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中国管理科学

中国管理科学 ›› 2010, Vol. 18 ›› Issue (5): 21-27.

• 论文 • 上一篇    下一篇

需求随机时的存货质押贷款质押率决策研究

张钦红1, 赵泉午2   

  1. 1. 上海交通大学安泰经济与管理学院中美物流研究院, 上海 200030;
    2. 重庆大学贸易与行政学院, 重庆 400044
  • 收稿日期:2009-10-10 修回日期:2010-09-12 出版日期:2010-10-30 发布日期:2010-10-30
  • 作者简介:张钦红(1981- ),男(汉族),安徽人,上海交通大学安泰经济与管理学院,博士,助理研究员,研究方向:为物流金融、供应链风险管理
  • 基金资助:

    国家自然科学基金(71001063),(71002070)

Research on Loan-to-value Ratio of Inventory Financing When Demand Is Stochastic

ZHANG Qin-hong1, ZHAO Quan-wu2   

  1. 1. Sino-US Global Logistics Institute, Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200030, China;
    2. College of Trading and Administration, Chong Qing University, Chong Qing 400040, China
  • Received:2009-10-10 Revised:2010-09-12 Online:2010-10-30 Published:2010-10-30

PDF (PC)

1263

被引次数

128

摘要： 需求波动导致的风险是存货质押融资区别于有价证券质押融资的主要方面.本文研究了当存货的需求随机波动时,银行的最优质押率决策问题,并详细分析了不同的风险偏好对质押率的影响,结论表明风险厌恶及损失规避时的质押率均低于风险中性时的质押率.本文同时还分析了当质押率影响贷款企业的库存决策时,银行的最优质押率决策.最后,通过数值算例验证了文章的结论.

关键词: 存货质押融资, 质押率, 均值-方差模型, 损失规避

Abstract: The risk caused by demand fluctuation is the main risk of inventory financing that differs from other kind of financing.The decision of loan-to-value ratio of inventory financing is analyzed under the assumptions of endogenous default risk and stochastic demand.Firstly,the optimal loan-to-value ratios of the bank under different risk preference are given.It is proved that the optimal decisions under risk averse and loss averse are all smaller than that of risk neutral.Then,we derive the optimal loan-to-value of the bank when his decision will influence the firm's inventory decision.Finally,the numerical study is given to demonst rate the conclusions.

Key words: inventory financing, loan-to-value ratio, mean-variance model, loss aversion

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