基于存货选择决策的存货质押率模型

Research on the Loan-to-value Ratios Model on the Decision-making in Selecting Inventory

如何制定最优质押率以最大化期望利润,如何选择存货和借款企业、设计贷款利率、贷款周期,以获得较高的最大化期望利润,是银行开展存货质押业务时较难决策的问题。为解决这一难题,文章通过构建存货质押率模型,给出了最优质押率及最大期望利润的显性表达式,分析对数收益率、对数波动率、贷款利率、贷款周期及违约概率对最优质押率、最大期望利润的影响,并对最优质押率、最大期望利润对以上各变量的弹性进行比较。研究结果发现,最优质押率、最大期望利润对对数收益率最敏感,对违约概率最不敏感。因此,银行在开展存货质押业务时,应选择具有较高对数收益率的存货,以实现较高的最大化期望利润。

How to formulate the optimal loan-to-value ratios to maximize expected profit,how to select inventory and the borrowing enterprises,and how to design lending rates and loan cycle to obtain a higher maximum expected profit are all the problems for banks to start inventory financing business. To solve problems above,the author constructs the loan- to- value rations model of inventory,gives the explicit expression of the optimal loan- to- value ratios and maximum expected profit,analyzes the impacts of logarithmic yields,logarithmic volatility,lending rates,loan cycles and the probability of default on the optimal loan-to-value rations and maximum expected profit,and compares the elasticity of the variables above on the optimal loan-to-value ratios and maximum expected profit. The study finds that the optimal loan-to-value ratios and maximum expected profit are the most sensitive about the logarithmic yields,and are the most insensitive about the probability of default. In the process of inventory financing business,banks should select inventory with a higher logarithmic yields in order to achieve a higher maximum expected profit.