价格随机波动下回购担保融资贷款价值比研究

Study on Loan-to-value Ratio of Buyback-guaranteed Financing with Stochastically Fluctuating Price

采用核心企业回购担保模式来规避存货质押融资业务中价格随机波动的风险,模型化了银行的存货质押融资决策,研究了下侧风险规避的银行在质押存货的期末价格服从随机分布时的最优贷款价值比决策问题,表明核心企业回购的介入在一定程度上降低了质押物的流动性风险,使得银行的贷款价值比增加,为现实中价格随机波动下回购担保融资贷款价值比决策提供了参考依据。

In this paper, we modeled the decision-making process of the banks in the inventory pledge financing businesses, studied the decision problem for the optimal loan-to-value ratio when the ending price of the collaterals of the banks followed stochastic distribution, and found that the buyback by the core enterprises could to a certain extent reduce the liquidity risk of the collaterals.