本文選題：供應(yīng)鏈金融 + 存貨質(zhì)押融資��； 參考：《浙江財經(jīng)大學(xué)》2014年碩士論文

【摘要】：在商業(yè)銀行傳統(tǒng)業(yè)務(wù)競爭日趨激烈以及中小企業(yè)融資困難的大背景下，金融創(chuàng)新成了我國銀行面臨的重要問題，供應(yīng)鏈金融應(yīng)運而生，其中，存貨質(zhì)押融資是供應(yīng)鏈金融最為典型的運作模式，它將信用風(fēng)險轉(zhuǎn)化為質(zhì)押物的價格風(fēng)險。要實現(xiàn)對價格風(fēng)險的有效控制，需要有效設(shè)定與質(zhì)押物擔(dān)保能力密切相關(guān)的質(zhì)押率，因此，研究構(gòu)建有關(guān)質(zhì)押率模型的定量方法，為銀行的供應(yīng)鏈金融風(fēng)險管控提供合理依據(jù)，將具有重大的理論和實踐意義。 本文主要通過分析質(zhì)物的現(xiàn)貨價格所呈現(xiàn)的波動特征構(gòu)建相應(yīng)的VaR-GARCH模型對存貨質(zhì)押率進(jìn)行動態(tài)研究，對比分析單一質(zhì)物與組合質(zhì)物下模型效果，以及模型與經(jīng)驗估計值法所得動態(tài)質(zhì)押率的有效性，并結(jié)合相關(guān)理論得出實證結(jié)果。 首先，本文基于對供應(yīng)鏈金融存貨質(zhì)押融資業(yè)務(wù)模式的分析以及開展該業(yè)務(wù)理論依據(jù)（交易成本理論、結(jié)構(gòu)融資理論、委托代理理論以及供應(yīng)鏈金融理論）的探討，，表明供應(yīng)鏈金融存貨質(zhì)押融資業(yè)務(wù)的可行性與相對于傳統(tǒng)銀行授信業(yè)務(wù)的比較優(yōu)勢，同時，指出該業(yè)務(wù)存在的風(fēng)險特性與風(fēng)險控制的關(guān)鍵指標(biāo)即質(zhì)押率，并將現(xiàn)貨價格引入到質(zhì)押率的決策中。 其次，考慮到現(xiàn)有研究基本是通過案例分析對該業(yè)務(wù)的風(fēng)險特性進(jìn)行研究，開展該業(yè)務(wù)的銀行也多為經(jīng)驗設(shè)定質(zhì)押率來控制供應(yīng)鏈融資下存貨融資業(yè)務(wù)風(fēng)險，本文擬建立相關(guān)模型，利用大樣本數(shù)據(jù)對該業(yè)務(wù)風(fēng)險進(jìn)行實證分析，以期為銀行提供開展供應(yīng)鏈金融存貨質(zhì)押融資業(yè)務(wù)的風(fēng)險管理方法。本文選取長江1#銅與天然橡膠及二者構(gòu)成的組合質(zhì)物作為樣本質(zhì)物，分別分析單一質(zhì)物與組合質(zhì)物的價格波動特征，通過eviews軟件分析發(fā)現(xiàn)，以現(xiàn)貨交易為主的金融資產(chǎn)市場收益率往往存在一階自相關(guān)性、異方差性與尖峰厚尾的特征，因此，本文分別基于單一質(zhì)物與組合質(zhì)物建立了收益率一階自相關(guān)性條件下的VaR-GARCH模型，并在此基礎(chǔ)上分析了模型確定的單個質(zhì)押物與質(zhì)押物組合的質(zhì)押率，目的是使銀行能夠在有效控制風(fēng)險的同時，保持更高的貸款效率，使得融資企業(yè)能更大程度地獲得更多的融資。 最后，通過衡量質(zhì)押率有效性的風(fēng)險率指標(biāo)與效率損失率指標(biāo)對基于殘差序列成GED分布構(gòu)建的組合質(zhì)物模型與經(jīng)驗值法確定的質(zhì)押率進(jìn)行有效性分析，結(jié)果表明用經(jīng)驗值法設(shè)定的質(zhì)押率為70%時，其風(fēng)險率較低，但存在較大程度的效率損失率。 通過以上基于大樣本數(shù)據(jù)的實證分析得出了本文的核心觀點，即模型確定的動態(tài)質(zhì)押率與質(zhì)押期間質(zhì)物的價格成正相關(guān)性，表明充分考慮質(zhì)物價格波動特征而建立的單一質(zhì)物與組合質(zhì)物VaR-GARCH模型是有效的，能較有效確定與商業(yè)銀行風(fēng)險承受能力相一致的動態(tài)質(zhì)押率；較單一質(zhì)物而言，通過構(gòu)建組合質(zhì)物、引進(jìn)調(diào)節(jié)系數(shù)與考慮殘差序列成GED分布時的修正模型具有更優(yōu)的回顧測試檢驗結(jié)果，說明修正后的模型能更好的刻畫尖峰厚尾的特征，也進(jìn)一步證明了組合有利于分散風(fēng)險的理論依據(jù)；較經(jīng)驗值法而言，模型所含的效率損失率較低，能為銀行供應(yīng)鏈金融存貨質(zhì)押融資提供了一個更為合理的定量、動態(tài)的質(zhì)押率決策方法。
[Abstract]:In the background of the increasingly fierce competition in traditional business and the difficulty of financing for small and medium-sized enterprises, financial innovation has become an important problem facing China's banks. Supply chain finance has emerged as the times require, in which the inventory financing is the most typical mode of operation of supply chain finance, which transforms the credit risk into the price risk of the pledge. To effectively control the price risk, it is necessary to set up the pledge rate which is closely related to the pledge of pledge. Therefore, it is of great theoretical and practical significance to study and construct a quantitative method of the model of the pledge rate to provide a reasonable basis for the bank's supply chain financial risk control.
Based on the analysis of the fluctuation characteristics of the spot price of the material, this paper constructs the corresponding VaR-GARCH model to make a dynamic study on the stock pledge rate, compares and analyzes the effect of the model under the single substance and the composite substance, and the effectiveness of the dynamic pledge rate obtained by the model and the experience estimation method, and draws the empirical results in combination with the relevant theories.
First, this paper, based on the analysis of the business model of supply chain financial inventory, and the theoretical basis of this business (transaction cost theory, structure financing theory, principal-agent theory and supply chain finance theory), shows the feasibility of the supply chain financial inventory pledge financing business and relative to the traditional bank credit business. At the same time, it points out the risk characteristics of the business and the key index of risk control, that is, the pledge rate, and introduces the spot price to the decision of the pledge rate.
Secondly, considering that the existing research is basically the study of the risk characteristics of the business through case analysis, the banks that carry out the business also have more experience setting the pledge rate to control the risk of inventory financing under the supply chain financing. This paper is to establish a related model and use the large sample number to carry out an empirical analysis on the business risk in order to be silver. This paper provides a risk management method for the financing of supply chain financial inventory. In this paper, the combination of 1# copper, natural rubber and two parts of the Yangtze River is selected as the sample, and the price fluctuation characteristics of the single substance and the composite are analyzed, and the financial asset market, which is based on the spot trading, is analyzed by the Eviews software. The rate of return often has the characteristics of first order autocorrelation, heteroscedasticity and peak and thick tail. Therefore, based on the single substance and composite substance, the VaR-GARCH model under the first order autocorrelation of return rate is established respectively. On the basis of this, the pledge rate of the combination of the individual pledge and the pledge is analyzed. The purpose is to make the bank. It can effectively control risks while maintaining higher loan efficiency, so that financing enterprises can get more financing to a greater extent.
Finally, by analyzing the effectiveness of the risk rate index and the efficiency loss rate index, the validity of the pledge rate determined by the combined qualitative model and the experience value method based on the GED distribution of the residual sequence is analyzed. The results show that the risk rate is lower when the rate of pledge is set by the experience value method is 70%, but there is a large degree of efficiency. Loss rate.
Through the empirical analysis based on the large sample data, the key point of this paper is obtained. That is, the dynamic pledge rate determined by the model is positively related to the price of the pledge during the pledge period. It shows that the VaR-GARCH model of the single substance and composite material is effective and can be more effectively identified with the commercial silver. The dynamic pledge rate that is consistent with the ability of risk tolerance; compared with the single substance, the modified model with the combination of the composition, the introduction of the adjustment coefficient and the residual sequence into the GED distribution has a better review test result, which shows that the revised model can better describe the characteristics of the peak thick tail and further prove the combination. In comparison with the empirical value method, the efficiency loss rate of the model is lower than that of the empirical value method. It can provide a more reasonable quantitative and dynamic pledge rate decision method for the bank supply chain financial inventory pledge financing.

【學(xué)位授予單位】：浙江財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.4;F274

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