The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method
Journal of Investment and Management
Volume 3, Issue 2, April 2014, Pages: 37-41
Received: Jul. 23, 2014;
Accepted: Jul. 29, 2014;
Published: Aug. 10, 2014
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Li Zhou, School of Information, Beijing Wuzi University, Beijing, China
Jing Dong, Graduate department, Beijing Wuzi University, Beijing, China
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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.
Copula, VaR, Inventory Portfolio, Pledge Rate
To cite this article
The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method, Journal of Investment and Management.
Vol. 3, No. 2,
2014, pp. 37-41.
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