零售商运营视角下投贷联动CVaR利率决策模型

Interest Rate Decision Model Based on CVaR with Investment and Loan Linkage from the Perspective of Retailer Operation

投贷联动机制是深化“供给侧结构性改革”背景下探索创新型金融服务模式的重要方向,而合理利率定价机制已成为缓和金融“资源错配”矛盾的关键。本文刻画了运营视角下银行风险规避与股权质押重构企业信用的本质特征,构建了零售商投贷联动融资模型,探讨银行风险规避态度下贷款利率决策。核心研究发现是:投贷联动机制能提升银行甄别和监督企业的能力,通过“相机决策”贷款利率有效增加资金供给,CVaR风险度量准则下利率定价机制出现“风险溢价消散”现象。此外,还揭示了投贷联动中协调供应链各方利益的最优资产结构。

In supply-side structural reform,investment linkage plays an important role in exploring innovative financial services mode.Nevertheless,reasonable interest rate pricing has become the key to mitigate financial“resource misallocation”conflict.According to statistics,from the beginning of 2016 to the end of June 2017,a total of 8.389 billion yuan of loans have been issued and 373 enterprises have been served through the investment and loan linkage financing in Beijing.By the end of the second quarter of 2017,the balance of investment and loan linkage was 4.802 billion in Shanghai,which is 78.93%growth compared to 2016.The bank actively carry out investment and loan linkage business,which not only promotes the integration of“equity and debt”at the capital level,but also meets the demand of supply chain operating funds.Further,the investment and loan linkage promotes the infiltration and integration of multi-level financial capital and real economy by building a“community of interests”that matches risk preferences and income requirements.The key to the innovation of investment and loan linkage is to use equity capital as a credit link to ease the information asymmetry between the borrowers and the borrowers,and to curb the possibility of“operational risk triggering credit risk”from the root.Based on the realistic background,the essential characteristics of bank risk aversion and equity pledge rebuilds enterprise credit from operating perspective is depicted,retailer investment linkage financing model and inquire pricing mechanism of loan interest rate under CVaR risk measurement criteria are constructed.This provides a theoretical reference for supply chain operations and financial integration.Different from previous studies,the credit interest rate is explored from the perspective of finance,and the pricing of the interest rate of the risk-averse banks in the retail loan linkage financing is explored from the perspective of supply chain.This not only avoids the problem of mismatch between supply and demand of credit capital and supply chain operation,but also further clarifies the influence mechanism of equity pledge and bank risk aversion on interest rate decision.Firstly,a loan financing model is constructed for retailers,and then equity pledge is applied to corporate credit and bank risk preference attitude to interest rate decision-making.Secondly,a retailer’s investment and loan financing model are constructed,and then the new characteristics of equity pledge holding enterprises credit and bank risk preference attitude are described.Finally,it discusses the optimal loan interest rate pricing mechanism under CVaR risk measurement criteria and its impact on supply chain operation through mathematical derivation and numerical analysis.It is found that investment and loan linkage financing can enhance the ability of banks to identify and supervise enterprises,and effectively increase the supply of funds through the“discretionary”loan interest rate.Interest rate pricing mechanism appears“risk premium dissipation”under the CVaR risk measurement criterion.Furthermore,It is revealed that the optimal asset structure that coordinates the benefits of the participants in the supply chain.