基于风险分担的存货质押契约研究

发布时间：2018-04-27 00:14

本文选题：存货质押业务 + 风险分担　；参考：《西南交通大学》2013年硕士论文

【摘要】：作为供应链金融的核心环节,存货质押业务涉及银行、物流企业及有融资需求的中小企业等多方主体,这些参与主体之间具有多重委托代理关系。在委托监管模式的存货质押业务中,银行作为委托人,物流企业作为代理人,两者之间存在信息不对称。银行为了激励物流企业对质押物进行努力监管,往往让物流企业承担风险,以防止其与融资企业的合谋行为,而这种激励往往是通过设计与物流企业共担风险的契约来实现的。近年来,银行为了进一步简化操作程序,降低交易成本,与物流企业合作开展基于统一授信模式的存货质押业务。在这一业务中,银行与物流企业签订由物流企业承担完全风险的契约。面对不同的融资对象及金融环境,设计合理的契约是保障存货质押业务顺利开展的前提。此外,设计最优契约不仅能够降低信贷风险,还能够提高银行及物流企业的利润。文章首先从模式创新、风险控制、主体决策及激励契约等方面回顾了近年来存货质押业务的国内外研究现状；然后分析了存货质押业务的几种主要业务模式；接着从物流企业的角度分析了存货质押业务的监管操作及风险控制过程。在此基础上,分别建立了委托监管模式下的固定费率契约模型,风险共担模式下的线性分成契约模型和统一授信模式下的完全风险契约模型。之后,对模型进行求解、对均衡结果进行了对比分析。结果显示：相比传统委托监管模式和风险共担模式,统一授信模式下的物流企业监管努力水平更高；在委托监管模式存货质押业务中,物流企业的收益水平主要取决于其保留收益水平,大部分的信贷利润都被银行获得,而在统一授信存货质押业务中,物流企业能获得比银行更高的收益；银行根据中小企业的违约率高低设计不同的契约,当融资的中小企业违约率较低时,银行偏好于与物流企业签订线性分成契约,开展委托代理模式的存货质押业务,当中小企业违约率偏高时,银行为了规避风险,提高收益,更愿意与物流企业签订完全风险契约,开展统一授信存货质押业务,而且此时开展统一授信存货质押业务的贷款利率更低,更能刺激中小企业的融资需求,繁荣信贷市场。最后,结合算例验证了模型的合理性及结论的正确性。研究得到的结论对存货质押业务中银行与物流企业的决策具有一定的参考价值和指导意义。
[Abstract]:As the core link of supply chain finance, inventory pledge business involves banks, logistics enterprises and small and medium-sized enterprises with financing needs and so on. In the inventory pledge business in the mode of entrustment supervision, there is information asymmetry between the bank as the principal and the logistics enterprise as the agent. In order to encourage the logistics enterprises to supervise the pledge, the banks often let the logistics enterprises bear the risk to prevent their collusion with the financing enterprises, and this incentive is often realized by designing the contract of sharing the risks with the logistics enterprises. In recent years, in order to further simplify operation procedures and reduce transaction costs, banks cooperate with logistics enterprises to carry out inventory pledge business based on unified credit mode. In this business, the bank and the logistics enterprise signed by the logistics enterprise bear the complete risk contract. In the face of different financing objects and financial environment, designing reasonable contracts is the premise to guarantee the smooth development of inventory pledge business. In addition, designing optimal contracts can not only reduce credit risk, but also improve the profits of banks and logistics enterprises. This paper reviews the domestic and foreign research status of inventory pledge business in recent years from the aspects of model innovation, risk control, principal decision making and incentive contract, and then analyzes several main business models of inventory pledge business. Then it analyzes the supervision operation and risk control process of inventory pledge business from the point of view of logistics enterprise. On this basis, the fixed rate contract model under the principal-supervision model, the linear division contract model under the risk-sharing model and the complete risk contract model under the unified credit mode are established respectively. Then, the model is solved and the equilibrium results are compared and analyzed. The results show that: compared with the traditional principal-supervision model and risk-sharing mode, the level of supervision efforts of logistics enterprises under the unified credit mode is higher; in the entrusted supervision mode, the inventory pledge business, The income level of logistics enterprises mainly depends on the level of retained income, most of the credit profits are obtained by banks, but in the unified credit inventory pledge business, logistics enterprises can get higher returns than the banks. Banks design different contracts according to the default rate of SMEs. When the default rate of SMEs is low, banks prefer to sign linear sharing contracts with logistics enterprises to carry out the inventory pledge business of principal-agent mode. When the default rate of small and medium-sized enterprises is on the high side, banks are more willing to sign complete risk contracts with logistics enterprises in order to avoid risks and improve returns. At this time, the loan interest rate of unified credit inventory pledge business is lower, which can stimulate the financing demand of small and medium-sized enterprises and flourish the credit market. Finally, the rationality of the model and the correctness of the conclusion are verified by an example. The conclusion of the study has certain reference value and guiding significance for the decision of banks and logistics enterprises in inventory pledge business.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.5;F253

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