物流金融存货组合质押业务中银行的决策研究
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摘要
中小企业在我国国民经济发展中发挥着越来越重要的角色,然而由于固定资产薄弱、财务体系不透明、管理体系不健全等原因,中小企业获得的信贷资源仅占我国银行信贷总额的20%,融资困难已成为中小企业发展的最大瓶颈。然而,对中小企业的业务进行分析发现,中小企业与供应链上其他企业的交易活动中会产生一系列存货,而这些存货占用了大量资金,如何盘活这些存货以增加企业现金流呢?近年来金融机构与有实力的第三方物流企业合作,提出了基于存货的物流金融创新业务——存货质押业务,从传统信贷业务只关注企业规模、负债比率、净资产比例等信息转变为更加关注质押物所依附的真实交易信息,例如交易产品的价格波动、产品的变现能力、产品的供需关系等。作为一个新的学科方向,已有研究尚有许多不足。
本文在存货组合质押模式下,首先分别考虑了当双品类质押存货价格变动相互独立和负相关两种情形下银行实现期望利润最大化的最优质押率,通过对比研究发现,银行倾向于鼓励借款企业利用价格变动负相关的存货申请组合质押贷款,这样银行在保证利润、降低风险的同时也通过质押率的增加提高了借款企业进行存货组合质押贷款的热情。然后进一步分析了质押率与银行贷款利率、借款企业违约概率、组合质押存货价格变动相关系数以及质押周期等因素的关系。
另外运用委托代理理论分别在信息对称和信息不对称两种情形下,分析了存货组合质押业务中风险中性的银行对风险规避的第三方物流的激励问题,研究发现:信息对称时,第三方物流的努力水平可观测,银行不需要采取激励措施来影响第三方物流的监管绩效;信息不对称时,银行可根据激励判别不等式满足的情形得到相应激励决策。此外,对银行期望效用与存款利率、外界不确定因素、第三方物流风险规避度及运营成本系数等因素的关系进行了分析。
As we all know that small and medium-sized enterprises are playing a more and more important role in the development of China’s national economy, however, due to weak fixed assets, not transparent financial system, imperfect management system etc, the credit resources they got is only 20% of the total amount of bank credit in china. Financing difficulty has become the biggest bottleneck of the development of small and medium-sized enterprise. Analyzing the small and medium-sized enterprises’business we found that a series of inventory which takes up a lot of money of the small and medium-sized enterprises among the trading activities with enterprises on the supply chain. So, how to activate these inventory to increase enterprise cash flow? In recent years, an innovative logistics financial business——inventory financing, which is focus on real transaction information(such as price fluctuation, inventory liquidation, supply and demand relation, etc) of pledged inventory, was put forward based on cooperation between financial institutions and the third party logistics enterprise. As a new research direction, there are many shortcomings with relevant research.
Based on inventory combination pledge financing, this paper first analyze the bank’s optimal loan-to-value ratio decision to realize its expected profits on the condition that the price fluctuation of pledged inventories is respectively independent or negative correlation. Through the comparative study we found that banks tend to encourage borrowing enterprises using the stock, which price fluctuation is negative correlation, to apply for combination pledge loan and this will increase both bank’s expected profits and lending enterprises’enthusiasm for inventory combination pledge loan by increasing the loan-to-value ratio. Furthermore, this paper analyze the relationship between loan-to-value ratio and interest rate, loan enterprises’default probability, correlation coefficient of price fluctuation of pledged inventories, pledge cycle, etc.
In addition, basing on the principal-agent theory this paper also considers the problem that the risk neutral bank incentive the risk aversion third party logistics firms to participate the inventory financial service both in the information symmetry case and in the asymmetric information case. We get the result that, in the information symmetry case, the bank does not need to take incentives to influence the third party logistics firms performance duo to the third party logistics firms effort level can be observed. However, the bank may make their incentive decisions according to the incentive discriminant inequality in the asymmetric information case. Furthermore, this paper analyze the relationship between the bank’s expect utility and the deposit interest rate, the external uncertainties, the third party logistics firms’risk degree and operation cost coefficient.
本文在存货组合质押模式下,首先分别考虑了当双品类质押存货价格变动相互独立和负相关两种情形下银行实现期望利润最大化的最优质押率,通过对比研究发现,银行倾向于鼓励借款企业利用价格变动负相关的存货申请组合质押贷款,这样银行在保证利润、降低风险的同时也通过质押率的增加提高了借款企业进行存货组合质押贷款的热情。然后进一步分析了质押率与银行贷款利率、借款企业违约概率、组合质押存货价格变动相关系数以及质押周期等因素的关系。
另外运用委托代理理论分别在信息对称和信息不对称两种情形下,分析了存货组合质押业务中风险中性的银行对风险规避的第三方物流的激励问题,研究发现:信息对称时,第三方物流的努力水平可观测,银行不需要采取激励措施来影响第三方物流的监管绩效;信息不对称时,银行可根据激励判别不等式满足的情形得到相应激励决策。此外,对银行期望效用与存款利率、外界不确定因素、第三方物流风险规避度及运营成本系数等因素的关系进行了分析。
As we all know that small and medium-sized enterprises are playing a more and more important role in the development of China’s national economy, however, due to weak fixed assets, not transparent financial system, imperfect management system etc, the credit resources they got is only 20% of the total amount of bank credit in china. Financing difficulty has become the biggest bottleneck of the development of small and medium-sized enterprise. Analyzing the small and medium-sized enterprises’business we found that a series of inventory which takes up a lot of money of the small and medium-sized enterprises among the trading activities with enterprises on the supply chain. So, how to activate these inventory to increase enterprise cash flow? In recent years, an innovative logistics financial business——inventory financing, which is focus on real transaction information(such as price fluctuation, inventory liquidation, supply and demand relation, etc) of pledged inventory, was put forward based on cooperation between financial institutions and the third party logistics enterprise. As a new research direction, there are many shortcomings with relevant research.
Based on inventory combination pledge financing, this paper first analyze the bank’s optimal loan-to-value ratio decision to realize its expected profits on the condition that the price fluctuation of pledged inventories is respectively independent or negative correlation. Through the comparative study we found that banks tend to encourage borrowing enterprises using the stock, which price fluctuation is negative correlation, to apply for combination pledge loan and this will increase both bank’s expected profits and lending enterprises’enthusiasm for inventory combination pledge loan by increasing the loan-to-value ratio. Furthermore, this paper analyze the relationship between loan-to-value ratio and interest rate, loan enterprises’default probability, correlation coefficient of price fluctuation of pledged inventories, pledge cycle, etc.
In addition, basing on the principal-agent theory this paper also considers the problem that the risk neutral bank incentive the risk aversion third party logistics firms to participate the inventory financial service both in the information symmetry case and in the asymmetric information case. We get the result that, in the information symmetry case, the bank does not need to take incentives to influence the third party logistics firms performance duo to the third party logistics firms effort level can be observed. However, the bank may make their incentive decisions according to the incentive discriminant inequality in the asymmetric information case. Furthermore, this paper analyze the relationship between the bank’s expect utility and the deposit interest rate, the external uncertainties, the third party logistics firms’risk degree and operation cost coefficient.
引文
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