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标准存货质押融资业务贷款价值比率研究
引用本文:李毅学,徐渝,冯耕中,王非.标准存货质押融资业务贷款价值比率研究[J].运筹与管理,2006,15(6):78-82,99.
作者姓名:李毅学  徐渝  冯耕中  王非
作者单位:西安交通大学,管理学院,陕西,西安,710049
摘    要:确定合适的质押存货贷款价值比率能够使银行有效地缓释存货质押融资业务的信用风险。沿着简化式的思路,本文综合考虑了外生的企业违约概率,质押存货的价格波动率,贷款的周期和盯市频率等因素的影响,为银行在保持风险容忍水平一致的情况下确定特定存货质押融资业务的相应贷款价值比率提供了一个基本模型。此外,针对存货质押融资的现状,本文还将清算延迟、流动性风险和非零的触发水平等情况引入基本模型中进行了拓展研究。

关 键 词:金融学  贷款价值比率  信用风险管理  存货质押融资
文章编号:1007-3221(2006)06-0078-05
收稿时间:06 9 2006 12:00AM
修稿时间:2006-06-09

Research on Loan-to-value Ratios of Standard Inventory Financing
LI Yi-xue,XU Yu,GENG Zhong-feng,WANG Fei.Research on Loan-to-value Ratios of Standard Inventory Financing[J].Operations Research and Management Science,2006,15(6):78-82,99.
Authors:LI Yi-xue  XU Yu  GENG Zhong-feng  WANG Fei
Abstract:Determining appropriate loan-to-value ratios of commodity collateral can make banks mitigate credit risk of inventory financing effectively. Based on reduced-form approaches, this paper establishes a basic model on the determination of loan-to-value ratios. In this model, some factors, such as exogenous default probability, price volatility of commodity collateral, marking to market frequency and maturity time of loan, are considered synthetically, so banks may determine appropriate loan-to-value ratios of particular inventory financing operation to keep the level of taken risk consistent. Moreover, with the extensions for realistic implementation, this paper introduces time to capture, liquidity risk and non-zero trigger level into the basic model.
Keywords:finance  loan-to-value ratios  credit risk management  inventory financing
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