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中国管理科学

中国管理科学 ›› 2014, Vol. 22 ›› Issue (12): 1-10.

• 论文 •    下一篇

低碳港口存货质押贷款利率定价理论和模型

匡海波1,2, 张一凡1, 张连如1   

  1. 1. 大连海事大学交通运输管理学院, 辽宁 大连 116026;
    2. 大连海事大学企业社会责任与可持续发展研究所, 辽宁 大连 116026
  • 收稿日期:2013-02-10 修回日期:2013-08-02 出版日期:2014-12-20 发布日期:2014-12-23
  • 作者简介:匡海波(1965-),男(锡伯族),辽宁省新民市人,大连海事大学交通运输管理学院,教授、博士生导师,研究方向:发展决策管理、交通运输规划与管理、物流金融与绿色供应链管理.
  • 基金资助:

    国家自然科学基金资助项目(71273037);交通运输部交通软科学项目(2013-322-225-240);中央高校基本科研业务费专项资金资助项目(3132013336);辽宁省高校创新团队支持计划资助项目(LT2013011);长江学者和创新团队发展计划资助项目(IRT13048)

Research on Low-Carbon Port Logistics Pledge Loan Rate Model

KUANG Hai-bo1,2, ZHANG Yi-fan1, ZHANG Lian-ru1   

  1. 1. School of Transportation Management, Dalian Maritime University, Dalian 116026, China;
    2. Institute of Corporation Social Responsibility and Sustainable Development, Dalian Maritime University, Dalian 116026, China
  • Received:2013-02-10 Revised:2013-08-02 Online:2014-12-20 Published:2014-12-23

PDF (PC)

1817

被引次数

6

摘要： 在港口低碳转型大趋势下,港口存货类质押贷款业务在实践中得到高速发展,如何在港口物流存货质押贷款理论决策中融入低碳港口约束因素、间接推动港口转型升级显得十分迫切。本研究深入探讨低碳转型下的港口质押贷款利率决策理论,提出了无风险套利原理、期权调整利差原理、低碳控制原理和质押风险控制原理。在此基础上,借助看跌期权反映客户违约风险调整价差、构建质押货物的碳排风险调整价差、采用VaR方法界定港口存货类质押率,建立了低碳港口流动性较强存货类物流质押贷款利率决策模型。重要参数敏感性分析表明:质押贷款利率与质押率呈现初始平稳、后上升、最后显著下滑,与回收率、质押物初始价格和质押物价格增长率三参数呈现初始显著下滑,最后平稳,与碳排治理成本率、融资成本率、经营成本率、无风险利率四参数呈现同方向类线性增长变化,与质押物价格波动率、质押物价值变动率两参数呈现反方向变化。最后,采用某港口实际数据,验证了模型可行性、可用性。

关键词: 质押贷款利率, 低碳港口, 期权调整价差, 碳排调整价差, 质押率

Abstract: The port logistics finance practice has been developed rapidly under the port low-carbon transition development. It is very urgent for upgrading port by integrating into a low-carbon port constraint in port logistics pledge loans decision-making theory. In this study, the low-carbon transition port pledge loan interest rate decision model was set up by risk-free arbitrage theory. Based on the option-adjusted spreads principle, the principles of low-carbon control and pledge risk control are proposed. The strong liquidity inventories of low-carbon port logistics pledge loan interest rate decision model was established with the put option reflecting customer default risk-adjusted spread, the pledged goods carbon emissions risk-adjusting spread, and VaR method defining port class of goods as security for loans pledged rate. The important parameter sensitivity analysis showed that: Pledged loan interest rate and pledge rate decline significantly ofter the initial steady, and then recovery, while pledge collateral initial price and the price growth rate of three parameters showed a significant decline in initial, last stable. Carbon discharge rate of treatment costs, financing cost rate, operating cost ratio, risk free rate four parameters showed change in the same direction with the pledge price volatility, collateral value of the rate, change in the opposite direction with pledge loan interest rate and pledge rate. Finally, a port actual case verifies the model feasibility and usability.

Key words: pledge loan interest rate, carbon port, option-adjusted spreads, carbon adjustment spreads, pledge rate

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