风险中性和损失规避下银行存货质押定价模型

存货质押融资业务是解决供应链中的中小企业融资难问题的良好途径。该文围绕存货价格随机波动时,考虑存货期末需求和残值处理,研究银行在风险中性和损失规避两种偏好下的存货质押融资定价优化问题。在风险中性下,考虑银行下侧风险,确定了最优的质押率与贷款利率定价组合,进一步地确定了损失规避下的最优质押率。结论表明,针对最优质押率和期望收益,损失规避下的值均小于风险中性下的值。最后,通过数值算例对该文结论进行验证,并分析了不同参数变化对定价决策的影响。

Inventory pledge f inancing is a good way to solve the f inancing problem of SMEs in supply chain.The paper focuses on the optimization of inventory pledge f inancing pricing under risk neutrality and loss aversion,considering the inventor y demand and residual value when inventor y price f luctuates randomly.Under the risk neutralit y,the optimal joint pricing of pledge rate and loan interest rate is determined with downside risk consideration.Furthermore,the optimal pledge rate under loss aversion is determined.The study shows:the value of the optimal pledge r ate a nd expected r eturn under loss a version is s maller t han t hat under r isk n eutrality.A n umerical s tudy is given to validate the conclusions and the effects of different parameters on pricing decisions are analyzed.