摘要
针对供应链金融货押业务中存在货物价值不稳定而引起的市场风险,本文提出了基于套期保值的供应链金融业务方案,即企业对货物进行套期保值,银行委托期货公司对企业保证金账户进行监管,银行提高质押率,企业因而可获得更多的贷款。文章设计了该方案的基本业务流程和风险控制,并利用套期比和套期保值效率及空头套期保值的VaR计算方法,以实例分析基于套期保值的供应链金融业务方案的可行性。本文为货押业务的进一步发展提供了新的思路,提出银行、企业和期货公司三方合作的可能模式,以期其共同促进中国信贷市场的健康有序发展。
Centering on the market risk resulting from price volatility of goods in the warehouse receipt pledge business, the paper proposes a scheme based on hedging to further supply chain finance. Under this scheme, an enterprise hedge against goods, and a bank entrust a futures company with supervising the enterprise＇s margin account. As a result, the bank can improve the pledge rate and the enterprise can obtain more loans. The paper designs the basic business process and risk control methods, and uses the hedging ratio, the hedging efficiency and the short hedging VaR method to make empirical analysis on the scheme＇s feasibility. The paper provides a new inspiration for the development of warehouse receipt pledge business, and raises a possible cooperation pattern for banks, enterprises and futures companies to promote a healthy and orderly development of Chinese credit market.
出处
《金融论坛》
CSSCI
北大核心
2009年第9期5-12,共8页
Finance Forum
基金
国家自然科学基金项目“银行-中小企业贷款互动研究:基于计算实验金融方法的分析”(70603021)
