存货质押融资业务价格风险控制研究

摘要

In this paper, we discussed the determination of the pledge ratio under the risk of random price fluctuation in the scenario where the core enterprise practiced buy-back guaranteed finance. First, in accordance with the operational process of the inventory receipt pledge business under the risk of price stochastic fluctuation, we built the expected profit model of the banks, then analyzed the model from the perspective of lateral risk control, found that the buy-back rate was positively related to the expected profit level and the correlation between the sale rate and the expected profit was uncertain, and at the end, verified the findings through a relevant numerical example.%产品的价格风险往往影响银行的存货质押融资质押率设定。在核心企业回购担保融资的情形下，讨论价格随机波动风险下的质押率确定问题。首先，根据价格随机波动风险下的质押运作流程建立银行的预期利润模型；然后，从下侧风险控制的角度对模型进行分析，讨论出实际质押率，揭示出回购率与期望利润正相关，销售率与期望利润相关性不确定；最后，通过不同违约情形下的数值分析验证了相关分析结果，同时得出高违约企业低质押率的结论。因此银行在开展存货质押融资业务时需要做好风险控制分析工作。