Please enter verification code
The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method
Journal of Investment and Management
Volume 3, Issue 2, April 2014, Pages: 37-41
Received: Jul. 23, 2014; Accepted: Jul. 29, 2014; Published: Aug. 10, 2014
Views 2967      Downloads 165
Li Zhou, School of Information, Beijing Wuzi University, Beijing, China
Jing Dong, Graduate department, Beijing Wuzi University, Beijing, China
Article Tools
Follow on us
This paper selects copper and zinc as a stock portfolio of mortgage financing. It calculates stock portfolio return risk by the value at risk method, introduces Copula function to measure the two pledges' relationship, simulates portfolio yield trend by Monte Carlo method to get Var value. At last compare Copula-Var method with traditional method, The new method can reflect more collateral prices spike characteristics, estimated loss better when value at risk. The conclusion of the study establishes the foundation for further study on the theory and methods of inventory financing portfolio.
Copula, VaR, Inventory Portfolio, Pledge Rate
To cite this article
Li Zhou, Jing Dong, The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method, Journal of Investment and Management. Vol. 3, No. 2, 2014, pp. 37-41. doi: 10.11648/j.jim.20140302.11
Jokivuolle E, Peura S. “Incorporating collateral value uncertainty in loss given default estimates and loan-to-value ratios”, European Financial Management, vol.9, pp.299-314, Mar. 2003.
Cossin D, Hricko T., “Astructural analysis of credit risk with risky collateral: Amethodology for haircut determination”, Economic Notes, vol.32, pp.243-282, Feb.2003.
Li Yixue, Xu Yu, Feng Gengzhong. “Domestic and foreign researches on the evolution of inventory financing”, Research on economics and management, No.3,pp.22-26, Mar.2007.
Qi Ershi, Ma Shanshan, Han Tie, “Study on Loan-to-Value Ratios of Basket Warehouse Receipt Hypothecating in Logistics Finance”, Journal of Xidian University(Social Science Edition), vol.16,No.6, pp.50-53, Nov.2008.
Gao Jie, Guo Shanshan, Feng Shanshan, “Research on loan-to-value ratios in the mode of dynamic logistics supervision and control”, Logistics engineering and management, vol31, pp.39-40, Oct.2009.
Sun Chaoyuan, Wei Yan, “Research on Loan-to-Value Ratio of Double Category Inventory Fiancing”, Finance & Economics, vol.283, pp.117-124, Oct.2011.
Science Publishing Group
1 Rockefeller Plaza,
10th and 11th Floors,
New York, NY 10020
Tel: (001)347-983-5186