物流金融中季节性存货质押融资质押率决策  

Decision of loon-to-calue katios of seasonal inventon/pledge financing based on logistics finance

作　　者：李毅学[1,2] 汪寿阳[2] 冯耕中[3] 

机构地区：[1]江西财经大学产业集群与企业发展研究中心,工商管理学院,南昌330013 [2]中国科学院数学与系统科学研究院,北京100190 [3]西安交通大学管理学院,西安710049

出　　处：《管理科学学报》2011年第11期19-32,共14页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70731003;71062013);教育部人文社会科学基金资助项目(09YJC790127);江西省自然科学基金资助项目(2009GQS0006)

摘　　要：物流金融创新模式下的存货质押融资业务能有效解决供应链上的资金瓶颈,具有很大发展空间,但风险控制水平的滞后严重制约了业务的成长.本文针对基于统一授信的物流金融创新模式中季节性存货质押融资业务的核心风险控制指标——质押率展开研究,首先考虑统一授信模式的特征及成本收益结构,借鉴贸易融资中"主体+债项"的风险评估思路,构建融资约束下的报童模型,分析风险中性的借款企业的再订购决策;进而,通过借款企业和物流企业的Stackelberg动态博弈,分析下侧风险规避的物流企业的质押率决策.研究表明,在统一授信模式下,下侧风险规避的物流企业必须针对不同借款企业的再订购决策反应设定相应质押率才能使决策最优,而且针对初始质押存货不同的借款企业,贷款下侧风险的限制对物流企业最优质押率决策会造成不同程度的影响.Inventory pledge financing in the innovative mode of logistics finance can effectively solve capital bottleneck in the supply chain and has a lot scope to develop. However, it is seriously constrained by the level of risk control. This paper focuses on loan-to-value ratios, i.e. the core indicator of risk in seasonal inventory financing in the uniform credit mode. Based on the features of this mode and the relevant cost-benefit structure, we build a newsvendor model with financial constraints and analyze reordering decisions made by riskneutral borrowers. Then, based on a dynamic Stackelberg game between borrowers and logistics enterprises, we investigate loan-to-value ratio decisions of downside-risk-adverse logistics enterprises. The results show that in uniform credit mode, downside-risk-averse logistics enterprises should set loan-to-value ratios according to different borrowers＇ reordering plans and then make their optimal decisions. Moreover, for the borrowers with different initial inventory, downside-risk limits affect the optimal decision of logistics enterprises differently.

关 键 词：物流金融 存货融资 质押 质押率 统一授信 

分 类 号：F830.56[经济管理—金融学]