The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method

Li Zhou; Jing Dong

doi:doi:10.11648/j.jim.20140302.11

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The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method

Li Zhou, Jing Dong

Published in Journal of Investment and Management (Volume 3, Issue 2)

Received: 23 July 2014 Accepted: 29 July 2014 Published: 10 August 2014

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Abstract

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.

Published in	Journal of Investment and Management (Volume 3, Issue 2)
DOI	10.11648/j.jim.20140302.11
Page(s)	37-41
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2014. Published by Science Publishing Group

Keywords

Copula, VaR, Inventory Portfolio, Pledge Rate

References

[1]	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.
[2]	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.
[3]	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.
[4]	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.
[5]	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.
[6]	Sun Chaoyuan, Wei Yan, “Research on Loan-to-Value Ratio of Double Category Inventory Fiancing”, Finance & Economics, vol.283, pp.117-124, Oct.2011.

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APA Style

Li Zhou, Jing Dong. (2014). The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method. Journal of Investment and Management, 3(2), 37-41. https://doi.org/10.11648/j.jim.20140302.11

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ACS Style

Li Zhou; Jing Dong. The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method. J. Invest. Manag. 2014, 3(2), 37-41. doi: 10.11648/j.jim.20140302.11

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AMA Style

Li Zhou, Jing Dong. The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method. J Invest Manag. 2014;3(2):37-41. doi: 10.11648/j.jim.20140302.11

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@article{10.11648/j.jim.20140302.11,
  author = {Li Zhou and Jing Dong},
  title = {The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method},
  journal = {Journal of Investment and Management},
  volume = {3},
  number = {2},
  pages = {37-41},
  doi = {10.11648/j.jim.20140302.11},
  url = {https://doi.org/10.11648/j.jim.20140302.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jim.20140302.11},
  abstract = {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.},
 year = {2014}
}

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TY  - JOUR
T1  - The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method
AU  - Li Zhou
AU  - Jing Dong
Y1  - 2014/08/10
PY  - 2014
N1  - https://doi.org/10.11648/j.jim.20140302.11
DO  - 10.11648/j.jim.20140302.11
T2  - Journal of Investment and Management
JF  - Journal of Investment and Management
JO  - Journal of Investment and Management
SP  - 37
EP  - 41
PB  - Science Publishing Group
SN  - 2328-7721
UR  - https://doi.org/10.11648/j.jim.20140302.11
AB  - 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.
VL  - 3
IS  - 2
ER  -

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Author Information

Li Zhou

School of Information, Beijing Wuzi University, Beijing, China
Jing Dong

Graduate department, Beijing Wuzi University, Beijing, China

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APA Style

Li Zhou, Jing Dong. (2014). The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method. Journal of Investment and Management, 3(2), 37-41. https://doi.org/10.11648/j.jim.20140302.11

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ACS Style

Li Zhou; Jing Dong. The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method. J. Invest. Manag. 2014, 3(2), 37-41. doi: 10.11648/j.jim.20140302.11

Copy | Download

AMA Style

Li Zhou, Jing Dong. The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method. J Invest Manag. 2014;3(2):37-41. doi: 10.11648/j.jim.20140302.11

Copy | Download

@article{10.11648/j.jim.20140302.11,
  author = {Li Zhou and Jing Dong},
  title = {The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method},
  journal = {Journal of Investment and Management},
  volume = {3},
  number = {2},
  pages = {37-41},
  doi = {10.11648/j.jim.20140302.11},
  url = {https://doi.org/10.11648/j.jim.20140302.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jim.20140302.11},
  abstract = {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.},
 year = {2014}
}

Copy | Download

TY  - JOUR
T1  - The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method
AU  - Li Zhou
AU  - Jing Dong
Y1  - 2014/08/10
PY  - 2014
N1  - https://doi.org/10.11648/j.jim.20140302.11
DO  - 10.11648/j.jim.20140302.11
T2  - Journal of Investment and Management
JF  - Journal of Investment and Management
JO  - Journal of Investment and Management
SP  - 37
EP  - 41
PB  - Science Publishing Group
SN  - 2328-7721
UR  - https://doi.org/10.11648/j.jim.20140302.11
AB  - 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.
VL  - 3
IS  - 2
ER  -

Copy | Download