【作者】 沈杰；

【导师】 韩瑞珠；

【作者基本信息】 东南大学 ， 系统分析与集成， 2015， 硕士

【摘要】 中小企业不断推动着我国经济的整体发展。然而,融资难却一直制约着中小企业的发展,信用等级低、缺少担保条件、不动产比例较低等自身短板,使它们难以从银行获得传统贷款。针对这种情况,商业银行推出“供应链金融”这一创新型融资服务,充分利用流动资产作为质押物为中小企业融资。对银行而言,风险控制指标的设定在融资过程至关重要。其中,质押率指标以其开放性的设定成为银行风控的核心指标。对此,本文从担保物的特性出发对两类商品质物的质押率展开定量研究,主要研究内容如下：对于价格平稳的商品质物,其质押决策与商业模式密切相关。因此,本文基于预付款融资模式,考虑融资企业违约内生,首先基于报童模型分析了考虑供应商回购策略的企业最优订购量决策；其次,基于Stackelberg动态博弈理论重点分析损失规避银行采用下侧风险对企业违约进行控制的质押率决策；最后,利用数值仿真验证质押率与融资企业订购量、存贷款利率和融资期限之间的关系。对于价格随机波动的商品质物,其质押率决策主要受价格风险影响。本文采用期望损失方法对价格风险进行度量,动态设计相应的质押率指标。以圆钢材质押率研究为例,首先采用时间序列方法对其收益率波动特征进行分析,其次通过计算风险价值设计质押率指标,同时引进警戒线和处理线对其价格实时监控,防止因价格下降而导致银行遭受损失。最后,通过失败率检验,发现期望损失比VaR方法对圆钢材现货市场的风险测量具有更高的准确度。本文采用理论与实证相结合的研究方法,主要对两类不同商品质物在融资过程中的质押率进行了定量分析,以期为银行等金融机构的相关决策提供具有实践价值的理论依据。更多还原

【Abstract】 At present, small and medium-sized enterprises (SMEs) have become the "booster" of China’s fast growing economy. However, it is difficult for them to get traditional loans from the bank for lack of credit rating, guarantors and real estate. Now, more and more banks launch "Supply Chain Finance" (SCM) service providing support for SMEs in credit enhancement, procurement and capital turnover. For loan banks, risk control at the core of loan, where loan-to-value ratios (LTVs) become the core risk control indicators in SCM because of relative freedom setting. The essence of setting LTVs is to weigh the benefits and risks that can effectively control the loan risk in guarantee business. Meanwhile, the setting of LTVs and the characteristics of business model, guarantee inventory, default probability and loan interest rates are closely related, which can fully reflect the status of the risk of SCM. Therefore, this research makes quantitative research on LTVs from the features of the inventory. The main research contents are as follows:For seasonal goods, this paper considers the random fluctuation of market demand and endogenous default based on advance payment financing. Firstly, this paper focuses on the distributor optimal order quantity decision-making under default risk. On that basis, the method of downside-risk and Stackelberg dynamic game theory is used to investigate the decisions of LTVs under different risk preference. According to a numerical simulation, we find that LTVs is associated closely with order quantity, loan interest rate and financing maturity.For goods with stochastic fluctuations prices, LTVs decision is mainly affected by bank monitoring. The prevention of their price risk is particularly important. This paper gives the round steel LTVs research as example, using time series method to analyze the fluctuation characteristics and forecasting the long-term ES during the different finance maturity in the impawn period. By backing testing our model and ES, we find that ES is better to portray the market risk compare with VaR, and the cordon and open line setting can significantly improve the risk coverage of banks.On the combination of theoretical research and empirical research method as well as qualitative study and quantitative study, this paper gets the LTVs according with the risk exposure of banks, which put forward a dynamic impawn rate mode and framework for banks.更多还原