| 价格随机波动下银行的存货质押融资定价模型 |
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| 引用本文： | 石岿然,于广菊,欧阳琦.价格随机波动下银行的存货质押融资定价模型[J].南京化工大学学报(哲学社会科学版),2013(3):96-100. |
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| 作者姓名： | 石岿然 于广菊 欧阳琦 |
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| 作者单位： | 南京工业大学经济与管理学院,江苏南京211816 |
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| 基金项目： | 国家自然科学基金项目（71071075,71173103）;国家软科学研究计划项目（2012GXS4D115）;教育部人文社会科学基金项目（12YJC630180）;江苏省社会科学基金项目（09EYB010） |
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| 摘 要： | 质押物价格的波动增加了银行存货质押融资业务的风险.通过价格随机波动的存货,构建了下侧风险规避的银行存货质押融资模型.研究表明：银行的期望利润、存货质押率与质押物期初价格和企业违约率成负相关,融资利率与质押物期末价格无关且等于人民银行规定利率上限值.同时,分析了质押存货的期末价格分别服从正态分布、对数正态分布时银行的定价决策,可为中小企业的融资提供一定的理论依据.
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| 关 键 词： | 价格随机波动 供应链金融 存货质押融资 质押率 融资利率 |
Pricing Model of Inventory Impawn Financing under Randomly Fluctuant Price |
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| SHI Kuiran,YU Guangju,OUYANG Qi.Pricing Model of Inventory Impawn Financing under Randomly Fluctuant Price[J].Journal of Nanjing University of Chemical Technology(Social Sciences Edition),2013(3):96-100. |
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| Authors: | SHI Kuiran YU Guangju OUYANG Qi |
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| Institution: | (School of Economics ＆ Management, Nanjing University of Technology, Nanjing 211816, China) |
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| Abstract: | The fluctuant price of the pledged stock increases the bank＇s risks in inventory impawn loan. Given that the price is fluctuant randomly, this paper presents a model of the bank＇s decisions on inventory impawn fi- nancing with downside risk constraint. The results show that the bank＇s expected profit and the loan-to-value ra- tio negatively correlate to the initial price of the pledged stock and default rate while the loan ratio is a constant equal to the regular interest rate. Finally, this paper analyzes the decisions of the bank when price distribution of the stock at the end of the loan follows normal distribution and logarithmic normal distribution. |
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| Keywords: | randomly fluctuant price supply chain finance inventory impawn financing loan-to-value ratio financing rate |
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