【摘要】 本文提出通过度量存货质押融资业务的流动性风险大小来判断质押物的流通属性的优劣。将存货的流动性风险纳入到VaR模型中考虑,在假定交易策略的情况下,构造最优变现策略模型,得到L-VaR模型。通过案例分析给出在存货质押融资业务中如何使用该模型并判断流动性风险的大小。更多还原

【Abstract】 This paper presents measure inventory financing liquidity risk to judge the size of the flow of properties used as security for the advantages and disadvantages.Considering corparating liquity into onventional VaR model.By setting a trading strategy,studying the price movement,build L-VaR model through constructing the optimal liquidating model and study numerical examples to receive some important conclusions.Through the case studies pointed out that the pledge in the inventory financing business and how to use the model to determine the size of liquidity risk.更多还原