价格随机波动下银行的存货质押融资定价模型

Pricing Model of Inventory Impawn Financing under Randomly Fluctuant Price

质押物价格的波动增加了银行存货质押融资业务的风险。通过价格随机波动的存货,构建了下侧风险规避的银行存货质押融资模型。研究表明:银行的期望利润、存货质押率与质押物期初价格和企业违约率成负相关,融资利率与质押物期末价格无关且等于人民银行规定利率上限值。同时,分析了质押存货的期末价格分别服从正态分布、对数正态分布时银行的定价决策,可为中小企业的融资提供一定的理论依据。

The fluctuant price of the pledged stock increases the bank＇s risks in inventory impawn loan. Given that the price is fluctuant randomly, this paper presents a model of the bank＇s decisions on inventory impawn fi- nancing with downside risk constraint. The results show that the bank＇s expected profit and the loan-to-value ra- tio negatively correlate to the initial price of the pledged stock and default rate while the loan ratio is a constant equal to the regular interest rate. Finally, this paper analyzes the decisions of the bank when price distribution of the stock at the end of the loan follows normal distribution and logarithmic normal distribution.