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1、摘 要中小企业融资困难一直是制约我国中小企业发展的一大难题，现实中存货的存在给供应链中的生产和流通企业均带来资金压力。供应链金融作为一种物流与金融方式的创新，能够为中小企业融资提供行之有效的解决办法，而存货质押融资作为供应链金融中的传统融资方式，通过盘活广大中小企业的存货，解决中小企业在生产经营过程中的资金需求，是当前物流金融领域最重要的融资形式之一。存货质押融资业务在开展过程中，核心环节便是对市场风险的控制。如何选择合适的质押物、降低存货的市场风险，尤其是价格风险，是银行业及物流仓储企业共同努力的目标。本文采用定性与定量、理论与实际结合的方法，对存货质押融资面临的风险进行实证分析。首先，选择
2、2009年到2014年大连商品交易所的期货玉米交易价格数据，采用VaR方法对期货玉米面临的市场价格风险进行度量；其次，选择同期期货大豆的交易价格数据，通过一比一加权平均，并通过相关性检验测试，构成弱相关组合质物；再次，通过VaR方法对弱相关组合质押物的风险进行度量，从而为实践中中小企业通过组合质押进行融资提供降低风险策略；最后，在对质押物组合价格影响因素分析的基础上，为业务参与方提供了策略性建议。本文主要研究结论如下：(1)在质押物的选择方面，同种条件下，弱相关质押物组合相比单种质押物具备分散风险从而降低风险的作用；(2)就分散风险的作用方面，因不同种类的质押物价格波动影响因素不同，不同质押物
3、组合对风险分散的程度是不同的；(3)物流仓储企业及银行业可以通过对质押物进行有效组合，降低单一质押物带来的价格风险，从而更好的开展存货质押融资业务。结合上述主要研究结论，本文认为，由于目前我国的商业机构在开展存货质押融资业务时的单一质押风险较高，因此进行存货组合质押能够降低物流仓储企业及商业银行的市场风险。本研究继而就存货组合质押融资业务的风险控制策略提供了相关对策建议。关键词：存货质押；VaR模型；价格风险；风险控制Study on Risk Controlling in Inventory Impawn Financing Based on the VaR Model: Combining
4、 pledges of Corn and SoybeansAbstractAs a difficulty, the financing problem has been restrict the development of small and medium-sized enterprises for past several years. In reality, the existence of inventory brings financing pressure to production and circulation of enterprises in the supply chai
5、n. As an innovation of logistics and financing, supply chain finance can provide effective financing for small and medium-sized enterprise. As a traditional financing way of supply chain finance, inventory impawn financing can reduce the burden of production or operation demanding by re-vitalization
6、 of inventory, and also it is currently a very important form of logistics financial sector. During the process of conducting inventory impawn financing business, market-risk controlling is the most important part. How to choose the appropriate pledge to reduce market risk, especially the price risk
7、. It is also the same goal that banking industry and logistics warehousing enterprises work hard together.This paper uses both the methods of qualitative and quantitative analysis, theory and practice to take an empirical analysis on the inventory impawn financing risks. First, this study chooses tr
8、ading prices of corn data from 2009 to 2014 in Dalian Commodity Exchange. Then it uses the method of VaR to measure the market risk which the corns are taking. Second, this research chooses the price data of soybean in the same period and combined them to weak correlation pledge. Third, through the
9、measure results of market risk with which the weak correlation pledges have, thus can we offer some strategies to reduce risk of pledge? Last, through the analysis of factors which can affect prices of pledges, we infer the influence factors of the risk.The main conclusions of this article are as fo
10、llows: First, in aspect of choosing pledges, under the same condition, weak correlation pledges have less market risk than single pledge. Second, on the degree of diversification, different correlated pledges have different results. Third, logistics warehousing enterprises and banks can set effectiv
11、e combination to reduce the market risk instead of using single pledge thus they can carry out inventory impawn financing business better.According to the research conclusions above, this article argues that due to the current commercial institutions carry out the inventory impawn financing business
12、 with single pledge, the market risk will be higher. So the correlation pledge can reduce the market risk of logistics warehousing enterprises and commercial banks. The research gives some strategic advices about how to control the risk in the pledges.Keywords: Inventory impawn; The VaR model; Price
13、 risk; Risk controlling目 录第一章 绪论11.1 研究背景11.2 研究目的和意义21.2.1研究目的21.2.2 研究意义21.3 国内外研究综述31.3.1 存货质押融资业务研究进展31.3.2 存货质押融资风险与控制研究概述51.4 研究思路、技术路线与创新点61.4.1 研究思路61.4.2 技术路线71.4.3 创新点7第二章 存货质押融资业务及其风险类型92.1 供应链金融与存货质押融资业务92.1.1供应链金融的发展92.1.2存货质押融资的基本内涵102.2 存货质押融资业务模式演变112.2.1国外存货质押融资业务发展过程112.2.2 近年国内存货质
14、押融资业务发展趋势142.3. 存货质押融资业务风险类型及控制152.3.1 存货质押融资业务风险划分152.3.2 存货质押融资业务风控关键指标18第三章 风险衡量与VaR方法193.1 风险衡量与VaR193.1.1 VaR在风险衡量中的作用193.1.2 VaR的数理逻辑193.1.3 VaR参数选择203.2 VaR的发展与特点203.2.1 VaR的发展203.2.2 VaR的计算方法213.2.3回顾测试23第四章 单一质押物的风险度量254.1 样本质押物的选取254.1.1 样本质押物选择-玉米254.1.2 选取原因及价格变动影响因素254.1.3 样本数据及来源274.2
15、ARMAGARCH-t模型的确定274.2.1 ARMAGARCH模型294.2.2 参数估计324.2.3 VaR值的计算324.2.4 VaR的回测33第五章 弱相关组合质押物风险度量：玉米与黄大豆组合例证345.1样本质押物的选取345.1.1 样本质押物的选取及原因-玉米与黄大豆组合345.1.2 相关性测定分析及期货大豆的价格影响因素355.2 组合质押物比重的选择与实证分析375.2.1比重的选择375.2.2基于ARMAGARCHt模型的质押物组合风险实证分析375.3 参数选择及VaR的计算与检验395.3.1 参数选择395.3.2 VaR的计算检验与对比分析39第六章 结论及建议426.1主要结论426.2研究结果的针对建议42参考文献45附录4933第一章 绪论1.1 研究背景中小企业是我国市场经济主体的一部分，在推动经济发展，维护社会稳定方面起到不可忽视的作用，在国民经济中也占有十分重要的地位1。我国中小企业发展迅速，在面向市场的过程中表现出极大的灵活性与适应性，目前是国民经济中最活跃的成分。改革开放以来，随着经济体制的深入改革，市场经济日趋完善，我国经济发展日新月异，其中中小企业作出了突出贡献。据相关资料显示，截至2014年10月，按照企业注册的市场主体在我国有1756万户，个体工商户4866万户，总共超过6600万
