摘要
物流金融是一项创新型的物流增值服务,仓单质押是其中一种重要的融资模式。本文采用copula函数对组合质押商品的价格变动进行描述,通过分析质押过程得出商品价格变动导致的银行潜在损失。沿用Morton信用风险结构型模型的方法,构造了借款企业违约概率函数,进而得出银行信用风险损失函数,最后建立银行仓单质押业务成本函数,通过求解非线性规划确定质押率这一关键指标。
The logistics finance is an innovative value-added service. This paper assumes that the fluctuation of collateral prices follows Copula function, and the fluctuation causes potential loss of bank. Based on Morton structural model of credit risk, the paper constructs the default probability function, then provides credit risk loss model, finally presents the total cost function. Loan-to-value ratio is an important index of risk management. According to resolving nonlinear programming, the fittest loan-to-value ratio can be determined.
关键词
仓单质押
物流金融
质押率
COPULA
Warehouse Receipt Hypothecating
Logistics Finance
Loan-to-value
Copula
