存货质押融资业务信用风险度量研究

Research of Credit Risk Measurement in Inventory Financing Pledge

随着中小企业信用担保体系的不断完善,担保贷款的规模不断扩大,担保贷款的风险管理受到普遍关注。供应链金融的风险包括市场风险、信用风险和操作风险等,采取有效的风险价值度量方法对存货质押融资业务的发展有着重大意义。本文借鉴国内外学者的研究成果,利用Merton模型来度量每一个企业的预期违约概率,进而通过Merton模型来度量信用风险的大小,构建了一个计算供应链金融信用风险的模型。这种方法与信用等级无关,并弥补了VAR需要大量历史数据的弊端。

With the small and medium enterprises credit guarantee system for continuous improvement,the size of secured loans is expanding,risk management of secured loans is generally concerned.The risk of supply chain finance includes mart risk,credit risk and operational risk,taking effective method to measure the value of the risk is significant to the development of inventory financing pledge.Drawing on the experience of domestic and foreign scholars,this paper uses Merton model to measure each company＇s expected default probability and the size of credit risk,builds a computational model of supply chain finance credit risk.This method has nothing to do with the credit rating and make up the abuse that VAR needs a lot of historical data.