本文關鍵詞： 風險管理 質押率 Shibor3M 極值理論　出處：《南京財經大學》2015年碩士論文　論文類型：學位論文

【摘要】：質押貸款作為商業(yè)銀行貸款的主要方式之一,其安全性以及貸款額的合理性關鍵在于確定合適的質押率。質押率測算一直是學者們在銀行風險管理領域研究的熱點問題,國內外相關研究主要集中在股票質押率和房地產抵押率的測算上,關于應收賬款的測算研究比較少,而應收賬款是中小企業(yè)貸款融資的重要途徑,因此對商業(yè)銀行應收賬款質押率測算的研究具有重要的現(xiàn)實意義。雖然應收賬款質押貸款有應收賬款作為抵押,具有一定的安全性,但也并非在貸款期內應收賬款的貼現(xiàn)值始終可以還本付息,如果在貸款期間貼現(xiàn)率持續(xù)走高,那么應收賬款貼現(xiàn)后的價值會越來越低,很可能不足以償還貸款本金,這將會促使企業(yè)違約,造成銀行虧損。為了杜絕這種可能性的發(fā)生,需要把應收賬款以貸款期間貼現(xiàn)率的最大值來貼現(xiàn)�，F(xiàn)階段商業(yè)銀行應收賬款的貼現(xiàn)率為基準利率Shibor3M加上點差,其中點差的決定因素在長期內才可能發(fā)生變動,在質押貸款的短期內暫且認為不變,為商業(yè)銀行根據自身系統(tǒng)在貸款期初確定的點差值,那么貼現(xiàn)率在貸款期內的最大值就是基準利率Shibor3M在該貸款期內的最大值加上定值點差。這樣質押率測算的核心問題就是如何準確預測出貸款期內Shibor3M的最大值,本文的方法是通過預測貸款期間Shibor3M每天的最大增長率來間接求得最大值。經過質押率測算的樣本選擇與樣本特征分析之后,確定了基于極值理論的AR-GARCH-POT測算模型最合適。并在文章最后運用該模型對應收賬款質押率進行測算,發(fā)現(xiàn)在置信度水平一定的情況下,貸款期限越長,質押率越低；在貸款期限一定的情況下,置信度水平越大,質押率越低。并對考慮與未考慮Shibor3M不利變動情況下的貸款差額進行計算,發(fā)現(xiàn)未考慮Shibor3M不利變動的質押貸款有一定的風險敞口,因此考慮Shibor3M不利變動的質押率測算是必要的且有意義的。
[Abstract]:As one of the main ways of pledge loan of commercial bank loans, the loan amount of the safety and rationality is the key to determine appropriate impawn rate. The pledge rate has been a hot issue for scholars in the field of risk management, the related research at home and abroad mainly focus on the calculation of stock pledge rate and real estate mortgage rate on a page should the measurement of the accounts receivable is relatively small, and the accounts receivable is an important way for small and medium-sized enterprise financing, so it has important realistic meaning to study the rate of the commercial banks pledge of accounts receivable. Although the pledge of accounts receivable accounts receivable as collateral, has a certain degree of security, but not at the discount the loan period accounts receivable value can always be debt service, if during the period of the loan discount rate continued to rise, then accounts receivable discounted value will be more and more low, it can be Not enough to repay the loan principal, it will encourage enterprises to default, resulting in bank losses. In order to prevent the occurrence of such a possibility, need to account receivable discounted at the discount rate of the loan period of maximum value. At the present stage of commercial banks discounting of accounts receivable rate as the benchmark interest rate of Shibor3M plus spread, which spreads the decision factors changes may occur in the long term, that constant in the short term for mortgage loans, commercial banks according to their system at the beginning of the period in determining loan value, the maximum plus fixed value at the discount rate so the maximum value in the loan period is the benchmark interest rate for Shibor3M in the loan period. This pledge of core the problem is how to measure the rate of accurate prediction of the maximum loan period of Shibor3M, this method is the maximum value obtained indirectly through the largest growth forecast during the loan rate to Shibor3M every day. After analyzing the sample selection and sample characteristics of pledge rate measurement, determined based on AR-GARCH-POT measurement model of extreme value theory is most appropriate. And finally using the model of accounts receivable pledge rate estimates found in the confidence level in certain circumstances, the longer the loan period, the pledge rate is low; in a certain period of the loan under the condition that the confidence level increases, the pledge rate is lower. And to consider and Shibor3M under the condition of adverse changes in the credit balance of account, that does not consider the loan Shibor3M adverse changes have certain risk exposures, so consider Shibor3M adverse changes in the pledge rate calculation is necessary and meaningful.

【學位授予單位】：南京財經大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.4;F224

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相關期刊論文 前8條

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本文編號：1461144