中小企业仓单质押业务的质押率模型

Loan-to-Value Ratios Model of Pledge by Warehouse Receipts for Small and Medium Enterprises

面向中小企业的仓单质押业务能有效盘活企业库存、极大缓解资金压力,业界应用十分广泛,本文研究该业务的核心风险控制指标——质押率的决策问题。考虑供应链中零售商(中小企业)违约内生和需求具有不确定性,建立单期报童模型,探讨了零售商的再订货决策;在此基础上,运用Stackelberg动态博弈理论和VaR风险计量方法,研究了银行追求利润最大化和权衡风险收益两种情形下质押率的决策。通过模型分析和数值仿真明确了银行追求不同目标时的最优质押率决策,凸显了仓单质押业务风险控制中质押率所发挥的重要作用。

Pledge by warehouse receipts for small and medium enterprises stimulates inventory circulation,efficiently releases fund pressure,and has been widely used in the industry.This paper studies the core indicator of risk controls in that business,i.e.loan-to-value ratios.Considering the endogenous default for the retailer in supply chain and uncertain demand,by establishing a single-cycle newsboy model,reordering decisions made by retailers are explored.On that basis,dynamic game theory and VaR method are used to investigate decisions of loan-to-value ratios in two cases： only seeking maximum profit and weighing risk and profit.Finally,optimal decisions for seeking different goals are got by model analysis and numerical simulation,which highlights the important role loan-to-value ratios play in the risk management of pledge by warehouse receipts.