A Study On Dynamic Impawn Rate Of Bank’s Inventory Financing In The Supply Chain Finance

In the context of increasingly competitive traditional business of the commercialbank and small and medium-sized enterprise financing difficulty, finance innovation isan important problem for the commercial bank to face, thus the financial supply chainemerges, in which inventory financing is the most typical operation mode and convertscredit risk into price risk of pledge. In order to realize effective control to price risk, it isnecessary to set impawn rate which is closely relate to pledge’s guaranty ability.Therefore, the study of the quantitative method of impawn rate mode to control the riskof inventory financing business and provide the scientific basis for risk managementand decision-making of financial supply chain to the commercial bank will be of greatsignificance for research and practice.The paper accordingly establishes VaR-GARCH model by analyzing volatilitycharacteristic the spot price showed, and studies its results got both in single and pledgeand pledge combination and comparatively analyzing impawn rate effectiveness andthus concluding empirical findings by integrating relative theories.First, based on analysis of supply chain finance stock pledge pattern and theoreticalfoundation the paper shows stock pledge’s feasibility and comparative advantages andindicates its risk characteristics and key control measure-impawn rate in whichintroduced the spot price.Second, different from case study and bank’s experience the paper analyzesempirically risk by using large sample data and taking1#Copper and its composition ofNature Rubber as sample pledge found out that yield rate exists features of first-orderautocorrelation, heteroskedasticity and leptokurtosis and therefore establishesVaR-GARCH model and comparatively analyzes impawn rate based on simple pledgeand pledge combination so as to realize bank’s effective risk control and keep bank’shigher loan efficiency and let finance enterprises get more financing.At last, the paper compares impawn rate effectiveness set by model when theresidual sequence follows GED distribution through risk and efficiency failure indicatorand the result is that70%impawn rate made by bank’s experience has lower risk ratebut higher efficiency loss rate.The empirical analysis above shows paper’s main points are as follows: theimpawn rate decided by model has a positive correlation with pledge’s spot price which indicates the effectiveness of VaR-GARCH model and its getting dynamic impawn ratecorresponded with commercial bank’s risk tolerance; Compared to single pledge theVaR-GARCH model on the basis of pledge combination and GED distribution followedresidual sequence has better back testing results which shows the adjusted model is abetter method to describe leptokurtosis and portfolio is good to disperse risk; Comparedto bank’s experience evaluation the established model has lower risk rate and thusproviding a more reasonable dynamic impawn rate decision-making method for banks’inventory financing of financial supply chain.