基于铜产业链的银行存货质押率研究

发布时间：2018-02-09 01:56

本文关键词： 供应链融资存货质押铜产业链质押率　出处：《浙江财经学院》2013年硕士论文　论文类型：学位论文

【摘要】：供应链金融将金融与实业紧密地结合起来，能够更好地为实体经济服务，同时也为商业银行业带来了新的利润增长点，而基于该理念快速发展起来的存货质押业务成为供应链融资业务中最为活跃的品种。该业务的不断推广，必然要求银行有相应的风险管理技术与之匹配，而质押率作为存货质押融资业务风险控制的关键指标，其确定方法也应该不断优化，提高科学性与准确性，以降低银行面临的风险。本文基于铜产业链对该种融资方式的质押率进行了研究。在期货市场满足市场有效性和风险中性的假设条件下，在考虑存货特点、定价方式等因素后，将期货价格引入到银行在铜产业链的质押率决策中。主要思路是以质押到期月份的期货价格作为质押物的未来现金流，，在考虑时间因素后确定其最高可质押价值。此外，结合存货价格波动的特点，采用VaR-GARCH（1，1）模型，得到无风险的质押价值，进而为银行在铜产业链上的存货质押业务提供一个定量、动态的质押率决策方法。相比其他方法，该方法一方面能够使质押率与质押物的未来现金流状况紧密结合，真正发挥其在风险管理中的作用。另一方面银行也可以充分利用期货市场的预测和风险管理功能，使期货价格成为一个超前预警风险的窗口，通过紧盯质押物的未来可实现价值，并根据此值的变动采取相应防范措施，将风险控制前移。
[Abstract]:Supply chain finance combines finance with industry closely, which can serve the real economy better, and at the same time bring new profit growth point for commercial banking. The inventory pledge business, which is developed rapidly based on this idea, has become the most active variety in the supply chain financing business. The continuous promotion of this business will inevitably require the banks to have the corresponding risk management technology to match it. As the key index of risk control in inventory pledge financing business, the method of determining pledge rate should be optimized constantly, and the scientific and accuracy should be improved to reduce the risk faced by banks. In this paper, based on copper industry chain, the pledge rate of this kind of financing method is studied. Under the assumption that the futures market satisfies the market efficiency and risk neutrality, after considering the characteristics of inventory, pricing method and other factors, This paper introduces the futures price into the decision of the bank's pledge rate in the copper industry chain. The main idea is to take the futures price of the month when the pledge is due as the future cash flow of the pledge, and to determine the maximum pledged value after considering the time factor. According to the characteristics of inventory price fluctuation, the VaR-GARCH1) model is used to obtain the risk-free pledge value, which provides a quantitative and dynamic method for the bank's inventory pledge business in the copper industry chain. On the one hand, this method can combine the pledge rate with the future cash flow of the pledge, and give full play to its role in risk management. On the other hand, the banks can also make full use of the forecasting and risk management functions of the futures market. The futures price becomes a window of forewarning risk, and the future value can be realized by keeping a close eye on the pledge, and according to the change of this value, the risk control can be moved forward.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832;F426.32

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