| 基于Copula的供应链金融质物组合价格风险测度研究 |
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| 引用本文： | 胡海青,陈迪,张丹,张琅.基于Copula的供应链金融质物组合价格风险测度研究[J].运筹与管理,2020,29(3):77-90. |
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| 作者姓名： | 胡海青 陈迪 张丹 张琅 |
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| 作者单位： | 1. 西安理工大学 经济与管理学院,陕西 西安 710054;2. 西安交通大学 经济与金融学院,陕西 西安 710061 |
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| 基金项目： | 国家自然科学基金资助项目(71672144,71372173,70972053);国家软科学研究计划项目(2014GXS4D153);教育部高等学校博士学科点专项科研基金项目(20126118110017);陕西省软科学研究计划重点项目(2019KRZ007);陕西省软科学研究项目(2017KRM059,2017KRM057,2014KRM28-2);陕西省自然科学基础研究计划重点项目(2015JZ021)。 |
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| 摘 要： | 本文选取白银、铝和铜三种供应链金融质物作为研究对象,在分析三种质物收益率统计特征的基础上,引入Copula模型刻画供应链金融业务中质物收益率的“尖峰厚尾”特征以及质物收益率之间的非线性相关结构;采用Monte Carlo模拟方法测度考虑到极端情况下的质物组合价格风险值CVaR;利用时间平方根法则测度长周期视角下质物组合的价格风险。将CVaR与VaR测度结果进行对比,比较分析短期价格风险与长期价格风险,将Copula模型与传统风险测度方法下计算出的风险值进行对比,以期选取最优测度供应链金融质物组合长期价格风险模型。研究结果表明:从单一质物价格波动特征来看,三种单一质物的收益率均存在非正态分布和“尖峰厚尾”特征,具有一般金融资产收益率分布的特点。从模型的有效性来看,第一,CVaR比VaR能够更好地、全面地测度供应链金融质物组合的价格风险;第二,基于Copula模型的风险测度结果比传统集成风险测度结果的准确性高;第三,平方欧式距离法结果表明在五种Copula模型中,t-Copula是最优刻画供应链金融质物组合收益率间的相依关系的模型。从长短期风险测度结果来看,随着风险期限的增加,质物组合的价格风险值随之增大,以往研究中用短期风险测度往往会低估商业银行所面临的价格风险,不利于商业银行资金信贷的优化配置。得到的结论对我国商业银行开展供应链金融业务防范价格风险提供了量化支持。
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| 关 键 词： | 供应链金融 质物组合 长期价格风险 Copula CVaR |
| 收稿时间： | 2018-04-12 |
Study of the Price Risk Measurement of the Pledge Portfolio in Supply Chain Based on Copula |
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| HU Hai-qing,CHEN Di,ZHANG Dan,ZHANG Lang.Study of the Price Risk Measurement of the Pledge Portfolio in Supply Chain Based on Copula[J].Operations Research and Management Science,2020,29(3):77-90. |
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| Authors: | HU Hai-qing CHEN Di ZHANG Dan ZHANG Lang |
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| Affiliation: | 1. Economics and Business School, Xi'an University of Technology, Xi'an, 710054, China;2. School of economics and finance, Xi'an Jiao Tong University, Xi'an, 710061, China |
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| Abstract: | In this paper,we select silver,aluminum and copper three germplasm as the research objects.Based on the analysis of the statistical characteristics of the yield of pledge in supply chain finance,the Copula model is introduced to describe the typical characteristics of the “peak and heavy tail”of the yield of pledge and the nonlinear correlation structure between the yield of pledge in supply chain finance.And the Monte Carlo simulation method is used to measure the price risk value CVaR of the pledge portfolio under extreme conditions.At the same time we use the square root rule of time to measure the price risk of pledge portfolio under long term perspective.In order to select the best measure of long-term price risk model of supply chain financial pledge portfolio,we compare the results of CVaR and VaR,compare the short-term price risk and the long-term price risk,and also compare the price risk value measured by the Copula model and the traditional risk measurement method.The results show that:from the volatility of single commodity price,the yield of the three types of pledges has the characteristics of non normal distribution and“peak thick tail”,so it has the characteristics of the return distribution of general financial assets.From the validity of the model,first,CYaR can better and comprehensively measure the price risk of supply chain finance pledge portfolio than VaR.Second,the accuracy of risk measurement based on the Copula model results is better than traditional integrated risk measurement results.Third,the square Euclidean distance method shows that the t-Copula model is the best characterization of the dependent structure of the pledge portfolio in the five Copula models.From the long-term risk measure,with the increase of risk period,pledge portfolio price risk value increases,therefore,the short-term risk measurement in the past research will underestimate the price risk faced by commercial banks,which is not conducive to the optimal allocation of commercial banksy funds and credit.The conclusion provides quantitative support for commercial banks to carry out supply chain financial business to prevent price risk. |
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| Keywords: | supply chain finance pledge portfolio long-term price risk Copula CVaR |
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