存货质押融资业务的价值风险度量

The Value Risk Measurement of Inventory Financing

采取有效的价值风险控制方法对存货质押融资业务的发展有着重大意义。在动态控制存货价值量下限的质押方式下,考虑市场的有效流通速度,持仓量以及物流企业变现能力对变现时间的影响构建变现时间模型,提出度量价值风险模型。通过对贷款价值比率、贷款利率、持仓量、物流企业变现能力进行敏感性分析,发现贷款价值比率对价值风险最为敏感,其次是持仓量、物流企业变现能力,而贷款利率对价值风险不敏感。

Adopting effective value risk control method is of great significance to the development of inventory financing business. Under the pledging model of Dynamic control inventory＇s lower limit value, considering the effective liquidate speed, position and logistics enterprisers liquidation ability generate influences to liquidation time, build liquidation time model and put forward value risk model. Through the sensitivity analysis of loan-to-value ratios, loan interest rates, position, logistics enterprisers liquidation ability, found loan-to-value ratios being most sensitive to value risk, followed by position, logistics enterprisers liquidation ability, loan interest rates is not sensitive.