供应链金融中的存货质押贷款的动态质押率研究

发布时间：2018-05-14 07:08

本文选题：供应链金融 + 存货质押融资　；参考：《浙江财经大学》2014年硕士论文

【摘要】：在商业银行传统业务竞争日趋激烈以及中小企业融资困难的大背景下，金融创新成了我国银行面临的重要问题，供应链金融应运而生，其中，存货质押融资是供应链金融最为典型的运作模式，它将信用风险转化为质押物的价格风险。要实现对价格风险的有效控制，需要有效设定与质押物担保能力密切相关的质押率，因此，研究构建有关质押率模型的定量方法，为银行的供应链金融风险管控提供合理依据，将具有重大的理论和实践意义。本文主要通过分析质物的现货价格所呈现的波动特征构建相应的VaR-GARCH模型对存货质押率进行动态研究，对比分析单一质物与组合质物下模型效果，以及模型与经验估计值法所得动态质押率的有效性，并结合相关理论得出实证结果。首先，本文基于对供应链金融存货质押融资业务模式的分析以及开展该业务理论依据（交易成本理论、结构融资理论、委托代理理论以及供应链金融理论）的探讨，，表明供应链金融存货质押融资业务的可行性与相对于传统银行授信业务的比较优势，同时，指出该业务存在的风险特性与风险控制的关键指标即质押率，并将现货价格引入到质押率的决策中。其次，考虑到现有研究基本是通过案例分析对该业务的风险特性进行研究，开展该业务的银行也多为经验设定质押率来控制供应链融资下存货融资业务风险，本文拟建立相关模型，利用大样本数据对该业务风险进行实证分析，以期为银行提供开展供应链金融存货质押融资业务的风险管理方法。本文选取长江1#铜与天然橡胶及二者构成的组合质物作为样本质物，分别分析单一质物与组合质物的价格波动特征，通过eviews软件分析发现，以现货交易为主的金融资产市场收益率往往存在一阶自相关性、异方差性与尖峰厚尾的特征，因此，本文分别基于单一质物与组合质物建立了收益率一阶自相关性条件下的VaR-GARCH模型，并在此基础上分析了模型确定的单个质押物与质押物组合的质押率，目的是使银行能够在有效控制风险的同时，保持更高的贷款效率，使得融资企业能更大程度地获得更多的融资。最后，通过衡量质押率有效性的风险率指标与效率损失率指标对基于残差序列成GED分布构建的组合质物模型与经验值法确定的质押率进行有效性分析，结果表明用经验值法设定的质押率为70%时，其风险率较低，但存在较大程度的效率损失率。通过以上基于大样本数据的实证分析得出了本文的核心观点，即模型确定的动态质押率与质押期间质物的价格成正相关性，表明充分考虑质物价格波动特征而建立的单一质物与组合质物VaR-GARCH模型是有效的，能较有效确定与商业银行风险承受能力相一致的动态质押率；较单一质物而言，通过构建组合质物、引进调节系数与考虑残差序列成GED分布时的修正模型具有更优的回顾测试检验结果，说明修正后的模型能更好的刻画尖峰厚尾的特征，也进一步证明了组合有利于分散风险的理论依据；较经验值法而言，模型所含的效率损失率较低，能为银行供应链金融存货质押融资提供了一个更为合理的定量、动态的质押率决策方法。
[Abstract]:In the background of the increasingly fierce competition in traditional business and the difficulty of financing for small and medium-sized enterprises, financial innovation has become an important problem facing China's banks. Supply chain finance has emerged as the times require, in which the inventory financing is the most typical mode of operation of supply chain finance, which transforms the credit risk into the price risk of the pledge. To effectively control the price risk, it is necessary to set up the pledge rate which is closely related to the pledge of pledge. Therefore, it is of great theoretical and practical significance to study and construct a quantitative method of the model of the pledge rate to provide a reasonable basis for the bank's supply chain financial risk control.
Based on the analysis of the fluctuation characteristics of the spot price of the material, this paper constructs the corresponding VaR-GARCH model to make a dynamic study on the stock pledge rate, compares and analyzes the effect of the model under the single substance and the composite substance, and the effectiveness of the dynamic pledge rate obtained by the model and the experience estimation method, and draws the empirical results in combination with the relevant theories.
First, this paper, based on the analysis of the business model of supply chain financial inventory, and the theoretical basis of this business (transaction cost theory, structure financing theory, principal-agent theory and supply chain finance theory), shows the feasibility of the supply chain financial inventory pledge financing business and relative to the traditional bank credit business. At the same time, it points out the risk characteristics of the business and the key index of risk control, that is, the pledge rate, and introduces the spot price to the decision of the pledge rate.
Secondly, considering that the existing research is basically the study of the risk characteristics of the business through case analysis, the banks that carry out the business also have more experience setting the pledge rate to control the risk of inventory financing under the supply chain financing. This paper is to establish a related model and use the large sample number to carry out an empirical analysis on the business risk in order to be silver. This paper provides a risk management method for the financing of supply chain financial inventory. In this paper, the combination of 1# copper, natural rubber and two parts of the Yangtze River is selected as the sample, and the price fluctuation characteristics of the single substance and the composite are analyzed, and the financial asset market, which is based on the spot trading, is analyzed by the Eviews software. The rate of return often has the characteristics of first order autocorrelation, heteroscedasticity and peak and thick tail. Therefore, based on the single substance and composite substance, the VaR-GARCH model under the first order autocorrelation of return rate is established respectively. On the basis of this, the pledge rate of the combination of the individual pledge and the pledge is analyzed. The purpose is to make the bank. It can effectively control risks while maintaining higher loan efficiency, so that financing enterprises can get more financing to a greater extent.
Finally, by analyzing the effectiveness of the risk rate index and the efficiency loss rate index, the validity of the pledge rate determined by the combined qualitative model and the experience value method based on the GED distribution of the residual sequence is analyzed. The results show that the risk rate is lower when the rate of pledge is set by the experience value method is 70%, but there is a large degree of efficiency. Loss rate.
Through the empirical analysis based on the large sample data, the key point of this paper is obtained. That is, the dynamic pledge rate determined by the model is positively related to the price of the pledge during the pledge period. It shows that the VaR-GARCH model of the single substance and composite material is effective and can be more effectively identified with the commercial silver. The dynamic pledge rate that is consistent with the ability of risk tolerance; compared with the single substance, the modified model with the combination of the composition, the introduction of the adjustment coefficient and the residual sequence into the GED distribution has a better review test result, which shows that the revised model can better describe the characteristics of the peak thick tail and further prove the combination. In comparison with the empirical value method, the efficiency loss rate of the model is lower than that of the empirical value method. It can provide a more reasonable quantitative and dynamic pledge rate decision method for the bank supply chain financial inventory pledge financing.

【学位授予单位】：浙江财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4;F274

【参考文献】