低碳港口物流质押贷款组合优化决策模型

Research on low-carbon port logistics pledge loan portfolio optimization model

在港口低碳转型大趋势下,港口物流金融存货类质押贷款业务在实践中高速发展,如何在港口物流存货类质押贷款理论决策中融入低碳港口约束因素、从而间接推动港口转型升级显得十分迫切.本研究深入探讨低碳转型下的港口质押贷款理论,在提出质押贷款期权原理、低碳控制原理、质押风险控制原理和信用风险控制原理的基础上,借助看跌期权反映港口质押贷款组合收益,构建港口和客户碳排结构约束,界定单笔港口货类质押贷款的VaR质押率和港口货类质押贷款组合平均信用风险控制条件,建立了低碳转型下的港口物流质押贷款组合优化决策理论模型,解决了现有研究聚焦单笔港口货类质押贷款理论而忽视组合质押贷款同类风险的集聚以及低碳转型约束等弊端.

The port logistics finance has been developed rapidly under the port low-carbon transition development. It was very urgent for research on port logistics pledge loan portfolio optimization decisionmaking theory under the low-carbon transition. In this study, the port pledge loan under the low-carbon transition theory was set up, which including the principle of pledge loan options, low-carbon, the pledge risk and credit risk control. On this basis, the port logistics pledge loan portfolio under the low-carbon transition optimization model was built up, with pledge loan put option portfolio return, ports and customers＇ low-carbon structure constraint, single loan VaR pledge rate, pledge loan portfolio average credit risk control conditions. The model solved the drawbacks of existing research focused single port pledge loan and neglecting the pledge loan portfolio under low-carbon transition constraints, etc.