極值理論在商業(yè)銀行應(yīng)收賬款質(zhì)押率測(cè)算中的應(yīng)用研究
發(fā)布時(shí)間:2018-01-24 22:04
本文關(guān)鍵詞: 風(fēng)險(xiǎn)管理 質(zhì)押率 Shibor3M 極值理論 出處:《南京財(cái)經(jīng)大學(xué)》2015年碩士論文 論文類型:學(xué)位論文
【摘要】:質(zhì)押貸款作為商業(yè)銀行貸款的主要方式之一,其安全性以及貸款額的合理性關(guān)鍵在于確定合適的質(zhì)押率。質(zhì)押率測(cè)算一直是學(xué)者們?cè)阢y行風(fēng)險(xiǎn)管理領(lǐng)域研究的熱點(diǎn)問(wèn)題,國(guó)內(nèi)外相關(guān)研究主要集中在股票質(zhì)押率和房地產(chǎn)抵押率的測(cè)算上,關(guān)于應(yīng)收賬款的測(cè)算研究比較少,而應(yīng)收賬款是中小企業(yè)貸款融資的重要途徑,因此對(duì)商業(yè)銀行應(yīng)收賬款質(zhì)押率測(cè)算的研究具有重要的現(xiàn)實(shí)意義。雖然應(yīng)收賬款質(zhì)押貸款有應(yīng)收賬款作為抵押,具有一定的安全性,但也并非在貸款期內(nèi)應(yīng)收賬款的貼現(xiàn)值始終可以還本付息,如果在貸款期間貼現(xiàn)率持續(xù)走高,那么應(yīng)收賬款貼現(xiàn)后的價(jià)值會(huì)越來(lái)越低,很可能不足以償還貸款本金,這將會(huì)促使企業(yè)違約,造成銀行虧損。為了杜絕這種可能性的發(fā)生,需要把應(yīng)收賬款以貸款期間貼現(xiàn)率的最大值來(lái)貼現(xiàn)。現(xiàn)階段商業(yè)銀行應(yīng)收賬款的貼現(xiàn)率為基準(zhǔn)利率Shibor3M加上點(diǎn)差,其中點(diǎn)差的決定因素在長(zhǎng)期內(nèi)才可能發(fā)生變動(dòng),在質(zhì)押貸款的短期內(nèi)暫且認(rèn)為不變,為商業(yè)銀行根據(jù)自身系統(tǒng)在貸款期初確定的點(diǎn)差值,那么貼現(xiàn)率在貸款期內(nèi)的最大值就是基準(zhǔn)利率Shibor3M在該貸款期內(nèi)的最大值加上定值點(diǎn)差。這樣質(zhì)押率測(cè)算的核心問(wèn)題就是如何準(zhǔn)確預(yù)測(cè)出貸款期內(nèi)Shibor3M的最大值,本文的方法是通過(guò)預(yù)測(cè)貸款期間Shibor3M每天的最大增長(zhǎng)率來(lái)間接求得最大值。經(jīng)過(guò)質(zhì)押率測(cè)算的樣本選擇與樣本特征分析之后,確定了基于極值理論的AR-GARCH-POT測(cè)算模型最合適。并在文章最后運(yùn)用該模型對(duì)應(yīng)收賬款質(zhì)押率進(jìn)行測(cè)算,發(fā)現(xiàn)在置信度水平一定的情況下,貸款期限越長(zhǎng),質(zhì)押率越低;在貸款期限一定的情況下,置信度水平越大,質(zhì)押率越低。并對(duì)考慮與未考慮Shibor3M不利變動(dòng)情況下的貸款差額進(jìn)行計(jì)算,發(fā)現(xiàn)未考慮Shibor3M不利變動(dòng)的質(zhì)押貸款有一定的風(fēng)險(xiǎn)敞口,因此考慮Shibor3M不利變動(dòng)的質(zhì)押率測(cè)算是必要的且有意義的。
[Abstract]:As one of the main ways of pledge loan of commercial bank loans, the loan amount of the safety and rationality is the key to determine appropriate impawn rate. The pledge rate has been a hot issue for scholars in the field of risk management, the related research at home and abroad mainly focus on the calculation of stock pledge rate and real estate mortgage rate on a page should the measurement of the accounts receivable is relatively small, and the accounts receivable is an important way for small and medium-sized enterprise financing, so it has important realistic meaning to study the rate of the commercial banks pledge of accounts receivable. Although the pledge of accounts receivable accounts receivable as collateral, has a certain degree of security, but not at the discount the loan period accounts receivable value can always be debt service, if during the period of the loan discount rate continued to rise, then accounts receivable discounted value will be more and more low, it can be Not enough to repay the loan principal, it will encourage enterprises to default, resulting in bank losses. In order to prevent the occurrence of such a possibility, need to account receivable discounted at the discount rate of the loan period of maximum value. At the present stage of commercial banks discounting of accounts receivable rate as the benchmark interest rate of Shibor3M plus spread, which spreads the decision factors changes may occur in the long term, that constant in the short term for mortgage loans, commercial banks according to their system at the beginning of the period in determining loan value, the maximum plus fixed value at the discount rate so the maximum value in the loan period is the benchmark interest rate for Shibor3M in the loan period. This pledge of core the problem is how to measure the rate of accurate prediction of the maximum loan period of Shibor3M, this method is the maximum value obtained indirectly through the largest growth forecast during the loan rate to Shibor3M every day. After analyzing the sample selection and sample characteristics of pledge rate measurement, determined based on AR-GARCH-POT measurement model of extreme value theory is most appropriate. And finally using the model of accounts receivable pledge rate estimates found in the confidence level in certain circumstances, the longer the loan period, the pledge rate is low; in a certain period of the loan under the condition that the confidence level increases, the pledge rate is lower. And to consider and Shibor3M under the condition of adverse changes in the credit balance of account, that does not consider the loan Shibor3M adverse changes have certain risk exposures, so consider Shibor3M adverse changes in the pledge rate calculation is necessary and meaningful.
【學(xué)位授予單位】:南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】:碩士
【學(xué)位授予年份】:2015
【分類號(hào)】:F832.4;F224
【參考文獻(xiàn)】
相關(guān)期刊論文 前8條
1 王志誠(chéng),趙士波,田昆;股票質(zhì)押貸款的實(shí)證研究[J];經(jīng)濟(jì)科學(xué);2002年01期
2 方先明;花e,
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