Risk Measurement of Supply Chain Finance Based on the VaR Model

摘要

This paper combines the practical activities of the supply chain with existing theories to explore new ways to measure financial risks in the supply chain. We establish a supply chain financial risk measurement index system based on the VaR model, and use the Monte Carlo simulation method to conduct empirical analysis. The results show that banks can use the VaR model to investigate the business status of the enterprise according to the financial data such as profit rate and return on assets in the actual operation of these enterprises. At the same time, the p value is introduced on the basis of the traditional VaR model. The use of the VaR model and the β value can help the bank to quantitatively screen the financing object according to its own risk preference. When the β value of the enterprise with financing demand is greater than the set value, then the bank will without lending, the β value also helps banks scientifically allocate financing quotas and effectively control risks.