极值理论在商业银行应收账款质押率测算中的应用研究

发布时间：2018-01-24 22:04

本文关键词： 风险管理质押率 Shibor3M 极值理论　出处：《南京财经大学》2015年硕士论文　论文类型：学位论文

【摘要】：质押贷款作为商业银行贷款的主要方式之一,其安全性以及贷款额的合理性关键在于确定合适的质押率。质押率测算一直是学者们在银行风险管理领域研究的热点问题,国内外相关研究主要集中在股票质押率和房地产抵押率的测算上,关于应收账款的测算研究比较少,而应收账款是中小企业贷款融资的重要途径,因此对商业银行应收账款质押率测算的研究具有重要的现实意义。虽然应收账款质押贷款有应收账款作为抵押,具有一定的安全性,但也并非在贷款期内应收账款的贴现值始终可以还本付息,如果在贷款期间贴现率持续走高,那么应收账款贴现后的价值会越来越低,很可能不足以偿还贷款本金,这将会促使企业违约,造成银行亏损。为了杜绝这种可能性的发生,需要把应收账款以贷款期间贴现率的最大值来贴现。现阶段商业银行应收账款的贴现率为基准利率Shibor3M加上点差,其中点差的决定因素在长期内才可能发生变动,在质押贷款的短期内暂且认为不变,为商业银行根据自身系统在贷款期初确定的点差值,那么贴现率在贷款期内的最大值就是基准利率Shibor3M在该贷款期内的最大值加上定值点差。这样质押率测算的核心问题就是如何准确预测出贷款期内Shibor3M的最大值,本文的方法是通过预测贷款期间Shibor3M每天的最大增长率来间接求得最大值。经过质押率测算的样本选择与样本特征分析之后,确定了基于极值理论的AR-GARCH-POT测算模型最合适。并在文章最后运用该模型对应收账款质押率进行测算,发现在置信度水平一定的情况下,贷款期限越长,质押率越低；在贷款期限一定的情况下,置信度水平越大,质押率越低。并对考虑与未考虑Shibor3M不利变动情况下的贷款差额进行计算,发现未考虑Shibor3M不利变动的质押贷款有一定的风险敞口,因此考虑Shibor3M不利变动的质押率测算是必要的且有意义的。
[Abstract]:As one of the main ways of pledge loan of commercial bank loans, the loan amount of the safety and rationality is the key to determine appropriate impawn rate. The pledge rate has been a hot issue for scholars in the field of risk management, the related research at home and abroad mainly focus on the calculation of stock pledge rate and real estate mortgage rate on a page should the measurement of the accounts receivable is relatively small, and the accounts receivable is an important way for small and medium-sized enterprise financing, so it has important realistic meaning to study the rate of the commercial banks pledge of accounts receivable. Although the pledge of accounts receivable accounts receivable as collateral, has a certain degree of security, but not at the discount the loan period accounts receivable value can always be debt service, if during the period of the loan discount rate continued to rise, then accounts receivable discounted value will be more and more low, it can be Not enough to repay the loan principal, it will encourage enterprises to default, resulting in bank losses. In order to prevent the occurrence of such a possibility, need to account receivable discounted at the discount rate of the loan period of maximum value. At the present stage of commercial banks discounting of accounts receivable rate as the benchmark interest rate of Shibor3M plus spread, which spreads the decision factors changes may occur in the long term, that constant in the short term for mortgage loans, commercial banks according to their system at the beginning of the period in determining loan value, the maximum plus fixed value at the discount rate so the maximum value in the loan period is the benchmark interest rate for Shibor3M in the loan period. This pledge of core the problem is how to measure the rate of accurate prediction of the maximum loan period of Shibor3M, this method is the maximum value obtained indirectly through the largest growth forecast during the loan rate to Shibor3M every day. After analyzing the sample selection and sample characteristics of pledge rate measurement, determined based on AR-GARCH-POT measurement model of extreme value theory is most appropriate. And finally using the model of accounts receivable pledge rate estimates found in the confidence level in certain circumstances, the longer the loan period, the pledge rate is low; in a certain period of the loan under the condition that the confidence level increases, the pledge rate is lower. And to consider and Shibor3M under the condition of adverse changes in the credit balance of account, that does not consider the loan Shibor3M adverse changes have certain risk exposures, so consider Shibor3M adverse changes in the pledge rate calculation is necessary and meaningful.

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.4;F224

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