【摘要】 本文将衡量证券市场流动性的方法引入存货质押业务的风险管理领域,采用基于变现时间的VaR方法对质押存货的VaR值进行流动性调整,并设定相应的质押率,为流动性较弱的存货作为质押物进行融资时的定价提供了一个较为简明的模型。更多还原

【Abstract】 An approach of liquidity risk measurement from the stock market to the inventory financing cases is applied.A VaR Method based on liquidation time is established to measure the liquidity risk of the inventory as a pledge.Thus we set a corresponding loan-to-value ratio model for those inventories with relatively less liquidity when they are pledged for a loan.更多还原