摘要
质押率是银行在进行质押贷款时的重要决策参数,最优的质押率才能保证银行在尽量降低风险的前提下获得最大收益。论题研究了在国外的零售商与国内的供应商构成的跨国供应链背景下,国内的银行为供应商提供应收账款质押,银行在面临信用风险和汇率风险时的期望利润及最优质押决策问题,分析了影响质押率的因素包括质押期限、质押数额、汇率波动幅度等及其与质押率的关系,通过数值算例验证了文章的结论。
The loan-to-value ratio is an important decision parameter of the banks in the mortgage, and the opti- mal loan-to-value ratio ensures the banks to obtain the maximal benefits under the premise of minimizing the risks. Under the background of transnational supply chain between a foreign retailer and a domestic supplier, this paper studies the issues of the expected profit and optimal pledge decisions that the domestic bank faces the risks of credit and exchange rate when it provides the accounts receivable pledge for the supplier. It also analyzes a series of factors that influence the loan-to-value ratio, including pledge duration, pledge amount and exchange rate fluctuation and the relationship among their loan-to-value ratio. Finally, the numerical examples are given to validate the conclusion in the study.
出处
《海南大学学报（人文社会科学版）》
CSSCI
2014年第2期112-118,共7页
Journal of Hainan University （Humanities & Social Sciences）
基金
教育部博士点基金(20120073110029)
国家自然科学基金项目(71371123)
上海交通大学文理交叉重点项目(11JCZ02)
关键词
跨国供应链
应收账款
质押率
汇率风险
transnational supply chain
accounts receivable
loan-to-value ratio
exchange rate risk
