核心企业回购担保下银行的存货质押融资定价决策

:1001-4098(2011)01-0038-07易雪辉,周宗放(,610054):采用剩余产品回购率的大小来刻画供应链的上游核心企业对下游中小企业存货质押融资行为的担保程度,模型化了银行的存货质押融资决策。研究表明,银行的期望利润、存货质押率与核心企业的担保程度成正相关,贷款利率与担保程度无关且固定等于管制利率;并且发现某一程度的担保(对应某一质押率)是合理的。本文的研究为银行要求核心企业提供回购担保以及提供什么程度的担保提供了解释,也为基于期权思想进行中小企业融资金融产品的创新设计提供了启发。:供应链金融;回购担保;存货质押融资;质押率:F830:A1　引言,,,,,,;,,,,[1],,,(),,[2],,[3-5],[6][7],,,,,,,,,,,,UPS20015[8],,(),[9],,,,[10],,,,,[11],,291(205)　　　　　　系　统　工　程Vol.29,No.120111SystemsEngineeringJan.,2011:2010-08-03;:2010-10-05:(70971015):(1977-),,,,:;,,,:,,,,,5,0.5%[12],[13-14],,[15],,[16],,,Padmanabhan,,,,[17]Pasternack,[18][19],,[20],,,,,,2　背景和定义2.1()(),,,,,,,,,(),,,,:,;,;,,;;,;,,12.2,:p:(),,p0x:,,,f(x),F(x)0,x0w:,0wp.:,01s:,0sw;,,,q:w,,q0391,:t:,0t1,v0=tpq,,r0,r,r1:r0,r1r,r0rr1.,v=tpq(1+r);,tpq(1+r)pq,t(1+r)1h:,0h1l,:l,v0,lv0=ltpq,0l13　建立模型(),,,tr.z1,,,(),,xp+(1-)(q-x)s+(q-x)w=tqp(1+r),z1=tp(1+r)q-qp-,=w+(1-)s.,z10,:tp(1+r)(1)xz1,,:1(t,r)=tqp(r-r0)xz1,,,h,,,:h(t,)=pz10xf(x)dx+z10(q-x)f(x)dx-tqp(1+r0)F(z1)1-h,:2(t,r)=tqp(r-r0),:(t,r)=1(t,r)(1-F(z1))+(1-h)2(t,r)F(z1)+hh(t,r)=tqp(r-r0)-h(p-)z10F(x)dx(2),,,,,(l,),L,,P(Lltpq)h=F(z2)h,:F(z2)/h(3):L=tpq(1+r0)-px-(q-x)w-(q-x)(1-)s,x,:z2=tp(1+r0-l)q-qp-,:max0t1,r0rr1(t,r)=tpq(r-r0)-h(p-)z10F(x)dxs.t.F(z2)/htp(1+r)(4)1()(),w,q,,,.h,(l,),(t*r*):t1to,(t*,r*)=(t1,r1);t1=to,(t*,r*)=(t1=t0,r1);t1to,(t*,r*)=(t0,r1):t0=(p-)F-1(/h)+qpq(1+r0-l)(5)t1=(p-)F-1((r1-r0)/h(1+r1))+qpq(1+r1)(6),=w+(1-)s,t0,t1,,402011r1,t0.2,,,q-F-1(/h)0(0),t0();q-F-1((r1-r0)/h(1+r1))0(0),t1()4　算例分析Matlab7.0,,:p=8,w=4.5,s=1,q=1750,r0=3.59%,r1=4.86%,h=3%,l=30%,=0.2%,[500,3000],1,6,F-1((p-w)/(p-s)),01,0.011,2w=4.5,wr0,w26,0.5;,r03.39%4.79%,0.2%.,23,231wt0t1r1(t,r)t*r*04.50.83890.62284.86108.250.62284.860.24.50.85030.69644.86117.270.69644.860.74.50.88040.88044.86135.310.88044.860.94.50.89050.95404.86140.580.89054.8614.50.89630.99094.86143.210.89634.862wt0t1q(t,r)t*r*210.64690.59682643144.80.59684.8630.970.75010.75012286150.50.75014.8640.740.82760.82761929140.50.82764.8650.670.93330.93331571121.20.93334.8660.471.088011214111.814.86:q,3r0t0t1r1(t,r)t*r*3.390.830.93080.93084.86164.20.93084.863.590.70.88040.88044.86135.30.69644.863.790.530.81570.91574.86107.30.81574.863.990.30.72930.72934.8680.440.89054.864.3910.74470.98024.8651.320.74474.86411,:2w=4.501,,,,,0.7,,0.7,,0.71,(=0),0.6228,108.25;0.7,0.8804,135.31,41%25%;(=1),0.8963,143.21,44%32%.,,422011,,,,0.7,,:,;,,,;,,21t*t1t0,t1t0,t*=t1;t1t0,t*=t0;t1=t0,t*=t1=t0.24.5,,,,,,,,,,12323,,,,,2,w=2,1,4.86%,1144.8,(0.5968)(0.6469);,3,r0=3.79%,0.53,4.86%,0.53107.3,(0.8157)2,,26,,,,,,,,,,,2,,(),;,,,,3,,,,;,5　结论,,,,(),,,,,,,,,,:[1],,.[M].:,2006.[2].[J].,2007,26(1):4954.[3],,.[J].,2007,3:2226.[4]SRTP.[J].,2008,45:5658.[5],,.[J].,2007,25(10):2126.[6],,.[J].,2007,12:4248.[7],,,.[J].,2007,15(1):2126.[8],.UPS431,:[J].,2006,6:8789.[9],,.[J].,2007,12:17.[10].[J].,2007,22:3839.[11],.[J].,2007,5:8791.[12],.[J].,2007,2:1416.[13],,.[J].,2008,7:5460.[14],,.[J].,2009,10:4651.[15],.[J].,2008,9:2938.[16].[J].,2008,11(3):7077.[17]PadmanabhanV,PngIPL.returnspolicies:makemoneybymakinggood[J].SloanManagementreview,1995,(fall):6572.[18]Pasternak.Optimalpricingandreturnpoliciesforperishablecommodities[J].MarketingScience,1985,4(2):166176.[19].[D].,2006:912.[20],.[J].,2005,7:4954.PricingDecisionsonInventoryFinancingoftheBankswithCoreEnterprisesBuy-backGuaranteeYIXue-hui,ZHOUZong-fang(SchoolofManagementandEconomics,UESTC,Chengdu610054,China)Abstract:Thispapertakestherepurchaseratioofsurplusproductsastheindexwhichcandepictthedegreeoftheupstreamcoreenterprisesbuy-backguaranteeagainstthedownstreamsmallandmedium-sizedenterprisesfinancinginventory,andmodelbanksdecisionsoninventoryfinancing.Studiesshowthatbanksexpectedprofit,theloan-to-valueratioofinventoryfinancingpositivelycorrelatetotheguaranteedegreeofcoreenterpriseswhiletheloanratioisaconstantequaltotheregularinterestrate.Theloan-to-valueratiowillbethebestvaluewhenthebuy-backratioisarationalnumber.Thisstudyprovidesatheoreticalexplanationtobanksrequirementsforcoreenterprisesbuy-backguaranteeandthedegreeoftheirguaranteeandalsoreferenceforthedesigningoffinancialproductinnovationofsmallandmedium-sizedenterprisesbasedonoptiontheory.Keywords:SupplyChainFinance;Buy-backGuarantee;inventoryFinancing;Loan-to-valueRatio442011