基于VaR模型的仓单质押业务选择的实证研究

Study on Choosing of Warehouse Receipt Pledge Based on Value at Risk Model

文中利用阿里巴巴商业资讯网公布的杉木现货周平均交易价格为样本数据,对作者在《基于VaR模型的仓单质押业务选择的研究》一文中构建的仓单质押业务的VaR模型进行验证,证明了该模型是有效的,是可以在银行的业务实践中应用的;最后,阐述了仓单质押业务VaR模型构建的实践意义。

This paper uses collective data to examine the VaR model of Warehouse Receipt Pledge, the result show the model is effective and it can be used in practice; Finally, the paper explains the practical significance of the VaR model of Warehouse Receipt Pledge.