基于供应链金融产品的定价模型研究

发布时间：2018-10-15 17:37

【摘要】：目前，供应链金融产品是国际性银行流动资金贷款领域最重要的一个业务增长点，其借助新颖的“团购”式开发模式和风险控制手段，可获得突出的经济效益和社会效益。然而，我国对供应链金融产品的研究起步较晚，，关于供应链金融产品的定价研究更是寥寥无几，基本还处于起步阶段。本文考虑到金融机构是推广供应链金融产品的骨干，而产品定价又是金融机构拓展业务最为关键的环节，故从金融机构的角度研究供应链金融产品定价具有很强的现实与理论意义。本文首先在深入分析供应链金融产品的概念及特点的基础上，从供应链金融业务不同参与者的角度，提出我国供应链金融存在巨大的发展空间。其次，本文基于对供应链金融的三类产品元件、产品模块的研究，得知供应链金融产品可为金融机构带来可观的关系租金收益，并对应收账款池融资实例进行了深入剖析。再次，本文通过对三种典型贷款定价模型的研究与比较分析，认为这三种模型没有考虑供应链金融产品为金融机构带来的关系租金收益，不适合供应链金融产品的定价。然后，本文将供应链金融产品看作一份欧式看涨期权，通过对看涨期权的定价，把关系租金收益融入基于供应链金融产品的定价模型中。最后，本文采用我国M银行2005—2008年部分中小企业数据虚拟了购买M银行供应链金融产品的中小企业数据,算例分析了基于供应链金融产品的定价模型。并假设其他变量为均值，算出不同银企关系强度下银行获得后续贷款业务的概率，然后公式推导出可根据租金收益C(S)进行补偿调整的融资利率。
[Abstract]:At present, the supply chain financial product is the most important business growth point in the field of international bank liquidity loan. It can obtain outstanding economic and social benefits with the help of novel "group purchase" development mode and risk control method. However, the research on supply chain financial products in our country started late, and the pricing of supply chain financial products is very few, which is still in its infancy. This paper considers that financial institutions are the backbone of the promotion of supply chain financial products, and product pricing is the most critical link for financial institutions to expand their business. Therefore, it is of great practical and theoretical significance to study the pricing of supply chain financial products from the perspective of financial institutions. Based on the deep analysis of the concept and characteristics of supply chain financial products, this paper points out that there is a huge space for the development of supply chain finance in China from the point of view of different participants in supply chain finance. Secondly, based on the research of three kinds of product components and product modules of supply chain finance, this paper finds out that supply chain financial products can bring considerable rental income to financial institutions, and makes a deep analysis of accounts receivable pool financing examples. Thirdly, through the research and comparative analysis of three typical loan pricing models, it is concluded that these three models do not consider the relationship rent income brought by the supply chain financial products to financial institutions, and are not suitable for the pricing of supply chain financial products. Then, this paper regards the supply chain financial products as a European call option. Through the pricing of call options, the relationship rent income is integrated into the pricing model based on the supply chain financial products. Finally, this paper uses some SME data of M Bank from 2005 to 2008 to virtual the SME data of M Bank supply chain financial products. An example is given to analyze the pricing model based on supply chain financial products. Assuming that the other variables are the mean value, the probability of the bank obtaining the subsequent loan business under the different intensity of the relationship between the bank and the enterprise is calculated, and then the financing interest rate which can be compensated and adjusted according to the rent income C (S) is deduced.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.4;F274

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