CAJ | 학술논문

针对季节性存货质押融资业务,考虑委托监管模式特征及成本收益结构,建模分析了融资约束下风险中性的借款企业的订购决策,然后通过借款企业和银行的博弈,分析了下侧风险规避银行的关键风险控制指标-质押率的决策.研究表明：采用＂主体＋债项＂的风险评估策略更能把握存货质押融资业务的风险特征,同时考虑企业主体违约风险和质押存货的销售债项风险,下侧风险规避的银行必须针对不同企业的再订购决策反应设定相应的质押率才能使决策最优,银行对贷款下侧风险的限制在一定程度上也能使贷款风险满足银行的规定标准.
침대계절성존화질압융자업무,고필위탁감관모식특정급성본수익결구,건모분석료융자약속하풍험중성적차관기업적정구결책,연후통과차관기업화은행적박혁,분석료하측풍험규피은행적관건풍험공제지표-질압솔적결책.연구표명：채용＂주체＋채항＂적풍험평고책략경능파악존화질압융자업무적풍험특정,동시고필기업주체위약풍험화질압존화적소수채항풍험,하측풍험규피적은행필수침대불동기업적재정구결책반응설정상응적질압솔재능사결책최우,은행대대관하측풍험적한제재일정정도상야능사대관풍험만족은행적규정표준.
Based on the features and cost-benefit structure of consigning supervision mode in seasonal inventory pledge financing,we analyze reordering decisions made by risk-neutral borrowers with financial constraints.Then,based on the game between borrowers and banks,investigates loan-to-value ratio decisions of downside-risk-adverse banks.The results show that to introduce ＂corporate and debt＂ method in risk assessment can grasp the risk features of inventory pledge financing,and considering the default risk of borrowers and the sales risk of pledge inventory simultaneously,downside-risk-averse banks should set loan-to-value ratios according to different borrowers＇ reordering planning and then make their decision optimal.The downside-risk limit can make loan risk meet the benchmark of banks in a certain degree.