CAJ | 학술논문

为缓释当下供应链金融业务单一质物价格剧烈波动诱发的贷款集中度风险，异于股票、债券等金融资产组合基于短期风险预测优化框架，提出一类更具普适性的基于蒙特卡罗模拟法的质物组合长期风险预测方法，克服现有长期风险预测中视为基准的时间平方根法则缺陷；比对银行采取积极和保守投资策略，建立基于均值CVaR质物组合优化框架，引入改进均值方差优化框架进行对比分析．为准确测度质物组合长期CVaR，建立ARMA—EGARCH—EVT族模型以及多元t—Copula模型，刻画现货质物收益率呈现出的自相关性、“尖峰厚尾”以及波动集聚性等典型事实特征以及质物间的非线性相关结构；从模型层面和研究对象层面进行敏感性分析以验证模型的稳健性以及结论的可靠性．实证结果显示：长期风险预测视角下均值CVaR框架较改进的均值方差模型更具优势，为风险限额管理下的商业银行提供一种组合质物风险管理的新框架和新模式．
위완석당하공응련금융업무단일질물개격극렬파동유발적대관집중도풍험，이우고표、채권등금융자산조합기우단기풍험예측우화광가，제출일류경구보괄성적기우몽특잡라모의법적질물조합장기풍험예측방법，극복현유장기풍험예측중시위기준적시간평방근법칙결함；비대은행채취적겁화보수투자책략，건립기우균치CVaR질물조합우화광가，인입개진균치방차우화광가진행대비분석．위준학측도질물조합장기CVaR，건립ARMA—EGARCH—EVT족모형이급다원t—Copula모형，각화현화질물수익솔정현출적자상관성、“첨봉후미”이급파동집취성등전형사실특정이급질물간적비선성상관결구；종모형층면화연구대상층면진행민감성분석이험증모형적은건성이급결론적가고성．실증결과현시：장기풍험예측시각하균치CVaR광가교개진적균치방차모형경구우세，위풍험한액관리하적상업은행제공일충조합질물풍험관리적신광가화신모식．
This paper proposes a mean-CVaR portfolio optimization framework for both conservative and aggressive investment strategies based on long-term risk prediction, which is different from financial assets such as stocks, bonds portfolio optimization framework based on the short-term risk prediction, so as to mitigate concentration risk due to sharp fluctuations of price of single inventory in supply chain finance. The long-term risk prediction based on Monte Carlo simulation of the inventory portfolio is proposed, and it is more practical than square root rule, which overcomes the shortcoming of the square root rule which heavily depends on the independent normal distribution. In methodology, AR（1）-EGARCH（1,1）-EVT model is set up to better depict the characteristics of the autocorrelation, heteroskedasticity, leptokurtosis and fat-tails of the marginal distribution, furthermore, the multivariate t-Copula function is introduced to model the dependency structure of individual pledged inventory. The empirical results show that, the mean-CVaR optimization framework outperforms the improved mean-variance from the perspective of long-term risk prediction, which are robust to the choice of risk window, confidence level, simulation times and sample size. In summary, this paper provides a new framework for managing the risk of portfolio in inventory financing practice for banks constrained by risk limitation.