To guard against the risks of copper "financing" in real need, three different copper "financing" patterns were put forward. And the interest rate risk, the volatility risk of RMB and price of subject and their correlation in the process of copper "financing" operation were analyzed. Based on the profit and the risk factor data from May 2011 to April 2014, the single risk and comprehensive risk were identified and simulated according to GARCH-Copulas model. Then the distributions of comprehensive risk in different patterns were compared in order to make warnings based on Value at Risk. The results show that the copper "financing" is a kind of arbitrage, and its comprehensive risk income has the right skewness and the characteristic of rush fat-tailed distribution, and under the same confidence level, the Value at Risk of comprehensive risk is significantly higher than that of single risk. Copper "financing " exists extreme loss, and in case of extreme loss, the enterprise itself and the financial system will face to adverse effects. In order to guide the capital back to the real economy, relevant regulators must pay close attention and implement control to copper "financing".
ZHANG Hai-liang, LU Man, WU Chong-feng
. Risk Identification and Warning for Different Copper "Financing" Patterns[J]. Chinese Journal of Management Science, 2015
, 23(8)
: 10
-17
.
DOI: 10.16381/j.cnki.issn1003-207x.2015.08.002
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