Research on joint risk control of dynamic pledge based on GARCH model

Abstract

The dynamic pledge financing mode in logistics finance can effectively solve the financing difficulties of SMES, but it has some complexity in process control and risk management. In this study, pledge rate and warning value are selected as the joint control risk indicators of this model. By analogy with the phenomenon of “sharp peak and thick tail” in financial asset return series, GARCH model is introduced into VaR to measure long-term price risk. The effectiveness of the VaR model based on t-distribution and GED-distribution was compared, and ARIMA model was used to predict the discounted value of the pledge, so as to calculate the pledge rate and early-warning value consistent with the risk tolerance of the bank. Thus, the process of accurately measuring the risk index was provided for the relevant parties, and the risk management of dynamic pledge financing was optimized.