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针对现实中防范“融资铜”风险的需要,本文归纳提炼出三种不同的“融资铜”模式,并就其操作过程中所面临的利率风险、人民币价格波动风险和标的物价格波动风险及其联动性进行深入剖析;采用GARCH-Copula模型,利用上述风险的收益数据及风险因子数据(2011年5月至2014年4月)对单一风险及综合风险进行识别与模拟,对不同模式中综合风险分布进行对比分析,根据在险价值做出警示。结果表明:“融资铜”是一种套利行为,其综合风险收益具有右偏特性,并明显呈现出尖峰厚尾的风险分布特征,相同置信水平下在险价值显著高于单一风险在险价值;其存在极值损失,发生极值损失对企业自身及金融系统会造成严重影响,因此相关监管机构必须对“融资铜”加以重视并实施控制,以引导资金回归实体经济之中。
In order to meet the need of preventing “financing copper” risk in reality, this paper concludes with three different models of “financing copper”, and analyzes the risk of interest rate risk, the risk of RMB price fluctuation and the price of the subject matter Volatility risk and their interaction; using GARCH-Copula model to identify and simulate single risk and comprehensive risk by using the above-mentioned risk return data and risk factor data (May 2011 to April 2014) Mode comprehensive risk distribution comparative analysis, based on the value of the risk warning. The results show that the “financing copper” is an arbitrage behavior, and its comprehensive risk return has the right-deviation characteristic, and the risk distribution characteristic of the peak-thick tail is obviously presented. The value at risk under the same confidence level is significantly higher than the single risk at risk Therefore, relevant regulators must pay more attention to and control the “financing copper” in order to guide the return of funds to the real economy.