价格随机波动下存货质押融资业务质押率研究  

Research On Loan-to-value Ratio of Inventory Financing under Randomly-fluctuant Price

作　　者：李毅学[1] 冯耕中[2] 徐渝[2] 

机构地区：[1]江西财经大学统计学院,南昌330013 [2]西安交通大学管理学院,西安710049

出　　处：《系统工程理论与实践》2007年第12期42-48,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70472036);教育部新世纪优秀人才支持计划基金(NCET-05-0848)

摘　　要：针对价格随机波动的存货,应用"主体+债项"的风险评估策略,研究下侧风险规避的银行在质押存货的期末价格服从一般分布和几种具体分布时的质押率决策.进而在理论推导基础上,以实际中银行和物流企业合作开展的存货质押融资业务为背景进行案例分析.研究表明:只要贷款期末价格分布已知就能求出静态质押方式下质押率的解析式.Given the price of the pledged stock is fluctuant randomly, the paper implements risk estimation strategies of ＂main body ＋ debt＂ and analyzes loan-to-value ratio decision of banks with downside risk constraint when price distribution of the stock at the end of the loan follows general distribution and several special distributions. Based on these theory results, the case about inventory financing developed by banks and cooperating logistic firms is analyzed. The study shows： if price distribution of the stock at the end of the loan may be acquired, analytic result of loan-to- value ratio in static pledge fashion can be solved.

关 键 词：金融学 质押率 信用风险管理 存货质押融资 物流金融 

分 类 号：F830.56[经济管理—金融学]