存货质押融资中螺纹钢风险价值的控制

针对钢材市场中存货质押融资业务的价格风险问题,以螺纹钢现货的价格为样本数据,采用经验值方法计算风险率与效率损失率,并与基于VaR历史模拟法的计算结果进行比较.结果表明,样本期间长度的选择对历史模拟法计算结果的优劣有一定影响,历史模拟法适合短期限的存货质押融资贷款.用回顾测试对计算结果进行检验,表明用VaR方法设定的质押率对控制螺纹钢价格风险更有效.

Control of VaR of Rebar in Inventory Financing

Aiming at the price risk of inventory financing in steel market， the prices of rebar were selected as the sample data to calculate the risk rate and efficiency loss rate based on empirical values. The results calculated using the empirical values were compared with that using the historical simulation method based on the values at risk(VaR)，and it was found that the length of sample period affected the performance of calculation result of historical simulation method. The historical simulation method was suitable for inventory financing in short term. The back testing of the calculation results shows that pledge rate determined by VaR is more effective on the control over the price risk.