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Liquidity Risk of Stock-based Pledge Loans for Inventory Financing with Structural Break

机译：结构休息的库存融资的股票贷款流动性风险

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Using nonparametric ICSS algorithm to detect structural breaks of volatility, the author has made research on structural breaks and liquidity risk models and provides a detailed comparative analysis of effects on ratio of stock-based pledge loans for inventory financing under structural breaks among different holding periods and different risk models by taking China eastern silk market as research object. The author draws two conclusions. Firstly, VaR model added liquidity risk can measure the aggregate risk more precisely for stock-based pledge. The greater liquidity risk that account for aggregate risks, the shorter period that inventories are held, vice versa. Secondly, significant structural breaks for volatility and liquidity risk existing in inventories commodity market cannot be ignored. These models added the liquidity risk can measure more precisely market risk, liquidity risk and the ratio of stock-based pledge loans.
机译：使用非参数ICS算法检测波动性的结构性突破，作者对结构性休息和流动性风险模型进行了研究，并对在不同持有期的结构突破下的库存融资与库存融资比率的影响。通过将中国东部丝绸市场作为研究对象来实现不同的风险模型。作者得出了两个结论。首先，VAR模型增加流动性风险可以更准确地衡量总基于股票的承诺。占总体风险的更大的流动性风险，持有库存的较短期限，反之亦然。其次，在库存商品市场中存在的波动性和流动性风险的显着结构突破不能忽视。这些模型增加了流动性风险可以测量更精确的市场风险，流动性风险和股票承诺贷款的比例。

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