Abstract: 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.

Key words: investment and loan linkage; CVaR; interest rate; retailer operation