基于信用额度和外生违约概率的出口海陆仓融资质押率优化

Optimization on Loan-to-value Ratios of Exporting Offshore/In-transit Inventory Financing with Limited Credit and Exogenous Default Probabilities

质押率优化是出口海陆仓融资决策的核心内容。针对出口商信用、出口商与进口商外生违约以及质押物价值波动三重叠加风险下的出口海陆仓融资决策问题,在设定出口商信用额度,且给定出口商和进口商外生违约概率的前提下,依据双重Stackelberg博弈原理,以供应链协同均衡下的出口商、进口商和船公司的期望利润最大化为目标,建立了质押率与订货量及货物价格联动优化模型,设计了微分法和逆向归纳法求解模型。算例验证了模型和方法的适用性和有效性。敏感性分析结果表明质押率与出口商信用额度呈负相关关系,对出口商和进口商外生违约概率不敏感。研究结论可为出口海陆仓融资优化决策提供科学参考。

The loan-to-value ratios optimization is one of the key issues in the decision-making of exporting offshore/in-transit inventory financing. In this paper, the issue of exporting offshore/in-transit inventory financing decisions concerning triple overlapped risks is addressed, including the exporter＇ s credit risk, the exporter＇ s and the importer＇ s exogenous default risks, and the collateral value fluctuation risk. Based on the theory of double Stackelberg game, in the context of given exporter＇ s credit line and given exogenous default probabilities of exporter and importer, the authors establish the linkage optimization models among the price of goods, the order quantity and the loan-to-value ratio. The objective of the models is to maximize the respective expected profit of the exporter, the importer and the shipping company under supply chain coordination and equilibrium. Differential and backward induction methods are designed to solve the models. The numerical example verifies the applicability and validity of the proposed models. The results of sensitivity analysis show that the loan-to- value ratio has a negative correlation with the exporter＇ s credit line, and is insensitive to the exogenous default probabilities of exporters and importers. The findings would provide scientific guidance to the optimal decisionmaking of exporting offshore/in-transit inventory financing.