Finance, production, manufacturing and logistics: VaR models for dynamic Impawn rate of steel in inventory financing
Journal Title: E3 Journal of Business Management and Economics - Year 2012, Vol 3, Issue 3
Abstract
Abstract: This paper presents a framework of setting the impawn rate dynamically by dividing the impawn period into different risk windows. Besides, it proposes that compared with pledging loan of bonds and stocks, the essence of inventory financing is to forecast the long-term risk from short-term data, and trade off between the risk window and the term of financial product (impawn period). Based on the dataset of spot steel (?HRB335), usually traded in the over-the-counter markets, this paper establishes the model of VaR-GARCH(1,1)-GED, which can better depict the feature of the heteroskedasticity, leptokurtosis and fat-tails of the returns, forecasts VaR of steel during the different risk windows in the impawn period through methods of out-of-sample. To improve the coverage of the model, this paper introduces the coefficient K, and then gets the impawn rate consistent with the risk tolerance of banks. The main results show that the amended model may control the risk better while reducing the efficiency loss compared with existing methods. It puts forward a dynamic impawn rate mode for banks.
Authors and Affiliations
He Juan, Jiang Xianglin, Zhu Daoli, Wang Jian, Chen Lei
Keywords
Related Articles
- EP ID EP98003
- DOI -
- Views 157
- Downloads 0
Transformational leadership and employees career salience; an empirical study conducted on banks of Pakistan
The following study examines the relationship between transformational leadership and employees’ career salience. This research is conducted to answer the question that whether employees’ career salience has association...
Causes and impacts of global financial crisis on the performance of Nigerian banks (a case study of selected banks)
Incessant bank failure in the face of several banking policies calls for appropriate prophylactic measures capable of stemming the tide because the pain of bank failure touches the banker, customer, government and the ge...
Assessing competitiveness of foreign and local supermarket chains in Vietnamese market by using Fuzzy TOPSIS method
Considering the strategic importance for supermarket chains and to understanding the critical elements affecting their competitiveness and their relative level of competitiveness, this study tries to assess competitivene...
The impact of a company’s network competence and technology management competence on its innovation performance
Past research has consistently shown that companies with high level of technological competence are more likely to have higher product and process innovation performance. However, apart from technological competence, com...