| 动态质押模式下的存货质押融资业务风险控制 |
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| 引用本文： | 韩钢,李随成.动态质押模式下的存货质押融资业务风险控制[J].系统工程,2010(12). |
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| 作者姓名： | 韩钢 李随成 |
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| 作者单位： | 西安理工大学管理学院; |
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| 基金项目： | 国家社会科学基金资助项目(07XJY007); 陕西省软科学基金资助项目(2006KR54) |
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| 摘 要： | 动态质押模式下的存货质押融资业务的风险伴随着整个质押期。本文研究了控制价值量下限模式的存货质押融资业务的风险,在质押期间,针对可能出现借款方违约的情况下,采用L-VaR的方法研究了流动性风险,提出了最优变现时间模型以及变现策略,在此基础上给出预期收益模型,与此同时也给出了度量业务的风险度量模型,并给出具体案例供银行操作借鉴。
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| 关 键 词： | 存货质押融资 期望收益 变现成本 最优变现时间 变现策略 L-VaR |
Liquidity Risk Control of Inventory Financing Under Dynamic Pledge Model |
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| HAN Gang,LI Sui-cheng.Liquidity Risk Control of Inventory Financing Under Dynamic Pledge Model[J].Systems Engineering,2010(12). |
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| Authors: | HAN Gang LI Sui-cheng |
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| Institution: | HAN Gang,LI Sui-cheng(School of Management,Xi'an University of Technology,Xi'an 710049,China) |
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| Abstract: | Under dynamic pledge mode inventory financing business risks accompany the pledge period.This paper explores financing business risks under controlling low limit value model.Directed at the possible default risks from the borrower in pledge period,it adopts the method of the liquidity risk,and proposes the optimal liquidation time model and liquidation strategies.Accordingly,the expected return model and the business risk measurement model are constructed,and finally specific cases are given to provide refe... |
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| Keywords: | Inventory Financing Expected Profit Liquidation Cost Optimal Liquidation Time Execution Strategy L-VaR |
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