CERs收益权质押融资业务的质押率模型

摘要

质押率的确定是进行质押融资的核心工作之一,合理的质押率是银行控制质押风险的重要途径。本文综合考虑了CERs收益权质押融资所面临的价格波动风险、借款企业的减排水平、违约风险和国家宏观经济风险等因素,在银行保持风险水平一致的基础上构建了CERs收益权质押融资业务的质押率模型。研究表明：最优质押率与银行愿意承受最大损失下的最大质押率之间的大小关系不是由企业期末CERs的完成率、CERs的初始价格及银行愿意承受的最大贷款损失度所决定的,而是由企业的违约概率、银行的贷款利率、资金成本、贷款时间及银行能够承受最大损失发生的概率所决定。最后,以欧洲气候交易所的CERs数据为基础进行算例分析。%Determining the loan-to-value ratio is one of core financing works,so controlling the ratio is the main way to manage risk for banks.In this paper,the model of the ratio is constructed,considering the risk of price fluctuations,the firm＇s ability of reducing emissions,default risk and macroeconomic risk.The research shows that which is larger between the optimal ratio and the ratio of the largest risk that the bank is willing to bear doesn＇t depend on the completion of CERs,initial price and the degree of loan loss,but on the default probability,the interest rate,the rate of capital cost,the loan time,and the probability that the bank is willing to bear the largest loss.Then,we use the data of the European Climate Exchange to analyze numerical examples.