信贷人存货质押贷款中最优质物甄别合同研究

Creditors' Optimal Screening Contract on Collateral in Inventory Pledge Loan

存货抵押贷款中,信用风险主要来源于抵押物价格和流动性风险,信贷人确定适当的利率和贷款价值比能够有效缓释信用风险。对于已知抵押物价格风险和流动性风险,以信贷市场结构作为约束条件,求解出使信贷人期望利率收益最大化合同利率和贷款价值比。当抵押物流动性风险增加时,信贷人最优贷款合同应该是名义利率和贷款价值比均下降;对于抵押物价格波动满足正态分布的情况,若抵押物价格风险增大,信贷人最优贷款合同应该是名义利率和贷款价值比均上升。数值算例的结果基本验证了以上结论,并与现实情况相接近。

Determining certain interest rate and loan to value ratio （LTV） can make creditors mitigate credit risk, which comes from the price risk and liquidity risk of collateral in inventory pledge loan. For given price risk and liquidity risk, we find the value of interest rate and LTV maximizing creditors＂ expected revenue confined by credit market structure. As liquidity risk increases, explicit interest rate and LTV of optimal contract both increase; whereas as price risk increases, explicit interest rate and LTV of optimal contract both decrease for normal distribution. Numerical examples prove these conclusions on the whole and fit reality roughly.