain.In this context,the focus of supply chain research begins to shift to improving the efficiency of capital flow.Supply chain finance in the field of logistics is one of the most explored fields in academia and practice.In the supply chain finance business of logistics enterprises,third-party logistics enterprises need to provide not only modern logistics services,but also some financial services.The key to the risk control of supply chain financial services of logistics enterprises is the cash flow control of pledged goods or portfolio of pledged goods in the context of transaction.In this paper,VaR(Value at Risk,the maximum possible loss of financial products in a certain holding period)is selected as the Risk measurement function.Combined with the GARCH model and Copula model,a combined Risk measurement model based on the var-garch-copula model is constructed and used to calculate the supply chain financial Risk of the third-party logistics enterprises of agricultural product pledges combination.The first part of the paper introduces the basic concepts and related theoretical overview needed to construct the risk measurement of collateral portfolio,including VaR model,Copula function model,ARMA model and GARCH model.The second part,research the pledge combination of marginal distribution of agricultural products,based on the sequence of financial volatility clustering features such as sex,and we do the empirical analysis on soybean and sugar as the research object,according to statistics result,choos GARCH model of soybean,and sugar to describe all the pledge combination of marginal distribution,the AR-GARCH-gaussian model is constructed,and the parameter estimation results model results and the significance of the inspection.In the third part,the correlation of the pledge portfolio was analyzed.Taking the combination of soybean and white sugar as an example,the adaptive gumbel-Copula function was selected to describe the correlation of the pledge portfolio,and the estimation and test of model parameters were analyzed.The fourth part studies the model selection and parameter calculation method of risk measurement of pledge portfolio.This part according to the calculation result of chapter 3 and chapter 4,build Gumbel-Copula connect-GARCH-gaussian model,by using Monte Carlo simulation method to calculate the VaR value of soybean and sugar the pledge,and the calculated failure inspection of the VaR value,finally it is concluded that based on the Gumbel-Copula connect-GARCH-normal model and Monte Carlo simulation method to calculate the soybean and sugar the pledge portfolio risk can take a test.This paper provides a model and method for the measurement of the risk of the combination of pledges in the supply chain financial products of logistics enterprises.Found through research,this paper puts forward the Gumbel-Copula connect-GARCH-normal model calculation method can be well simulated by soybean and sugar as the pledge of portfolio risk,it provides a theoretical basis for the supply chain financial risk management of logistics enterprises with bulk commodities as pledges,and provides a reference for the construction of risk measurement models and the selection of pledges.