| 基于结构突变的质押融资业务的质押率实证研究——以中国东方丝绸市场交易所坯布动产为例 |
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| 引用本文： | 袁军.基于结构突变的质押融资业务的质押率实证研究——以中国东方丝绸市场交易所坯布动产为例[J].软科学,2010,24(8):127-133,144. |
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| 作者姓名： | 袁军 |
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| 作者单位： | 江苏吴江中国东方丝绸市场股份有限公司,博士后科研工作站,南京,215228;上海财经大学,博士后流动站,上海,200433 |
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| 摘 要： | 引入了非参数ICSS结构变点检测算法,以中国东方丝绸坯布市场为例,研究了存货质物商品市场的结构突变和流动性风险模型,并分析了结构突变、不同持有期、不同风险模型对存货质物的质押率的影响。研究发现:一是对存货质物进行风险度量时加入流动性风险可以更准确刻画商品市场的总风险,且流动性风险占总风险的比重与持有期限呈反比。二是考虑结构突变能更准确刻画市场风险和流动性风险,也能更准确地确定合理的动产质物的质押率。
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| 关 键 词： | 存货质押融资 质押率 流动性风险 结构突变 物流金融 |
Research on Ratio of Stock-based Pledge Loans for Inventory Financing under Structural Breaks——Evidence from Greige Market of China Eastern Silk Market |
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| YUAN Jun.Research on Ratio of Stock-based Pledge Loans for Inventory Financing under Structural Breaks——Evidence from Greige Market of China Eastern Silk Market[J].Soft Science,2010,24(8):127-133,144. |
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| Authors: | YUAN Jun |
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| Abstract: | Using nonparametric ICSS algorithm to detect structural breaks of volatility,the author researches structural breaks and liquidity risk models and provides a detailed comparative analysis of effects on ratio of stock-based pledge loans for inventory financing under structural breaks in different holding periods and different risk models by taking China eastern silk market as research object.The research finds that:firstly,adding liquidity risk can measure the total risk more precisely for stock-based pledge.The greater liquidity risk that account for aggregate risks,the shorter period that inventories are held,vice versa.Secondly,considering structural breaks can measure more precisely market risk,liquidity risk and the ratio of stock-based pledge loans. |
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| Keywords: | inventory financing ratio of stock-based pledge loans liquidity risk structural breaks logistics finance |
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